Kevin_in_GA
4,599 posts
msg #103313
- Ignore Kevin_in_GA |
11/12/2011 8:52:58 AM
Kevin
Just wondering if one would be reviewing the 401K format on a weekly basis (vs. monthly as set out in model).
I know with the IRA version weekly review is advisable do to greater flexibility but I thought the 401K model was
end of month review and move into the newest leader.
Thank you
jackmack
+++++++++++++
The backtest I did for the current 14 week ROC reviews weekly, using the close on Friday to do the calculation and rankings. SF does not provide monthly data, but the optimal monthly timing for SPY,IWM,BND, and EFA is still at 3 months using the MONTHLY close and re-allocation only at the end of each month.
Therefore, the current call to be in SPY on the weekly is ahead (or wrong) relative to the current monthly call, which says to stay in BND until 11/30.
Note that the monthly timing is still outperforming the weekly timing since 2004 - I'm not moving into equities until I see how the EU and US debt reduction supercommittee issues are resolved.
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dsprinting
1 posts
msg #103326
- Ignore dsprinting
modified |
11/13/2011 2:29:00 PM
Good Morning Kevin,
New to this thread, but not new to trading. I've read tons of posts here, in fact pages, where are you on the filter and buy/sell or hold strategy?
It looks like the most revised filter is on page 28 and buy/selling or holding at the last trading day of the month. If I'm wrong can you post the latest filter revision and strategy? TIA.
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jackmack
334 posts
msg #103331
- Ignore jackmack |
11/14/2011 9:00:34 AM
Good morning Kevin
Just a quick question for you - can you add to this thread an "equity curve and Stats snapshot"
like you have done in the "HOW TO DESIGN SYSTEM (NOT JUST A FILTER)" using the first
filter on page 1 and then maybe the last two filters (the 401K and IRA) now being used?
If it's too much work and you don't want to do I would understand but man it would be nice to
see what the first filter (pg. 1- original and the last two would look like and see that stats).
Thank you
jackmack
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Kevin_in_GA
4,599 posts
msg #103333
- Ignore Kevin_in_GA |
11/14/2011 10:22:37 AM
The first filter? I assume you mean this one -
I would most likely convert this to a 1 month and 3 month returns using monthly data (can't do this in SF, which is why I used the daily numbers). The original strategy was to only make trades on the last day of the month.
I can compare this to the returns generated by the straight 3 month filter, and the current 14 week filter. I would still only use SPY, IWM, EFA, and AGG to keep all comparisons fair. The dates would be 5/4/2004 until 11/11/2011 (this is the largest window I can do using these 4 ETFs (need to substitute AGG for BND to do this, but they are basically identical for this purpose).
Truth is, all of these will crush the performance of SPY over the same time frame. Why not just use the simplest version (3 month lookback, trade only at the end of the month)?
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jackmack
334 posts
msg #103338
- Ignore jackmack |
11/14/2011 12:22:01 PM
Kevin
Yes - that would be great - I cannot wait to see what this will look like.
I just see things better in a chart than on a spreadsheet - it's just who I am :-)
Thank you
jackmack
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davesaint86
726 posts
msg #103354
- Ignore davesaint86 |
11/15/2011 9:50:08 AM
Kevin,
Is there a way to combine the filter above (20 day and 3 months) with volatility like it is done with ETFReplay. Specifically I would like the filter to mimic the 3-mth (40%), 20-d (30%), Volatility 20-d (30%) or something close if it can't be done exactly.
ETFReplay measures volatility by: According to ETFReplay, Volatility is the annualized standard deviation of daily return.
Thanks,
Dave
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davesaint86
726 posts
msg #103358
- Ignore davesaint86
modified |
11/15/2011 1:30:43 PM
Something like this. However, this filter probably weights 33%, 33%, 33% instead of 40%, 30%, 30%.
Usage Historical Volatility(period,trading period)
Description Historical volatility uses the standard deviation of a stock's price to measure the volatility of the stock. Additionally, historical volatility is often expressed in daily, weekly or monthly terms
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davesaint86
726 posts
msg #103373
- Ignore davesaint86 |
11/16/2011 4:25:26 PM
I know this is wrong. Trying to set the ETFReplay 40/30/30 settings using Stockfetcher.
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jackmack
334 posts
msg #103385
- Ignore jackmack |
11/17/2011 10:22:17 AM
Kevin
Have you run this same filter in StrataSearch?
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jackmack
334 posts
msg #103386
- Ignore jackmack |
11/17/2011 11:02:00 AM
Kevin - sorry I meant to ask if you have run the ones I requested the "equity curve and stats snapshot" for
the first filter (original) and then the last two (the IRA and then 401K) in StrataSearch.
Thank you
jackmack
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