novacane32000
331 posts
msg #123356
- Ignore novacane32000 |
3/26/2015 2:53:04 PM
This strategy has beaten the SP 500 by about 3.5% a year for the last 40 yrs.
http://paulmerriman.com/the-ultimate-buy-hold-strategy-2014/
Here are all the ETF equivalents I found that match the strategy mentioned with the % allocation for each.
Stocks
SPY --6
EEM--6
DLS--6
SCZ--6
EFV--6
EFA--6
IWN--6
IWD--6
IWC--6
VNQ--6
Bonds
TIP--8
BIV--20
BSV--12
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jayfray
2 posts
msg #123512
- Ignore jayfray |
4/8/2015 1:50:06 PM
Hi All, I've read through this entire thread in detail and picked out all the fetcher code as it has changed over the course of the thread. However, I'm still confused which fetcher model is being used (I'm new to the site). I see that Kevin continues to post the simple version:
symlist(spy,iwm,efa,agg)
sort on column 5 descending
offset 63 days
]
To me that appears to be just picking the etf that performed the best over the past 63 days... am I interpreting this wrong?
I'm interested in knowing which is the current 401k model, and what code to use to manually backtest this month by month over the past 1,2,3 years
Thanks for your help and all your thoughts!
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glgene
616 posts
msg #123615
- Ignore glgene |
4/20/2015 9:59:38 PM
If there are 65 trading days in a 13 week period (13 x 5), why are 63 days used in this SF script for a 3-month lookback?
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dwiggains
444 posts
msg #123616
- Ignore dwiggains |
4/21/2015 9:18:55 AM
My guess is holidays.
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Kevin_in_GA
4,599 posts
msg #123617
- Ignore Kevin_in_GA |
4/21/2015 9:53:24 AM
The reason is that there are 252 trading days in a calendar year - if SF let us use monthly data it would be trivial but since they currently do not I simply use 252/12 = 21 days per month or 63 days per quarter.
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mahkoh
1,065 posts
msg #123618
- Ignore mahkoh
modified |
4/21/2015 3:06:04 PM
Maybe you could use the datebased reference?
Not that I think it would make a big difference.
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glgene
616 posts
msg #123619
- Ignore glgene |
4/21/2015 5:50:26 PM
Kevin,
Your 21 and 63 market days now clearly make sense to me. I did a Google search, and found a site that listed the stock market closing days for 2015 and 2016. It totals 9 each year:
New Year's Day
ML King Jr. Day
Presidents' Day
Good Friday
Memorial Day
Independence Day
Labor Day
Thanksgiving Day
Christmas
So.... 260 total weekdays (52 wks. x 5) - 9 off days = 251 market days.
251 / 4 = 62.75 days per quarter (63 rounded)
251 / 12 = 20.92 days per month (21 rounded)
251 / 52 = 4.83 days per week (5 rounded)
Thanks, Kevin. You're great!
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dashover
226 posts
msg #123624
- Ignore dashover
modified |
4/22/2015 3:44:35 PM
http://seekingalpha.com/article/2996846-how-to-beat-the-market-using-tactical-asset-rotation
Another recent paper by a PHD detailing a 10 year backtest with excellent returns...
https://www.relativerotationgraphs.com/content/files/pdfs/Tactical%20allocation%20works.pdf
Pertinent reading related to backtests similar to this strategy, going back over 10 - 25 years....
90 day look lookback and buying the top assets with solid results...
Dash
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jayfray
2 posts
msg #123679
- Ignore jayfray
modified |
4/30/2015 12:28:04 PM
EFA this month then right?
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sohailmithani
192 posts
msg #123682
- Ignore sohailmithani |
4/30/2015 2:43:44 PM
Why am I getting AGG?
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