Kevin_in_GA
4,599 posts
msg #92852
- Ignore Kevin_in_GA |
5/17/2010 12:54:42 PM
Duke:
Not really all that confusing - either one of those settings tells you that the ETF to buy right now is IWM. At the end of this month, SHY may be the pick, but let's not jump to any conclusions until the market has a chance to do whatever it is going to do.
Based on my backtest results posted here (the ones I did by hand using various relative strength settings, combos, and rebalancing periods) I will be using the simple 63 day RS and monthly rebalancing.
Personally, I would also like to see a volume increase (buying, not just total volume) accompany any relative strength increase. I have written additional code for this, and will be happy to share it if people are interested. The filter is more complex, but the output is simple and easy to interpret.
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duke56468
683 posts
msg #92859
- Ignore duke56468 |
5/17/2010 2:08:20 PM
Kevin_in_GA
- Ignore Kevin_in_GA 5/17/2010 12:54:42 PM
Personally, I would also like to see a volume increase (buying, not just total volume) accompany any relative strength increase. I have written additional code for this, and will be happy to share it if people are interested. The filter is more complex, but the output is simple and easy to interpret.
I'm guessing we would all be interested in the filter, I for one would be.
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Kevin_in_GA
4,599 posts
msg #92860
- Ignore Kevin_in_GA |
5/17/2010 3:56:21 PM
I'll post the most recent "401k" filter in a new thread, but basically the idea regarding volume is based on several academic studies (and some common sense) that say that an upward move on declining total volume (which would usually also mean on declining buying volumes as well, but not always) is not sustainable, and might be an early indication of weakness.
Just to let you know, I posted essentially the same code in this filter thread a while back:
http://forums.stockfetcher.com/sfforums/?q=view&fid=1002&tid=84703&qrid=
Kevin
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hmsb4494
81 posts
msg #92865
- Ignore hmsb4494
modified |
5/17/2010 9:52:56 PM
Kevin---have you seen this use of OBV???
Formula for improved On Balance Volume
Cumulative total of (volume * ((high-open) / (high-low))) -
Cumulative total of (volume * ((open-low) / (high-low)))
"What we are doing here is assigning a percentage of the volume to upward and downward movement based upon the percentage of price movement in the same direction".
You can find the whole study here with charts:
http://scientifictrader.com/volume.htm
Can someone code this?
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jeremytimko
4 posts
msg #92926
- Ignore jeremytimko |
5/20/2010 11:08:34 AM
I love this filter, and the historical returns I provides, but as was previously stated, I don't think I could handle putting my stomach through the meat grinder with multiple 10% losses in less than a month. Sure, things may rebound by the end of May...then again, IWM could be down 20% for the month. With compounding, many of your prior gains could be wiped out, and more, with one treacherous month. I guess it's good to have an event like this to provide insight into the potential pitfalls of a seemingly fantastic system.
Having said all of that, I am going to continue to use this screen, but will be adding tweaks that may reduce my overall performance, but can help me maneuver around adverse market conditions like this.
I'm almost completely in SHY right now with a little VXX sprinkled on top.
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davesaint86
725 posts
msg #92932
- Ignore davesaint86 |
5/20/2010 2:18:24 PM
FYI - ETFReplay has implemented their Portfolio Backtesting Engine. You will have to register with the site. There is not cost. You can enter up to 25 ETFs in your portfolio. You can select up to the top 10 ETF's in your portfolio to test. Below are the ETFs that I added to my portfolio.
AGG,EEM,EUM,GLD,GLL,IEF,IWM,RWM
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Kevin_in_GA
4,599 posts
msg #92970
- Ignore Kevin_in_GA |
5/21/2010 11:03:17 AM
Formula for improved On Balance Volume
Cumulative total of (volume * ((high-open) / (high-low))) -
Cumulative total of (volume * ((open-low) / (high-low)))
+++++++++++++++++
Easy ...
SEEMS TO BE A BIT CHOPPY AT THE 21 DAY SUM, AND NOT VERY RESPONSIVE AT THE 63 DAY SUM. I WOULD LOOK MORE AT THE STANDARD OBV(63) AS MORE TIMELY.
I'LL KEEP LOOKING FOR THE BEST WAY TO INCLUDE VOLUME ANALYSIS IN THIS FILTER AS WELL AS JUST RELATIVE STRENGTH.
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scott111552
173 posts
msg #93333
- Ignore scott111552 |
5/31/2010 5:24:45 PM
Kevin, just curious if you used this filter on Friday, last trading day of the month....I'm watching it closely, but still on sidelines til this choppy market finds its' footing.......
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Kevin_in_GA
4,599 posts
msg #93334
- Ignore Kevin_in_GA |
5/31/2010 5:43:14 PM
Of course I did. It says stay in IWM (smallcaps). I moved one of my 401k accounts entirely into smallcaps last month (ouch), and so I am glad it is not saying "bail into SHY" for this next month. My trading account has been in cash since late April.
Also, I am now trading only on the 63 day alpha values, NOT the combined 63 and 21 day as the earlier short filter was written (I have made this point before, but want to be sure that it is clear). I am using the filter I wrote on page 5 of this thread, which shows you separately the 63 and 21 day day values (alpha, sharpe, volatility).
I am comfortable with taking whatever drawdown comes with this filter, since in its backtesting (from 2003 forward) it has outperformed the SPY by a HUGE margin.
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scott111552
173 posts
msg #93336
- Ignore scott111552 |
5/31/2010 6:10:02 PM
Forgive me, Kevin, but I seem to be getting a different result from you on that filter.....GLD was the etf that came up when I ran the filter.....I know it's my mistake.....what is the name of the filter you're using currently?? Thank you for your help....
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