Kevin_in_GA
4,599 posts
msg #92142
- Ignore Kevin_in_GA
modified |
5/5/2010 4:14:07 PM
Guymar:
Here I might disagree with you - from my point of view, the objective is to determine if the relative strength method is one that can consistently deliver higher returns than the SPY over a reasonable time frame (say 1 year or longer).
Statistical sampling here can be in weeks, months, or quarters. Since Jan 1 2003 there have been 384 weeks, 88 months, and roughly 22 quarters.
Regardless of the rebalancing period used, this method delivers higher returns (SPY return at 53.2% as of close today):
weekly - 168.9%
monthly - 383.5%
quarterly - 338.2%
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ciscoslaves
5 posts
msg #92145
- Ignore ciscoslaves
modified |
5/5/2010 4:52:01 PM
Hi, in case anyone is interested in the results, I backtested using Vanguard Sector ETFs and SHY as a proxy for cash to Jan 2007.
I used:
VCR , VDC , VDE , VFH , VHT , VIS , VGT , VAW , VNQ , VOX , VPU
I picked the top three results each month and bought equal positions. If SHY was indicated by the original filter, I went to cash for the entire month.
These are the numbers I came up with, with compounded :
2007 - 12.4% return
2008 - 14.15% loss
2009 - 36% return
2010 - 11.9% return
Overall, from Jan 2007 - now, a 46.2% return. Not bad, but not as good as Kevin's simpler strategy of just using EEM, IWM, and SHY.
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davesaint86
725 posts
msg #92146
- Ignore davesaint86 |
5/5/2010 4:58:40 PM
I went to the ETFReplay site and ran the relative strength backtest using IWM, EFA, and SHY. SPY was the benchmark. The gains since 2003 was 147%. The weighting I used was 40, 30, 30.
Question - How come the bar chart % gains do not match what is in the big chart? Which one is correct?
Thanks,
Dave
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Kevin_in_GA
4,599 posts
msg #92147
- Ignore Kevin_in_GA
modified |
5/5/2010 5:04:50 PM
Dave: Look more closely - you need to subrtract the initial 100,000 investment from the chart to get the return.
Also, try 50% on 3 month, 50% 20-day, 0% volatility. Higher returns but also higher volatility.
EDIT: I ran these ETFs at the settings I listed above - return since 2003 is up to 215.5% versus the SPY at 52.3%
Volatility was at 16.1% versus 21.4% for the SPY
If you run it with VWO, the return is now up to 324.2%
If you run it with EEM, the return is a whopping 477.1%, more than double that EFA generated.
This is why EEM was my emerging market ETF of choice ...
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davesaint86
725 posts
msg #92149
- Ignore davesaint86
modified |
5/5/2010 5:18:57 PM
Thanks Kevin for answering all of my questions.
If anyone out there needs a conservative buy & hold ETF strategy 5-8% per year these ETFs and Weightings same to do pretty well even in 2008.
BND - 25%
BSV - 25%
SHY - 25%
GLD - 25%
Dave
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hmsb4494
81 posts
msg #92165
- Ignore hmsb4494 |
5/5/2010 8:07:37 PM
Kevin---i'm a little confused (nothing new)
on etf backtest using eem, iwm, and shy I ran the 3 month time period with 100% weight.
I got 317% since 2003
When I ran the same using the 3 month 50% weight, and another 3 month 50% weight, I GOT 448% SINCE 2003.
Whats happening here???
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Kevin_in_GA
4,599 posts
msg #92167
- Ignore Kevin_in_GA |
5/5/2010 8:22:06 PM
I just ran it with those settings and got the same answer for 50/50 or 100/0 = 448%. No apparent glitch.
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hmsb4494
81 posts
msg #92168
- Ignore hmsb4494 |
5/5/2010 8:37:29 PM
try this Kevin-----3 month 100% 6 month 0
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hmsb4494
81 posts
msg #92169
- Ignore hmsb4494 |
5/5/2010 8:39:48 PM
if you change return b time period, it changes total return---even though the weight on the different time period is 0
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Kevin_in_GA
4,599 posts
msg #92170
- Ignore Kevin_in_GA |
5/5/2010 8:42:59 PM
Yeah, numbers are different. Hey, it's not my site, guys! I think it must be looking for some second timeframe, and factor it in even if it is set to 0.
I still think the 50/50 split numbers are solid. I also know that I backtested my shorter filter by hand from 2007 - today, and it gave very simliar results.
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