tennisplayer2
210 posts
msg #105422
- Ignore tennisplayer2 |
3/13/2012 8:20:18 PM
Kevin, I would like to thank you for all the posts. I am new here. I am wondering which filter you are using for your 401k and how often do you reallocate. Thanks for your great work.
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Kevin_in_GA
4,599 posts
msg #105424
- Ignore Kevin_in_GA |
3/13/2012 9:36:32 PM
I use a 3 month lookback on the ROC, and only reallocate if needed on the last trading day of the month.
Unfortunately, SF still does not provide monthly data despite multiple requests from members over the past few years. As a workaround one can use the following:
Just look at which has done the best since then. At the end of each month, change the offset to the last day of the next month.
Kevin
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tennisplayer2
210 posts
msg #105426
- Ignore tennisplayer2 |
3/13/2012 9:52:46 PM
Thanks
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mmaurice
51 posts
msg #105429
- Ignore mmaurice |
3/13/2012 11:24:24 PM
Similar but different, I use a 10mo MA method on SPY, EFA, IEF, DBC, VNQ.
On the 1st trading day of the month, If each previously closed above its 10mo MA buy in, if not either sell or stay out.
Ready the Ivy Portfolio for a great study on this method.
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Kevin_in_GA
4,599 posts
msg #105430
- Ignore Kevin_in_GA |
3/13/2012 11:37:18 PM
I based my system on Faber's work as well. You'll see both the TAA system and a 9 month MA timing system on my web site. Both are simple to follow and work nicely on long term investment acounts such as 401ks.
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tennisplayer2
210 posts
msg #105432
- Ignore tennisplayer2 |
3/14/2012 5:29:11 AM
Kevin and MMaurice, thanks for y'all suggestions. Kevin, I really like the very first filter that you talked about (the one on page one of Portfolio Selection and Management, using IWM, EEM, SHY). Is the one with 3 month lookback statistically much better? On the one with the 3 month lookback, is it correct that at the end of March 2012, I would set the offset date to 12/31/2011 and at the end of April, the offset date would be set to 1/31/2012? I know that the decision will be up to me, but I'm just amazed on the great work that you have done for me and others. If I had read your posts before 2009, I would be much better off. Thank you very much.
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jackmack
334 posts
msg #106983
- Ignore jackmack |
7/11/2012 1:42:55 PM
Kevin
Is there a way to add a rack to this filter?
1 through 4?
Thank you
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jackmack
334 posts
msg #106984
- Ignore jackmack |
7/11/2012 3:10:05 PM
Kevin - sorry RANK (not rack)
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Kevin_in_GA
4,599 posts
msg #106987
- Ignore Kevin_in_GA |
7/11/2012 7:51:46 PM
Yes, I posted the code for ranking these in the original thread. Just look toward the end of the thread, maybe back five pages or so.
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duke56468
683 posts
msg #106996
- Ignore duke56468 |
7/12/2012 9:12:06 AM
This maybe the one Kevin was talking about, just change the symbols.
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