StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 50 51 52 53 54 ... 65 >>Post Follow-up
sohailmithani
192 posts
msg #119821
- Ignore sohailmithani		 5/14/2014 7:28:21 PM

Can this filter be used to pick stocks from index best performing or at least having a positive sharpe.
What I want is adding this filter to my stock selection filter and on a daily basis select stocks from index which is best or with positive sharpe.

However, not able to include this code to my own filter. Can someone comment and help in coding this one.

Thanks
bcochrane
4 posts
msg #120049
- Ignore bcochrane		 5/24/2014 12:26:12 PM

sohailmithani

You may find Page 31 of this thread useful
sohailmithani
192 posts
msg #120051
- Ignore sohailmithani		 5/24/2014 2:16:43 PM

Thanks
davesaint86
725 posts
msg #120726
- Ignore davesaint86
modified		 6/12/2014 10:40:55 PM

Below is Kevin's Sharpe-Ration Allocation filter. I tried building a 10 ETF version and haven't had any luck getting right. I was able to figure out setting up the current rankings correctly but the the % Allocation. I would appreciate some help!!! Thanks!

Fetcher[


SET{perf1A, ma(3) 60 days ago}
SET{perf1b, MA(3) / perf1a}
SET{perf, perf1b - 1}
SET{var1, perf*100}
SET{rfr, ind(^irx,close)}
SET{RISKFREERETURN, rfr/100}
SET{perf63, perf - RISKFREERETURN}
SET{STD63, CSTDDEV(CLOSE,63)}
SET{VOL63a, STD63 / MA(63)}
SET{vol63, vol63a * 100}

/*CALCULATION OF SHARPE RATIO - ANNUALIZED*/
SET{SHARPE1a, perf63 / VOL63a}
set{sharpe, sharpe1a * 0.5}

set{var1a, IND(AGG, var1)}
set{var1b, IND(IVV, var1)}
set{var1c, IND(EFA, var1)}
set{var1d, IND(IWM, var1)}
set{var1e, IND(IWB, var1)}
set{var1f, IND(IGM, var1)}
set{var1g, IND(BA, var1)}
set{var1h, IND(VXF, var1)}
set{var1i, IND(ACIM, var1)}
set{var1j, IND(IXJ, var1)}
set{var1k, IND(SHY, var1)}

SET{RANK1A, COUNT(var1 is above var1a,1)}
SET{RANK1B, COUNT(var1 is above var1b,1)}
SET{RANK1C, COUNT(var1 is above var1c,1)}
SET{RANK1D, COUNT(var1 is above var1d,1)}
SET{RANK1E, COUNT(var1 is above var1e,1)}
SET{RANK1F, COUNT(var1 is above var1f,1)}
SET{RANK1G, COUNT(var1 is above var1g,1)}
SET{RANK1H, COUNT(var1 is above var1h,1)}
SET{RANK1I, COUNT(var1 is above var1i,1)}
SET{RANK1J, COUNT(var1 is above var1j,1)}
SET{RANK1K, COUNT(var1 is above var1k,1)}


SET{RANK1L, RANK1A + RANK1B}
SET{RANK1M, RANK1C + RANK1D}
SET{RANK1N, RANK1E + RANK1F}
SET{RANK1O, RANK1G + RANK1H}
SET{RANK1P, RANK1I + RANK1J}
SET{RANK1Q, RANK1K + RANK1L}
SET{RANK1R, RANK1M + RANK1N}
SET{RANK1S, RANK1O + RANK1P}
SET{RANK1T, RANK1Q + RANK1R}
SET{RANK1U, RANK1S + RANK1T}


SET{RANK, 11 - RANK1U}

set{var2a, IND(AGG, sharpe)}
set{var2b, IND(IVV, sharpe)}
set{var2c, IND(EFA, sharpe)}
set{var2d, IND(IWM, sharpe)}
set{var2e, IND(IWB, sharpe)}
set{var2f, IND(IGM, sharpe)}
set{var2g, IND(BA, sharpe)}
set{var2h, IND(VXF, sharpe)}
set{var2i, IND(ACIM, sharpe)}
set{var2j, IND(IXJ, sharpe)}
set{var2k, IND(SHY, sharpe)}

