jeremytimko
4 posts
msg #92926
- Ignore jeremytimko |
5/20/2010 11:08:34 AM
I love this filter, and the historical returns I provides, but as was previously stated, I don't think I could handle putting my stomach through the meat grinder with multiple 10% losses in less than a month. Sure, things may rebound by the end of May...then again, IWM could be down 20% for the month. With compounding, many of your prior gains could be wiped out, and more, with one treacherous month. I guess it's good to have an event like this to provide insight into the potential pitfalls of a seemingly fantastic system.
Having said all of that, I am going to continue to use this screen, but will be adding tweaks that may reduce my overall performance, but can help me maneuver around adverse market conditions like this.
I'm almost completely in SHY right now with a little VXX sprinkled on top.
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davesaint86
726 posts
msg #92932
- Ignore davesaint86 |
5/20/2010 2:18:24 PM
FYI - ETFReplay has implemented their Portfolio Backtesting Engine. You will have to register with the site. There is not cost. You can enter up to 25 ETFs in your portfolio. You can select up to the top 10 ETF's in your portfolio to test. Below are the ETFs that I added to my portfolio.
AGG,EEM,EUM,GLD,GLL,IEF,IWM,RWM
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Kevin_in_GA
4,599 posts
msg #92970
- Ignore Kevin_in_GA |
5/21/2010 11:03:17 AM
Formula for improved On Balance Volume
Cumulative total of (volume * ((high-open) / (high-low))) -
Cumulative total of (volume * ((open-low) / (high-low)))
+++++++++++++++++
Easy ...
SEEMS TO BE A BIT CHOPPY AT THE 21 DAY SUM, AND NOT VERY RESPONSIVE AT THE 63 DAY SUM. I WOULD LOOK MORE AT THE STANDARD OBV(63) AS MORE TIMELY.
I'LL KEEP LOOKING FOR THE BEST WAY TO INCLUDE VOLUME ANALYSIS IN THIS FILTER AS WELL AS JUST RELATIVE STRENGTH.
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scott111552
173 posts
msg #93333
- Ignore scott111552 |
5/31/2010 5:24:45 PM
Kevin, just curious if you used this filter on Friday, last trading day of the month....I'm watching it closely, but still on sidelines til this choppy market finds its' footing.......
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Kevin_in_GA
4,599 posts
msg #93334
- Ignore Kevin_in_GA |
5/31/2010 5:43:14 PM
Of course I did. It says stay in IWM (smallcaps). I moved one of my 401k accounts entirely into smallcaps last month (ouch), and so I am glad it is not saying "bail into SHY" for this next month. My trading account has been in cash since late April.
Also, I am now trading only on the 63 day alpha values, NOT the combined 63 and 21 day as the earlier short filter was written (I have made this point before, but want to be sure that it is clear). I am using the filter I wrote on page 5 of this thread, which shows you separately the 63 and 21 day day values (alpha, sharpe, volatility).
I am comfortable with taking whatever drawdown comes with this filter, since in its backtesting (from 2003 forward) it has outperformed the SPY by a HUGE margin.
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scott111552
173 posts
msg #93336
- Ignore scott111552 |
5/31/2010 6:10:02 PM
Forgive me, Kevin, but I seem to be getting a different result from you on that filter.....GLD was the etf that came up when I ran the filter.....I know it's my mistake.....what is the name of the filter you're using currently?? Thank you for your help....
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Kevin_in_GA
4,599 posts
msg #93338
- Ignore Kevin_in_GA
modified |
5/31/2010 7:03:05 PM
You're right - I use that filter, but my symlist is just (shy,eem,iwm,spy). Since I am trading in a 401k, I can't allocate money into any real estate, commodities or precious metals funds.
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medowz
59 posts
msg #93351
- Ignore medowz |
6/1/2010 12:08:24 PM
Just for clarifications sake, is there a consensus on whether it should be a monthly or quarterly screening? The backtesting results seem to favor the quarterly if I'm reading it right. I'm also assuming the Kevin's first screen is still the primary portfolio screen. This is great stuff.
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Kevin_in_GA
4,599 posts
msg #93358
- Ignore Kevin_in_GA |
6/1/2010 2:37:51 PM
Monthly.
As I posted on page 11 of this thread:
"Now, using a 100% weighting on the 3 month relative strength, and looking back over 165 trades since 7/1996 the data is as follows:
Monthly:
Winning Trades: 119
Losing Trades: 46
Win %: 72.2%
Return since 7/1996: 376%
SPX return since 7/1996: 85.4%
Quarterly:
Jan, April, July, Oct: 268% return
Feb, May, August, Nov: 214% return
Mar, June, Sep, Dec: 433% return
Average return since 7/1996: 305%
SPX return since 7/1996: 85.4%
This longer backtest shows that monthly rebalancing is the best approach (opposite of what I posted earlier ...). Personally I am most comfortable trading this filter on a monthly basis, so this is not bad news as far as I am concerned.
There is not as large a difference as one might have expected, but it was essentially impossible to beat the SPY buy-and-hold during the late 1990's before the 2001 crash. Up to 3/2001 the buy and hold approach had returned 134% versus only 70% for this approach. "
You need to look at each three month window to be sure that, independent of the specific date you use, a quarterly rebalancing is the best approach - it isn't, but it still does much better than buy-and-hold.
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medowz
59 posts
msg #93367
- Ignore medowz |
6/1/2010 5:52:15 PM
Thanks Kevin. I'm still unclear which of the posted screens you're using as well as the ETF list. Also, there were references to filters modifications in your posts which has got me a bit confused. Could you give us the page reference, date, time or re-post the proper filter. That would be a big help. I'm playing a bit of catchup since I didn't run the screen on the weekend.
All the best.
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