PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS

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

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jackmack 334 posts msg #102476 - Ignore jackmack	8/27/2011 8:54:39 PM Kevin What if one were just starting to use this filter (that would be me)? Thanks
guru_trader 485 posts msg #102479 - Ignore guru_trader modified	8/28/2011 12:56:37 AM so, with mahkoh's + kevin's correction it would be this? Fetcher[ /* Basic Filters / symlist(iwm,vwo,vnq,moo,agg,tlt,uup,gld) chart-display is weekly chart-time is 26 weeks sort on column 7 ascending / 14 week performance as rank variable / set{perf, weekly roc(14, 1)} set{perf2, perf/100} set{rfr, ind(^irx, close)} set{riskfreereturn, rfr/100} set{perf14, perf - riskfreereturn} set{std14, cstddev(weekly close, 14)} set{vol14, std14 / weekly ma(14)} / calculation of sharpe ratio - annualized / set{sharpe14a, perf2 / vol14} set{sharpe14, sharpe14a 0.5189} add column sharpe14 {sharpe ratio} set{var1, weekly roc(14,1)} set{var1a, ind(vwo, var1)} set{var1b, ind(iwm, var1)} set{var1c, ind(vnq, var1)} set{var1d, ind(tlt, var1)} set{var1e, ind(gld, var1)} set{var1f, ind(uup, var1)} set{var1g, ind(moo, var1)} set{var1h, ind(agg, var1)} set{rank1a, count(var1 is above var1a,1)} set{rank1b, count(var1 is above var1b,1)} set{rank1c, count(var1 is above var1c,1)} set{rank1d, count(var1 is above var1d,1)} set{rank1e, count(var1 is above var1e,1)} set{rank1f, count(var1 is above var1f,1)} set{rank1g, count(var1 is above var1g,1)} set{rank1h, count(var1 is above var1h,1)} set{rank1ee, rank1a + rank1b} set{rank1ff, rank1c + rank1d} set{rank1gg, rank1e + rank1f} set{rank1hh, rank1g + rank1h} set{rank1ii, rank1ee + rank1ff} set{rank1jj, rank1gg + rank1hh} set{rank1kk, rank1ii + rank1jj} set{rank, 8 - rank1kk} add column separator add column rank {current rank} add column separator add column weekly roc(14,1) {14 week performance} add column corr(^spx,70, close) {correlation to s&p 500}]
wemj06 2 posts msg #102482 - Ignore wemj06	8/28/2011 9:42:56 AM So guys how is this filter working for you. Results?
SAFeTRADE 649 posts msg #102483 - Ignore SAFeTRADE	8/28/2011 9:58:18 AM Kevin how are you figuring in the expense ratios for the funds included in this filter.
jackmack 334 posts msg #102488 - Ignore jackmack	8/29/2011 10:23:36 AM Glad I followed the system at the open and did not put GLD on. Just an also ran - Barron's over the weekend did a piece and sees gold correcting back down to the $1,500 area (ouch) maybe even a little lower before it's all said and done with. I believe the system - equities can run a little further but Europe is still a mess so BND it is. Thanks Kevin
Kevin_in_GA 4,599 posts msg #102513 - Ignore Kevin_in_GA	8/30/2011 1:59:24 PM Important to note - the 14 week timing is based on AGG (or BND), IWM, SPY, and EFA. Adding in GLD would likely result in a slightly different timing signal. Kevin
jackmack 334 posts msg #102520 - Ignore jackmack	8/31/2011 1:45:44 PM Kevin - using guru_traders filter from above (yours just tweaked I assume) - what if no new buy signal has not been given (a new #1 has not come up) - does one just sit on the side lines? How do you enter if your just starting out and we now have months end? I look forward to your reply. Thank you jackmack
Kevin_in_GA 4,599 posts msg #102521 - Ignore Kevin_in_GA	8/31/2011 1:59:20 PM Risk versus return - it's your call. Personally, I would be fine putting money into BND since the downside risk is small. GLD may give you a better return if things turn south, but you're also risking a larger loss if a QE3 happens.
jackmack 334 posts msg #102522 - Ignore jackmack	8/31/2011 2:20:35 PM Got it - but if you were using the 8 ETF filter - then it would be TLT or AGG? Thought this was going to be simple. Maybe it's just me trying to over complicate things (I have a nasty habit of doing that) :-). Thanks again jackmack
jackmack 334 posts msg #102524 - Ignore jackmack	8/31/2011 3:08:06 PM gmoney - have you been using this filter or the ETFreplay.com site? How has it been going? Let me know when you get the chance. Thanks jackmack

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

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