Kevin_in_GA
4,599 posts
msg #94318
- Ignore Kevin_in_GA |
6/26/2010 12:26:08 PM
Is there a way to add a comment column that allows you to provide a name that is meaningful to your 401K? For instance, the comment column might contain ‘Fixed Income’ for SHY and IEI and ‘Large Cap Value’ for VTV.
+++++++
Not to my knowledge. However, this might be doable in the new watchlist format. I am beta testing it - just begun so there is plenty I don't know yet, but I like the fact that you can basically write filters and have them as column outputs in your watchlists. There may be a way to add notes - if not I will request that it be considered as a feature add.
|
gmoney
8 posts
msg #94369
- Ignore gmoney
modified |
6/27/2010 5:58:24 PM
Kevin - Great filter. I am very impressed with the awesome backtest results.
Question 1: I am wondering if the ETF Replay website has the capability to test a modification of your filter performance? I am learning it now, but I don't see how to instruct it to do what I am posing below:
Scenario - Follow your filter's signals per your once-per-month trading rules, except when the filter signals that you go to same as cash (i.e., SHY is at the top of the sort).
Whenever the filter signals you to go to SHY, instead select and invest for that month in the 100% inverse (short) ETF that aligns with the last/bottom ETF shown on that month's filter sort. In other words, if the 4th/last ETF on the sort is SPY, select SH, or if the last ETF is IWM, instead select RWM, or if it's EEM, instead select EUM.
Thoughts being that SHY presents only when the major market ETFs are experiencing a bearish trend. Instead of using a bullish bias (i.e., always be long or neutral), modify the approach to go short the "worst performing" ETF when the major market indices and trend turn bearish. My gut feel is that it may increase your already stellar returns to even higher levels by participating on both long and short sides of the market movements.
Question 2: Can modifications be made to your backtest formula to determine the percentage impact to your baselined historical backtest by going short in this manner, instead of being defensive with SHY each time it was signaled?
Question 3: In the event such backtesting hasn't been done, or can't be done with ETF Replay, can you share your specific thoughts as to how one could manually calculate such a modification to your backtest?
Thanks again for all of your insights and great work!
|
Kevin_in_GA
4,599 posts
msg #94372
- Ignore Kevin_in_GA |
6/27/2010 7:12:00 PM
Why not simply create a portfolio which contains EEM, EUM, IWM, RWM, SPY, and SH? If your premise holds true, then as the market weakens one simply moves into the inverse ETFs rather than SHY because they will have the highest relative strength score.
I JUST DID THIS ON ETFREPLAY ...
RESULTS:
Using the standard EEM, IWM, and SHY strategy, the overall return (100% on 3-month RS, rebalance monthly) was 397% versus 41.3 for the SPX. Volatility was 21.9% versus 21.5 - essentially the same.
Using a 6 ETF portfolio containing EEM/EUM, IWM/RWM, and SPY/SH, same conditions as above returned 580%, with a volatility of 35.2 (higher, but so was the return).
Note that the risk-adjusted returns (let's just divide the annualized return by the annualized volatility) are as follows:
SPX annualized return = 5.06%
3 ETF annualized return = 25.74%
6 ETF (inverse) annualized return = 31.50%
risk adjusted returns are
SPX - 5.06/21.5 = 0.235
3 ETF - 25.74/21.9 = 1.175
6 ETF - 31.50/35.2 = 0.895
Obviously you get less volatility when using SHY than using the inverse ETFS, but also do not get as high a return.
It's up to the individual to decide what level of volatility they are willing to endure ...
|
gmoney
8 posts
msg #94374
- Ignore gmoney |
6/27/2010 11:06:12 PM
Brilliant, Kevin - you be da' man!
It was a "duh" moment for me, as your solution was so obvious and simple. Thanks for a quick and awesome response!
The 6 ETF scenario provides an enormous difference in the theoretical return, with a relatively small differential increase in risk & volatility, when compared with the 3 ETF values.
Have a great week!
|
gmoney
8 posts
msg #94380
- Ignore gmoney |
6/28/2010 1:12:03 AM
Two final clarification questions so I can better use and conduct evaluation testing myself on ETF Replay:
1) What specific feature(s) did you use on ETF Replay.com to backtest this 6 ETF strategy?
2) How and where did you record and describe the 6 ETF Strategy in order for ETF Replay to test it and display results? (i.e., strategy rules - one trade per month, based on highest Alpha produced, monthly rebalancing (why is any rebalancing required if only one ETF is invested at any one time?).
Thanks for your help.
|
Kevin_in_GA
4,599 posts
msg #94402
- Ignore Kevin_in_GA |
6/28/2010 9:18:07 PM
Two final clarification questions so I can better use and conduct evaluation testing myself on ETF Replay:
1) What specific feature(s) did you use on ETF Replay.com to backtest this 6 ETF strategy?
2) How and where did you record and describe the 6 ETF Strategy in order for ETF Replay to test it and display results? (i.e., strategy rules - one trade per month, based on highest Alpha produced, monthly rebalancing (why is any rebalancing required if only one ETF is invested at any one time?).
Thanks for your help.
+++++++++
Create an account. This lets you create and save ETF portfolios that you can backtest. It's really easy.
|
gmoney
8 posts
msg #94419
- Ignore gmoney
modified |
6/29/2010 11:42:04 AM
That was easy once I found the backtest screen that you use at ETFReplay.com. It is simple, indeed. Thanks! And nice work on your adaptation of the Connors filter.
|
wkloss
231 posts
msg #94421
- Ignore wkloss |
6/29/2010 1:43:26 PM
Kevin,
Re:Your post on 6-27
What was the time period that your annualized returns cover?
Bill
|
Kevin_in_GA
4,599 posts
msg #94424
- Ignore Kevin_in_GA |
6/29/2010 2:35:47 PM
From whenever each ETF started trading (not all started in 2003) until the close on the day of the post.
|
cwn6161
40 posts
msg #94429
- Ignore cwn6161 |
6/29/2010 4:38:55 PM
With the month's end tomorrow, I'm going to start using the 6 ETF method in my Roth. Its small enough that extra volatility doesn't really bother me.
|