marine2
963 posts
msg #118152
- Ignore marine2 |
2/10/2014 12:53:52 PM
Does anyone have a monthly filter that is reliable for long term investing? Perhaps StockFetcher's software coding to create such a filter doesn't allow for a monthly filterization method to occur? Let me know what you think forum members. Thank you.
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Kevin_in_GA
4,599 posts
msg #118157
- Ignore Kevin_in_GA |
2/10/2014 3:30:16 PM
Try this:
This is based on Mebane Faber's work on Tactical Asset Allocation. At the end of each month, be invested 100% in the top ranked asset class (this filter ranks based on absolute performance, but you can use any of the other risk-adjusted metrics as well).
Kevin
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compound_gains
222 posts
msg #118160
- Ignore compound_gains |
2/10/2014 7:35:11 PM
Kinda like the performance of this variation...at least last year.
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marine2
963 posts
msg #118161
- Ignore marine2 |
2/11/2014 1:38:47 AM
Thank you both, Kevin, and Compound, in giving me choices to test, try, and hopefully make some money. You both responded quickly and that's what we like in our Forum. Happy and successful investing to you both.
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Kevin_in_GA
4,599 posts
msg #118162
- Ignore Kevin_in_GA |
2/11/2014 8:00:20 AM
I use the 3 month look back period in my own 401k accounts. Every few months a re-optimize this for the best monthly period, looking back 5 years (a rolling window approach to make sure that the filter is optimized on more recent data). 3 months has been the top performer in terms of absolute equity gain, Sharpe ratio, and win percentage.
To see how it has done recently, you can see my backtest results at www.statisticalinvesting.com.
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