sbuck143
88 posts
msg #92030
- Ignore sbuck143 |
5/4/2010 9:37:21 AM
guymar- did you just take the top ranked one or a number of them?
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Kevin_in_GA
4,599 posts
msg #92031
- Ignore Kevin_in_GA |
5/4/2010 9:38:31 AM
I included DBC, OIL, EEM, SPY, IEV, SHY, SH, DOG, PSQ, EUM to have coverage of all situations (boom in Oil, growth pickup in Europe first, emerging economies first, commodities first, also to be able to benefit from short situations) and obtained over the period June 2006 to now 26 796 USD with an initial 10 000 USD portfolio.
This is a compound annual rate of 27,94% during a huge crisis. Furthermore it's possible to optimize this and avoid some losses by using Fibonacci turn dates and going cash during that month. In that case the portfolio really triples.
What is even more interesting is that these ETF's are liquid, so there is very little slippage (except in the ETF's themselves) and the entire thing does not take a lot of time....
+++++++++++
Remember also that the goal is not just maximizing returns, but also managing risk. The volatility in these asset classes should also be monitored - if you can get a similar return with less risk why would you not do so?
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guymar
113 posts
msg #92033
- Ignore guymar
modified |
5/4/2010 10:58:19 AM
Point taken, I will try and take time to compile Sharpe ratio and compare with your selection.
For this reason there were no leveraged ETF's in the list.
The ETF's in the list are in my personal opinion a good representation of the typical money flows. The 3 states of the market up, down, sideways would result in a strategy: up: long, down: short, sideways: look for alternatives (commodities, oil, emerging markets, or europe).... It's not substantiated by research, but I had the feeling the ETF's included are not adding to much beta.
On the other hand, it might be better to include drawdown and drawdown period as well ..?
So to be clear: I did not extend the list to maximize profits, more to diversify and be able to track a large panel of investors as they would go looking for opportunities. I don't think this strategy alone would work with leveraged ETF's though.
I invested in only 1 ETF, top of the list, except if the new top of the list did not exceed an existing position by more than 0,01 alfa (trying to take in account price slippage on trades and transaction cost).
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Kevin_in_GA
4,599 posts
msg #92036
- Ignore Kevin_in_GA |
5/4/2010 11:29:42 AM
Point taken, I will try and take time to compile Sharpe ratio and compare with your selection.
++++++++++++++
HERE YOU GO:
IN TABLE VIEW, IT IS EASY TO SEE THE RESULTS FOR BOTH THE 21 DAY AND 63 DAY TIMEFRAMES (INCLUDING SHARPE RATIO, ALPHA, AND BETA). 21 TRADING DAYS IS EQUAL TO ONE CALENDAR MONTH.
ETFS ARE STILL RANKED BASED ON ALPHA RATHER THAN SHARPE IN THIS FILTER. ONE CAN EASILY RANK THEM BY SHARPE RATIO INSTEAD (JUST SORT ON COLUMN 5 DESCENDING). THIS DOES REDUCE OVERALL YIELD, PERHAPS BY MORE THAN NECESSARY - YOU ARE OCCASIONALLY MOVED INTO BONDS OR CASH BASED ON THEIR VERY LOW VOLATILITY AT THE EXPENSE OF HIGHER YIELDING ALTERNATIVES.
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guymar
113 posts
msg #92037
- Ignore guymar |
5/4/2010 11:34:43 AM
This represents some extra work :-))) Cannot guarantee to come back with swift feedback on this one......
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davesaint86
725 posts
msg #92059
- Ignore davesaint86
modified |
5/4/2010 7:04:14 PM
Kevin,
I'm curious if you ran the same test sorting on RS instead of Alpha would the returns be higher since your Jan 1 2007 start date. I used my 401k ETF equivalents as the selections. The RS in this filter is based on a 4 week cycle. The RS may be close to your 21 day Alpha.
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hmsb4494
81 posts
msg #92077
- Ignore hmsb4494 |
5/5/2010 12:57:06 AM
KEVIN---
On your based on price filter above, can you make it to show the etf the day it changes from a sell to a buy and a buy to a sell???
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guymar
113 posts
msg #92084
- Ignore guymar |
5/5/2010 3:39:09 AM
People, I can't do all the backtesting fast enough here :)
I have the following idea: use the McLellan Oscillator to change the baskets of ETF's in function of market situation (you could use 3 models with different SYM lists for example....) and optimize like this. These models are simply crying out for a good framework (an objective one) to be put in.
Might ask my son to help with the back-testing .....
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guymar
113 posts
msg #92100
- Ignore guymar |
5/5/2010 10:02:15 AM
I would like to combine this with the formula:
But I get an error on the last line, the attempt is to have a 3 period exponential moving average to get the V*PMO or Volume Price Momentum Oscillator......the idea would be to avoid some trades by not taking the trade if this indicator gives a sell signal...
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guymar
113 posts
msg #92102
- Ignore guymar |
5/5/2010 10:21:24 AM
Got it now, I am going to test the following:
Buy selected ETF only if VPMO positive .....
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