jimmyjazz
102 posts
msg #117310
- Ignore jimmyjazz |
12/10/2013 9:27:01 AM
FYI:
SPY has overtaken IWM. This doesn't mean anyone should exit IWM and jump into SPY, because the system looks at month-end data only. Just a heads-up.
|
amtmail
34 posts
msg #117498
- Ignore amtmail |
12/23/2013 6:31:45 PM
My question is , if i will use parabolic SAR to get in and out of the stock during the month? is it possible to increase the profit and avoid loss?
|
Kevin_in_GA
4,599 posts
msg #117499
- Ignore Kevin_in_GA |
12/23/2013 8:50:14 PM
That is not what this system is about.
You can modify it as you wish, and share the results. My guess is that if you do as you suggest you will end up getting whipsawed and make less profit.
|
davesaint86
725 posts
msg #117538
- Ignore davesaint86 |
12/27/2013 11:18:32 AM
Kevin,
Just want to thank you for this filter. It's so simple and quick. I wish I knew and understood the 3-month relative strength concept when I first starting contributing to my 401k. There is no doubt I would have way over a million dollars in my account right now. Happy new year.
Davesaint
|
Kevin_in_GA
4,599 posts
msg #117544
- Ignore Kevin_in_GA |
12/27/2013 10:05:41 PM
Looks almost certain to be a move from small caps back into large caps for January. I'll be traveling so I won't make the move until 1/6 but for others the system rules would have you re-allocate on 12/31.
|
amtmail
34 posts
msg #117555
- Ignore amtmail |
12/30/2013 1:59:50 AM
Kevin , can i use the filter in page 48 for bonds ETFs like
symlist(bnd,hyg,lqd,agg,bsv,tip,csj,jnk,shy,vcsh,bkln,ciu,mbb,tbt,mint,biv,ief,hys) ?
Thank you
|
Kevin_in_GA
4,599 posts
msg #117563
- Ignore Kevin_in_GA |
12/30/2013 10:43:34 AM
You can but the optimal timing is based on the four ETFs I currently use.
|
davesaint86
725 posts
msg #117569
- Ignore davesaint86 |
12/30/2013 7:12:10 PM
Amtmail,
I ran you selections through ETFReplay using the 3-month relative strength starting with the highest relative strength and working my way up to all 16. The numbers are not good. I put together a short list of bonds a few months ago and backtested it back to 2008 and the returns were a lot better.
AGG, CWB, JNK, PTTRX (Bond is ETF Equiv), TLH. Selecting the top ETF based on the 3 month Relative Strength results are below.
Avg Annual Return 14.2
66.7% Win Rate
-6.85 Biggest Monthly Lost
2008 the gain was 12.6%
2013 the gain was 12.4%
If you remove TLH from the mix the win rate goes up to 73.5% but the overall avg annual return goes down to 13.4%.
|
amtmail
34 posts
msg #117570
- Ignore amtmail
modified |
12/30/2013 8:55:15 PM
Thank you Kevin and Davesaint86 , can i remove PTTRX from the list ? is there any substitute ?
How I can back test it here ?
|
davesaint86
725 posts
msg #117580
- Ignore davesaint86 |
12/31/2013 1:13:28 PM
Amtmail
Use the ETF symbol Bond instead of PTTRX.
|