SET{var3a, COUNT(var2a is above 0,1)}
SET{var3b, COUNT(var2b is above 0,1)}
SET{var3c, COUNT(var2c is above 0,1)}
SET{var3d, COUNT(var2d is above 0,1)}
SET{var3e, COUNT(var2e is above 0,1)}
SET{var3f, COUNT(var2f is above 0,1)}
SET{var3g, COUNT(var2g is above 0,1)}
SET{var3h, COUNT(var2h is above 0,1)}
SET{var3i, COUNT(var2i is above 0,1)}
SET{var3j, COUNT(var2j is above 0,1)}
SET{var3k, COUNT(var2k is above 0,1)}


SET{var4a, var2a * var3a}
SET{var4b, var2b * var3b}
SET{var4c, var2c * var3c}
SET{var4d, var2d * var3d}
SET{var4e, var2e * var3e}
SET{var4f, var2f * var3f}
SET{var4g, var2g * var3g}
SET{var4h, var2h * var3h}
SET{var4i, var2i * var3i}
SET{var4j, var2j * var3j}
SET{var4k, var2k * var3k}


set{var5a, var4a + var4b}
set{var5b, var4c + var4d}
set{var5c, var4e + var4f}
set{var5d, var4g + var4h}
set{var5e, var4i + var4j}
set{var5f, var4k + var4j}





SET{allocation1, sharpe / var5f}
set{allocation2, allocation1 * count(sharpe above 0,1)}
set{allocation, allocation2 *100}


symlist(agg,ivv,efa,iwm,iwb,igm,ba,vxf,acim,ixj,shy)
ADD COLUMN SEPARATOR
ADD COLUMN RANK {TAA current rank}
ADD COLUMN SEPARATOR
ADD COLUMN var1 {3 month return (%)}
ADD COLUMN vol63 {volatility (%)}
add column sharpe {sharpe ratio}
add column allocation {Sharpe-based allocation (%)}
add column corr(spy,63, close) {correlation to S&P 500}

SORT ON COLUMN 6 ascending
CHART-TIME IS 60 days
draw MA(3)
draw sharpe line at 0

]
davesaint86
725 posts
msg #120727
- Ignore davesaint86
modified		 6/12/2014 10:44:24 PM

Duplicate
jackmack
334 posts
msg #120739
- Ignore jackmack		 6/13/2014 12:31:06 PM

Kevin
Curious how on your site it's EFA but from the yahoo page for 2/28/2014-5/30/2014 (3 month lookback) it was SPY.
Can you advise what I missed?
Thank you
Cheers
manumoneya
41 posts
msg #120746
- Ignore manumoneya		 6/13/2014 10:08:06 PM

remove this line

ADD COLUMN RANK {TAA current rank}

i don't know why it is causing problem....




jimmyjazz
102 posts
msg #120747
- Ignore jimmyjazz		 6/13/2014 10:55:40 PM

jackmack, the starting date matters. Compare a start date of 2/28/14 to 3/3/14. The selected ETF switches from SPY to EFA.
dashover
226 posts
msg #120759
- Ignore dashover		 6/16/2014 11:55:58 AM

symlist(spy,iwm,efa,agg,)

sort on column 5 descending

set{diff2,close minus close 68 days ago}
set{diff2%,diff2 / close 68 days ago}
set{ratio90,diff2% * 100}


add column ratio90


----------

Says EFA, Is this correct?
jackmack
334 posts
msg #120768
- Ignore jackmack		 6/16/2014 3:02:56 PM

Sorry jimmyjazz - but that is not the way the filter is to be used.
The review is the last day of the month not the first day of the next month
so I am still not sure where Kevin got EFA for June because neither the
yahoo link or the most up to date version of the look back filter had EFA as
the top pick - it was SPY in both cases.
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