PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS

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cwn6161 40 posts msg #95920 - Ignore cwn6161 modified	8/31/2010 8:04:20 PM I'm still using these filters for my Roth and 401k. I believe I'm restricted to trading my 401k to no more than once a month, so I'm going to stick with the old filters. My Roth has been using the more aggressive filters with the inverse ETFs. I think these are leaps and bounds better than just sticking my cash into an index fund or something - this thread has made my subscription here far worth it.
Kevin_in_GA 4,599 posts msg #95989 - Ignore Kevin_in_GA	9/3/2010 1:44:41 PM I finally got around to optimizing The TSI settings. Using StrataSearch, I was able to have it calculate the weekly TSI data for SPY, IWM, AGG, and EEM going back to 2004. I them imported these into Excel and calculated the equity curves for each of 16 settings - weekly TSI(X,Y,1) where X = 3,5,7,9 and Y = 3,5,7,9). Luckily, the symmetric nature of double EMAs meant that I only had to calculate 10 different combinations (the triangular matrix for you math nerds). It did it for 2004 -2010 as well as 2007-2010. It seemed that most of the gains were actually made during the more volatile past 4 years. Starting from 1/1/2007 until 8/27/2010, you got the following data: weekly TSI(3,3,1) = 52.6% return since 2/2/2004, 45.6% return since 1/3/2007. 95 trades made since 2007. weekly TSI(3,5,1) = 48.6% return since 2/2/2004, 50.8% return since 1/3/2007. 90 trades made since 2007. weekly TSI(3,7,1) = 53.9% return since 2/2/2004, 50.9% return since 1/3/2007. 79 trades made since 2007. weekly TSI(3,9,1) = 62.7% return since 2/2/2004, 45.7% return since 1/3/2007. 60 trades made since 2007. weekly TSI(5,5,1) = 67.0% return since 2/2/2004, 59.4% return since 1/3/2007. 70 trades made since 2007. weekly TSI(5,7,1) = 57.0% return since 2/2/2004, 35.2% return since 1/3/2007. 52 trades made since 2007. weekly TSI(5,9,1) = 53.8% return since 2/2/2004, 42.3% return since 1/3/2007. 47 trades made since 2007. weekly TSI(7,7,1) = 50.9% return since 2/2/2004, 42.3% return since 1/3/2007. 47 trades made since 2007. weekly TSI(7,9,1) = 40.8% return since 2/2/2004, 30.5% return since 1/3/2007. 44 trades made since 2007. weekly TSI(9,9,1) = 28.3% return since 2/2/2004, 25.8% return since 1/3/2007. 40 trades made since 2007. Clearly the Weekly TSI(5,5,1) settings are the best within this set. Looking at the data from 2007, about 10% of the trades suggested were within 2 weeks of the previous trade, so that might be an issue of you are limited to only two reallocations per month. For comparison: SPY Buy and Hold: -19% return since 1/3/2007. Diversified Portfolio (equal weights in all four ETFs): -0.1% return since 1/3/2007. Obviously there is value in having a diversified portfolio, but using strategic asset allocation based on buying into strength (either using RS or the weekly TSI) yields a much higher return at lower overall volatility. These are the settings I will be using to manage my investment accounts moving forward. I don't know how many 401k accounts can say that they did better over the same time period - I just wish I had figured this out back then!
wkloss 231 posts msg #95998 - Ignore wkloss	9/3/2010 5:06:52 PM Kevin, For clarification, are your % returns annual returns or total returns over those time periods? Bill
Kevin_in_GA 4,599 posts msg #96001 - Ignore Kevin_in_GA	9/3/2010 7:57:13 PM Total - man if they were annual returns I would never share this one!!! Even as total returns, they crush most more complex systems over the same time period. However, in a strong bull market this rotational system will likely underperform (e.g., the late 90's).
davesaint86 726 posts msg #96012 - Ignore davesaint86	9/4/2010 10:43:38 AM It look's like AGG still has the TSI lead. Dave
davesaint86 726 posts msg #96020 - Ignore davesaint86	9/5/2010 11:34:02 AM Kevin - This is somewhat off topic, but what is your strategy for short-term cash (non-retirement) investing? Currently I invest mine in a money market paying less than 1% or so. However I've been backtesting some buy and hold portfolio's and it seems like the equal weighted portfolio of (AGG,BSV,GLD,SHY) is a viable buy and hold portfolio in especially in times like we are in now. YTD Gain Volatility YTD 6.7% 4.61% 2009 7.1% 6.3% 2008 7.0% 9.6% 2007 10% 4.6% Dave
Kevin_in_GA 4,599 posts msg #96030 - Ignore Kevin_in_GA	9/5/2010 9:13:23 PM Dave: I posted this late last year: http://forums.stockfetcher.com/sfforums/?q=view&fid=1001&tid=83233&qrid=&isiframe= This portfolio has returned 46.35% since 11/17/2008. My guess is that if one used asset rotation on this, shifting the percentages invested in each to reflect the relative ranking of the assets, it would have done much better. Even as a buy-and-hold portfolio, it has done phenomenally well given the volatility of the period over which it was held.
