jackmack
334 posts
msg #103188
- Ignore jackmack |
11/1/2011 4:15:20 PM
I honestly jumped the system and live and learn - I went into SPY and have been spanked (live and learn) that being said do you think it would be wise to move out of SPY now and into BND since it is still showing that should have been the fund to move into?
Not asking for advise - just thoughts on how the model "should" be used and if a position should be taken in BND regardless of my carelessness :-(.
Thank you
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Kevin_in_GA
4,599 posts
msg #103220
- Ignore Kevin_in_GA |
11/3/2011 4:07:00 PM
Heads up on something - if one looks back 14 weeks as this filter does, you'll notice that NEXT week the SPY and other equity indices will zoom past BND.
Why? Because 14 weeks ago next week those markets took a phenomenal hit (the SPY closed at 120). I'm not sure if this really means that equities are suddenly the place to be, but if one follows the system RIGOROUSLY one would move into whatever ETF is the new leader next Friday.
The gap will be large, not based so much on recent good performance but rather on prior bad performance. Caveat emptor on this.
Kevin
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Kevin_in_GA
4,599 posts
msg #103247
- Ignore Kevin_in_GA |
11/7/2011 10:23:53 AM
No surprise - SPY and IWM are now leading, not so much on recent performance (which has been good) but basically on past poor performance as the baseline for calculating ROC. Bonds now rank 3rd, EFA still has a negative ROC and is lagging the rest of the pack.
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jackmack
334 posts
msg #103256
- Ignore jackmack |
11/8/2011 8:50:33 AM
Kevin
Just wondering if one would be reviewing the 401K format on a weekly basis (vs. monthly as set out in model).
I know with the IRA version weekly review is advisable do to greater flexibility but I thought the 401K model was
end of month review and move into the newest leader.
Thank you
jackmack
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Kevin_in_GA
4,599 posts
msg #103313
- Ignore Kevin_in_GA |
11/12/2011 8:52:58 AM
Kevin
Just wondering if one would be reviewing the 401K format on a weekly basis (vs. monthly as set out in model).
I know with the IRA version weekly review is advisable do to greater flexibility but I thought the 401K model was
end of month review and move into the newest leader.
Thank you
jackmack
+++++++++++++
The backtest I did for the current 14 week ROC reviews weekly, using the close on Friday to do the calculation and rankings. SF does not provide monthly data, but the optimal monthly timing for SPY,IWM,BND, and EFA is still at 3 months using the MONTHLY close and re-allocation only at the end of each month.
Therefore, the current call to be in SPY on the weekly is ahead (or wrong) relative to the current monthly call, which says to stay in BND until 11/30.
Note that the monthly timing is still outperforming the weekly timing since 2004 - I'm not moving into equities until I see how the EU and US debt reduction supercommittee issues are resolved.
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dsprinting
1 posts
msg #103326
- Ignore dsprinting
modified |
11/13/2011 2:29:00 PM
Good Morning Kevin,
New to this thread, but not new to trading. I've read tons of posts here, in fact pages, where are you on the filter and buy/sell or hold strategy?
It looks like the most revised filter is on page 28 and buy/selling or holding at the last trading day of the month. If I'm wrong can you post the latest filter revision and strategy? TIA.
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jackmack
334 posts
msg #103331
- Ignore jackmack |
11/14/2011 9:00:34 AM
Good morning Kevin
Just a quick question for you - can you add to this thread an "equity curve and Stats snapshot"
like you have done in the "HOW TO DESIGN SYSTEM (NOT JUST A FILTER)" using the first
filter on page 1 and then maybe the last two filters (the 401K and IRA) now being used?
If it's too much work and you don't want to do I would understand but man it would be nice to
see what the first filter (pg. 1- original and the last two would look like and see that stats).
Thank you
jackmack
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Kevin_in_GA
4,599 posts
msg #103333
- Ignore Kevin_in_GA |
11/14/2011 10:22:37 AM
The first filter? I assume you mean this one -
I would most likely convert this to a 1 month and 3 month returns using monthly data (can't do this in SF, which is why I used the daily numbers). The original strategy was to only make trades on the last day of the month.
I can compare this to the returns generated by the straight 3 month filter, and the current 14 week filter. I would still only use SPY, IWM, EFA, and AGG to keep all comparisons fair. The dates would be 5/4/2004 until 11/11/2011 (this is the largest window I can do using these 4 ETFs (need to substitute AGG for BND to do this, but they are basically identical for this purpose).
Truth is, all of these will crush the performance of SPY over the same time frame. Why not just use the simplest version (3 month lookback, trade only at the end of the month)?
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jackmack
334 posts
msg #103338
- Ignore jackmack |
11/14/2011 12:22:01 PM
Kevin
Yes - that would be great - I cannot wait to see what this will look like.
I just see things better in a chart than on a spreadsheet - it's just who I am :-)
Thank you
jackmack
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davesaint86
725 posts
msg #103354
- Ignore davesaint86 |
11/15/2011 9:50:08 AM
Kevin,
Is there a way to combine the filter above (20 day and 3 months) with volatility like it is done with ETFReplay. Specifically I would like the filter to mimic the 3-mth (40%), 20-d (30%), Volatility 20-d (30%) or something close if it can't be done exactly.
ETFReplay measures volatility by: According to ETFReplay, Volatility is the annualized standard deviation of daily return.
Thanks,
Dave
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