Kevin_in_GA
4,599 posts
msg #92104
- Ignore Kevin_in_GA |
5/5/2010 10:26:51 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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You have a space between CEMA and "(" that screws it up. Also you need to say "draw" rather than plot - I corrected it above.
Not sure if this meshes with the short filter I wrote here - it's goal is a once a month rotation/rebalancing between a small set of ETF options. This additional criterion may result in no trades, which would not be possible in an account like a 401k (you basically have to be in something all the time, and it must be long-only options).
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guymar
113 posts
msg #92106
- Ignore guymar
modified |
5/5/2010 10:38:44 AM
That's not what I want to do: go to choice 2 in list alpha or stay in current ETF, so the idea would be:
Check Alfa and PVMO. Go to next Alfa if PVMO negative until PVMO positive. If no Alfa available above or equal 2 with PVMO postive, go long SHY
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sbuck143
88 posts
msg #92107
- Ignore sbuck143 |
5/5/2010 10:55:01 AM
One thing with the "401k" thought Kevin - monthly updates are probably too fast for a 401k. It didn't used to be like this, but my 401k currently with Schwab (and my wife's with Citistreet) restricts you to 1 redemption every 60 days. So if I move out of a fund, I can't get back in for 60 days. I'm going to investigate the quarterly rebalancing on ETFreplay, once they get a few more slots opened up for ETF's to add.
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guymar
113 posts
msg #92109
- Ignore guymar |
5/5/2010 11:11:55 AM
My interest is obviously different, I live in Europe, so I'm looking more for a strategy that is low time consuming for a larger portfolio .....
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davesaint86
725 posts
msg #92112
- Ignore davesaint86 |
5/5/2010 11:20:49 AM
I can move in and out of my 401k fund selections every 15 days and my wife's is every 30 days.
Dave
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Kevin_in_GA
4,599 posts
msg #92114
- Ignore Kevin_in_GA |
5/5/2010 11:25:28 AM
I can rebalance mine at any time or frequency (at least as far as I know). To date I have not done it more than once a quarter, so I may be under some restrictions that I simply haven't violated yet.
That being said, the idea is sound, and can be used in any trading account. ETFReplay.com has shown that of the three frequencies for rebalancing, monthly consistently wins but quarterly usually is not that far behind.
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Kevin_in_GA
4,599 posts
msg #92115
- Ignore Kevin_in_GA |
5/5/2010 11:27:16 AM
My interest is obviously different, I live in Europe, so I'm looking more for a strategy that is low time consuming for a larger portfolio .....
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The size of the portfolio, or the number of stocks? You should only have as many stocks as you need to meet your financial objectives, no more. If you can meet them with once a month rotation between 3-6 stocks, why make it more complicated?
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cwn6161
40 posts
msg #92123
- Ignore cwn6161 |
5/5/2010 12:45:10 PM
Just to double check Kevin, on the last trading day of the month, you will run the filter to see for a new #1 ETF. If the ETF is the same, you stay in it. If it's different, you sell your old ETF and buy the new ETF, all on the last trading day. Is this correct?
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Kevin_in_GA
4,599 posts
msg #92124
- Ignore Kevin_in_GA |
5/5/2010 12:58:10 PM
Yes, that is correct. A very simple approach that has consistently beaten the market over the past seven years.
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davesaint86
725 posts
msg #92125
- Ignore davesaint86 |
5/5/2010 1:05:15 PM
I just want to check Kevin you would still buy the highest Alpha ETF even if it look's like we are turning into a downtrend. We can use May 1st for example. This is why I posted your old filter it seems like another indicator is needed. You can see that your old filter I posted is showing sell signals on the highest Alpha ETFs.
Thanks,
Dave
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