Kevin_in_GA
4,599 posts
msg #96231
- Ignore Kevin_in_GA |
9/13/2010 2:37:53 PM
I switched into the Emerging/International Markets fund this morning. Should have done it on Friday, but was traveling.
Note that even with AGG gaining 0.25% so far today, it has dropped in its TSI score. Currently dead last. This indicator is a good one for longer trend trading. For shorter time frames, I would use the VXX/SPY ratio - this called a long position on 8/27 and is still signalling to stay long.
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blackthought
25 posts
msg #96367
- Ignore blackthought |
9/18/2010 2:06:54 AM
hey kevin,
i am a big fan of your work.
i have been looking at this filter and i have a question. wouldn't adding the UUP (US Dollar Fund) , DBA (Agriculture Fund), SLV (Silver Trust) , & USO (United States Oil Fund) paint a bigger/clearer picture of what's going on?? thanks.
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duke56468
683 posts
msg #96552
- Ignore duke56468 |
9/24/2010 9:22:07 PM
Kevin have you discarded the bottom filter in favor of the top one? They do give different results. Thanks for all your help.
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Kevin_in_GA
4,599 posts
msg #96558
- Ignore Kevin_in_GA |
9/25/2010 1:41:19 PM
Actually they give the same results ... the TSI settings are different but the rank ordering is the same. In the more recent filter I have added in GLD and VNQ, but I cannot trade them.
Both filters still say to hold VWO.
As to which one I currently use, it is the most recent. The weekly TSI(5,5,1) backtested to be the most consistent and profitable of a series of TSI settings. I posted the results in this thread previously.
Good week - all six asset classes went up. You basically couldn't lose money (except for me, who is still holding SPXU).
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duke56468
683 posts
msg #96559
- Ignore duke56468 |
9/25/2010 5:03:05 PM
My bad ...I don't know how I got "sort on column 1 ascending" in the top filter, GRIMLINS. Thanks again Kevin.
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Kevin_in_GA
4,599 posts
msg #96560
- Ignore Kevin_in_GA
modified |
9/25/2010 7:45:08 PM
Sort on Column 1 in the top filter is correct - I specifically sorted it that way (not to have the top score be the first on the list, but to position each ETF so that the subsequent columns on Correlation formed a correct correlation matrix).
The correlation matrix tells you how efficiently diversified is your set of ETFs. I figured that anyone using this filter can quickly look at the scores and see which one is the highest. The deeper insight on this system is to be sure that your asset classes are uncorrelated so that you have options that are rising when others are falling.
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duke56468
683 posts
msg #96561
- Ignore duke56468 |
9/25/2010 8:40:57 PM
OK....probably too sophisticated for this alzheimer's candidate. :-)
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Kevin_in_GA
4,599 posts
msg #96636
- Ignore Kevin_in_GA |
9/30/2010 5:47:23 PM
Hope folks are watching VWO (and GLD for those who can trade it). These are the top-ranked ETFs, and have both done quite well with this timing system.
VWO is up 5.89% since the BUY signal at the close on 9/13.
Going into tomorrow, no change to the relative rankings - no need to do any trading until the end of next week (and most likely not even then).
Kevin
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davesaint86
726 posts
msg #96648
- Ignore davesaint86 |
10/1/2010 9:12:20 AM
Own both VWO and GLD in my IRA and Both my wife and I are in 80% in the International funds in our 401ks and 20% cash.
Dave
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Kevin_in_GA
4,599 posts
msg #96671
- Ignore Kevin_in_GA |
10/1/2010 3:44:46 PM
Good - was this based on this approach or something else?
Pretty clear that VWO and GLD are still the calls. Both up nicely today (again).
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