ricks_stocks
35 posts
msg #97343
- Ignore ricks_stocks |
11/5/2010 3:55:40 PM
Duke & Dave, try this on ETFreplay.com
ReturnA 3-Months - 40%
ReturnB 20-Days - 30%
Volatility 20-Days 30%
Buy top one
Monthly
Since 2003
Symlist (ECH,EWA,EWH,EWK,EWM,EWN,EWO,EWS,EWT,EWW,EWY,GXG,SHY,THD,TIP,TUR)
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wkloss
231 posts
msg #97344
- Ignore wkloss |
11/5/2010 4:42:01 PM
ricks_stocks,
Try this one. ECH,EWA,EWH,EWS,EWT,EWU,GLD,IDX,PIN,THD,TLT,TUR,VNQ
Would anyone want to offer an opinion on how to avoid curve fitting when developing these lists of candidates?
Bill
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duke56468
683 posts
msg #97348
- Ignore duke56468 |
11/5/2010 5:42:11 PM
Interesting....has anyone back tested how you would do if you just picked the #1 rank each month off the screener?
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Kevin_in_GA
4,599 posts
msg #97349
- Ignore Kevin_in_GA |
11/5/2010 5:53:27 PM
How I would avoid curve fitting ...
1. Pick highly liquid ETFs
2. Pick different asset classes - a minimum of 6.
3. Determine the correlation between asset classes, and make sure that you are working with a set of relatively UN-correlated ETFs (meaning that as one set is going down, others might remain neutral or rising).
4. PIck a set of timings and test them since 2003, since 2007, and since the start of this year. Find the one or ones that give you consistent profit.
5. Stop optimizing, cross your fingers and start trading.
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duke56468
683 posts
msg #97350
- Ignore duke56468
modified |
11/5/2010 6:04:49 PM
Just a quick check from Jan1 2010 picking the best screener pick v.s. SPY is up 37% v.s. 11.7% for SPY. This is far less than ricks=63.8% or wkloss=70.2% for the same time. The only thing that was better was the volatility was lower.
EDIT.....ran it a second time and got 3 different ETFs that changed the score to 62.9% for the screener score, but with increased volatility. The ETFs I came up with were AMJ,EPU,FBT,GDX,GXG,IYC,PFF,PGF,UUP,VGLT
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ricks_stocks
35 posts
msg #97351
- Ignore ricks_stocks
modified |
11/6/2010 7:46:52 AM
I personally fell that bonds take care of any curve fitting and or correlation issues.
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ricks_stocks
35 posts
msg #97352
- Ignore ricks_stocks |
11/6/2010 7:55:21 AM
how do you put a hyper link to another site in this thing?
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four
5,087 posts
msg #97355
- Ignore four
modified |
11/6/2010 11:36:27 AM
To make a hyperlink::
< a href="http://www.google.com" > http://www.google.com < / a>
--- IMPORTANT:
1. Remove extra spaces between any of the less than and greater than signs, both sides of the characters.
2. Remove space between / and a
--- Note:
The HTML code you are writing for the link can be modified by Stockfetcher when editing a post. This means you will need to rewrite the HTML code, sometimes.
I look forward to your first hyperlink...
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ricks_stocks
35 posts
msg #97356
- Ignore ricks_stocks
modified |
11/6/2010 12:30:52 PM
Copied you
http://www.google.com
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ricks_stocks
35 posts
msg #97357
- Ignore ricks_stocks
modified |
11/6/2010 12:45:51 PM
goes to the web site... but not the screen I maid
correlation matrix
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