Kevin_in_GA 4,599 posts msg #96050 - Ignore Kevin_in_GA	9/7/2010 7:06:57 AM Here is the most recent iteration of the filter I am using - stripped down a bit from the original, but it now includes a correlation matrix of the assets so that you can see whether or not you have a properly diversified set of ETFs. Like this particular version, as it shows the cross-correlation of the asset classes clearly. I have added in GLD and VNQ to provide more options for others - I do not have these assets as funds in which I can invest in my own 401k, though. AGG still the leader, with GLD moving up - what does that tell us? Fetcher[ /MANAGING YOUR 401K USING INTRINSIC STRENGTH AND ASSET ROTATION/ SYMLIST(SPY,IWM,VWO,AGG,VNQ,GLD) ADD COLUMN SEPARATOR ADD COLUMN WEEKLY TSI(5,5,1) {WEEKLY TSI(5,5,1)} ADD COLUMN SEPARATOR and add column corr(agg,100,Close) and add column corr(gld,100,Close) and add column corr(iwm,100,Close) and add column corr(spy,100,Close) and add column corr(vnq,100,Close) and add column corr(vwo,100,Close) SORT ON COLUMN 1 ascending CHART-DISPLAY IS WEEKLY CHART-TIME IS 26 WEEKS DRAW WEEKLY MA(40) ]
davesaint86 726 posts msg #96065 - Ignore davesaint86	9/7/2010 7:25:30 PM I do not know if you ever read this book. There is enough information on this site to understand it without buying the book. If you want to access the online supplement the id is Perfect and the password is Portfolio. Thanks, Dave
davesaint86 726 posts msg #96067 - Ignore davesaint86 modified	9/7/2010 7:37:52 PM If the below buy and hold strategy (equal weighted) averages a little over 7% per year, year after year I wondering if buying on the dips using the filter can help you gain another 1-3%. I do not know if there is a way to proof it. My wife and I have non 401k/IRAS funds to invest and instead of investing the funds in a Money Market I was thinking something more like this strategy. Would buying on the dips work better or using timing work better? (I posted this awhile back. I do not remember where I got this from , the gist of the strategy) I haven't tested this filter. This may work well for restrictive 401k Plans. You might be able to use to swing trade also. Have any suggestions to make it better. The 2 Accumulation Buy Points are computed based on a formula which uses each stocks individual Average Range over the previous 20-Day Period. T Before you begin any Dollar-Cost-Averaging Accumulation Plan on a stock you think will will RECOVER in the future, you should wait for two very important Macro Technical Signals off the WEEKLY CHART. This will help you prevent initiating the investment process prematurely. Make sure that your stock is trading ABOVE its own 30-Week simple moving average and that it has cleared the MAJOR DOWNWARD OVERHEAD RESISTANCE LINE before you switch to the daily timeframe to start using the Pivot High Calculator. Dollar-Cost-Averaging Accumulation Plan Purchasing Stocks - Rules he Investment Stock Recovery Process can be summerized in the following 4 statements. 1.) Know when to start using the Weekly Macro Techincal Confirmation. 2.) Use a go slow Dollar Cost Average process to feed money into your stock vs. lump summing your position all at once. The Pivot-High Calculator helps you compute the best entry prices. 3.) Know when a recovery stock is not performing and when you should consider pulling the plug on the position. 4.) Diversify your stock porfolio across several stocks (3-5 is ideal) in order to increase your odds of being in stocks that perform as well as to reduce the risk that any individual stock has on your entire portfolio should there be a adverse price move against you. Only continue your Dollar Cost Averaging Investiment Strategy as long as the stock is above the sloping 30-Week Moving Average. Cut your Position in Half by Placing a 3.0% Stop Loss Below the 30-Week SMA. (On a 7% drop below the 30-Week you should consider closing out the remainder of your positions) Fetcher[Apply to Symlist symlist(AGG,SHY,,BSV,GLD) and draw CCI (20) line at 100.00 and draw CCI (20) line at -200.00 and draw Slow Stochastic(5,3) Fast %K line at 20.00 and draw Slow Stochastic(5,3) Fast %K line at 80.00 and draw Slow Stochastic(5.3) Fast %K line at 50.00 and draw MACD Fast Line(12,26) line at 0 draw rsi(2) line at 70 draw rsi(2) line at 10 and draw MA(130) and draw average volume(90) and do not draw MA(10) and do not draw MA(20) and do not draw MA(200) Set{ATR300, ATR(45) * 4.00} Set{ATR400, ATR(45) * 8.00} Set{ATR650, ATR(45) * 12.00} Set{Buy1, high 45 day high - ATR300} Set{Buy2, high 45 day high - ATR400} Set{Buy3, high 45 day high - ATR650} and add column separator and add column atr(45) {ATR} and add column separator high 45 day high low 45 day low add column RSI(2) add column separator add column MA(130) add column separator add column high 45 day high {45d-H} and add column separator add column low 45 day low {45d-L} and add column separator and add column Buy1 and add column separator and add column Buy2 and add column separator and add column Buy3 sort column 8 ascending ]

StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS

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