jackmack
334 posts
msg #111824
- Ignore jackmack |
2/27/2013 12:22:31 PM
Looks like tomorrow will be a move out of EFA and into IWM?
Kevin - is that correct?
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Kevin_in_GA
4,599 posts
msg #111825
- Ignore Kevin_in_GA |
2/27/2013 12:51:38 PM
YUP - hopefully that fiscal cliff thingy doesn't make the first part of the month ugly.
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jackmack
334 posts
msg #111826
- Ignore jackmack |
2/27/2013 1:04:48 PM
I've learned that if you turn of CNBlastC - there is no noice - just the charts.
It's kind of nice actually ;-)
Thank you
Cheers
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Kevin_in_GA
4,599 posts
msg #112041
- Ignore Kevin_in_GA |
3/4/2013 2:35:09 PM
Web site was updated this weekend - I am also looking at an earlier filter from this thread.
Here is a slight variation of it -
Just a simple sum of the one and three month look backs. Both this and the standard three month lookback point to fully investing in US Small Caps (IWM) for March. I am currently 100% in small caps in all of my investment accounts for this month.
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voidcomp
23 posts
msg #112062
- Ignore voidcomp |
3/5/2013 10:49:20 AM
Your revision more closely aligns to the default ETFReplay model.
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Kevin_in_GA
4,599 posts
msg #112064
- Ignore Kevin_in_GA |
3/5/2013 11:38:39 AM
Yes, except they also incorporate volatility, so the results are different (but aligned, as you had indicated). If you have an ETFreplay account, can you compare these two setting volatility to zero for both? I would like to see how the two variations compare in their backtesting.
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blumberg
27 posts
msg #112071
- Ignore blumberg |
3/5/2013 7:55:35 PM
IWM broke out of a massive cup and handle on a weekly time frame back in December. It's been on a tear ever since. The future looks very bright for the US stock market, especially for smaller companies.
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sohailmithani
192 posts
msg #112080
- Ignore sohailmithani |
3/6/2013 11:42:56 AM
Hi Kevin
Can you please let me know which page can I see the results of the current startegy that you are using? Is it page 7?
Thanks
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Kevin_in_GA
4,599 posts
msg #112081
- Ignore Kevin_in_GA |
3/6/2013 12:24:05 PM
The standard is a 3 month lookback, but since we cannot get SF to provide monthly data the simplest approach is to simply use an offset, and change it each month:
To make it simple, this is the filter we used for March, run on the last day in February:
and through this month you use the following (and on 3/29 look at who is in the lead and invest accordingly):
Just use the last column to see the performance of each asset class, and stay with the leader. If you want to use the 1 month + 3 month hybrid filter, it is listed above. Both point to IWM for March.
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voidcomp
23 posts
msg #112082
- Ignore voidcomp |
3/6/2013 1:14:10 PM
Yes, ETFReplay can set volatility to 0 and weight either of the 2 time periods to whatever.
I'll make a brief plug (I have no financial interest) in saying my initial interest in subscribing was the easy way in which it takes the best aspects of the momentum strategy in a way which requires no coding. It's really a top flight analysis tool especially suited to risk adverse, longer term investors.
You discover that the easiest way to minimize drawdown and keep trading to a minimum is to keep your 'universe' of ETF's conservative with a hefty dose of total allocation heavily weighted to short or intermediate term bond/reverse-bond//market neutral ETF's. I sometimes get the impression on this forum that some love the returns but can't put up with the volatility. Go figure :)
What makes it especially powerful is the optional added criteria that even the top performer(s) must be above some moving average to pass muster for purchase. This avoids purchasing the 'best of the worst' scenario where everything is tanking.
As you can imagine most of the conservative strategies have greatly underperformed the broad market this year ... as it should.
Finally, one of the most overlooked strategy modules within ETFReplay (which also happens to be the simplest) is their 'Ratio MA' backtest which divides one ETF by another, then throws a moving average (or 2 moving average) on the chart to tell you which one to be in.
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