Kevin_in_GA
4,599 posts
msg #104848
- Ignore Kevin_in_GA |
2/6/2012 3:18:23 PM
Kevin
Why did you change the holdings in the TAA from IWM - SPY - EEM - BND?
Appears to have skewed performance on back test results as well.
Did you incorporate the TAA with the Sector Rotation model to get this new outcome?
Just wondering why the change on your site (which I dig by the way - awesome)
++++++++++++++
The current holdings are SPY, IWM, EFA, and AGG (formerly used BND). I switched from BND to AGG for two reasons:
1. The historical data set for AGG is greater, which allows for longer backtest periods.
2. My accounts actually use AGG as their benchmark for Bond Funds, so I probably should as well.
The new graph shows the systems from 1/3/2007. The older graphs showed from 5/4/2004. The backtest results should be indistinguishable. It just looks different since it is now starting at a different date. Moving forward I think that 5 years is a good window for performance.
No sector rotation strategy was incorporated into the TAA system. Still musing on that one - no action taken.
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voidcomp
23 posts
msg #105003
- Ignore voidcomp |
2/16/2012 3:06:06 PM
Just read every page. My achin head :) Great work everyone!
A simple FYI - this strategy has been applied in some form for a number of years through a program called 'FastBreak' at http://www.edge-ware.com/ftbreakp.htm. It uses proprietary data from Investor's FastTrack which also covers mutual funds. I used it extensively back in the late 90's and was generally pleased with the results though as the discussions here have inferred the trade-off between trade frequency, return, and max drawdown is ever present . Note the manual is downloadable and will show just how feature rich the program is.
What made the FastBreak/FastTrack combo so powerful was the ability to create a 'synthetic' security consisting of a combination of 2 individual securities blended together to create a single price graph, not unlike the equity graph created when backtesting. This was done because many users were concerned about volatility and drawdown so would blend, as an example, IWM with a low beta etf to 'smooth' the price, knowing that if it was highest ranked you would purchase the constituent securities which composed it. As a new user of SF I'm not sure is that functionality exists. Others simply preferred to keep their trading list conservative. These guys were wizards in their hey day and to what extent they still are actively involved I don't know. What I do know is it can become a black hole time wise - with so many parameters and variations and tweaking it becomes paralysis by analysis. Eventually you've gotta pull the trigger ... some could never do it. Others started to second guess or question their hard work when those inevitable losses happened. Sound familiar?
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jackmack
334 posts
msg #105179
- Ignore jackmack |
2/28/2012 8:21:14 PM
Kevin
It appears in the IRA version of this system is to move tomorrow from IWM into EEM
and for the 401K still IWM but closing in fast is EFA.
I know to wait for the signal at months end if there is no change to stay put, but the
rate of change in EFA has been impressive as of late compared to IWM.
Thoughts?
Thank you
jackmack
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Kevin_in_GA
4,599 posts
msg #105180
- Ignore Kevin_in_GA |
2/28/2012 8:54:46 PM
The system only cares about rate of change at the end of the month for the last three months. I would suggest listeing to it and stay in IWM.
And do you really want to be in International/Emerging right now, with a possible Greek default in the month ahead? If anything I'm tending toward AGG/BND but am sticking to the system.
What I have noticed is that over the last few weeks IWM has been stuck in a horizontal trading range, while SPY has kept moving upward. This might mean a reversal of leadership, sort of a canary in a coal mine for equities.
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jackmack
334 posts
msg #105181
- Ignore jackmack |
2/28/2012 9:41:31 PM
Agreed - I was just mentioning the data outcomes over the last several days.
I have been monitoring your "A Simple Market Timing Filter" and noticed a
potential trend change just in the relationship between XLI and XLU and using
there leadership change as the Canary as it were.
Thank you
jackmack
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Kevin_in_GA
4,599 posts
msg #105197
- Ignore Kevin_in_GA
modified |
2/29/2012 10:56:54 PM
End of the month - time to put 30 seconds into your re-allocation analysis:
Allocate100% into the asset class with the highest 3 month ROC:
IWM - 9.93%
SPY - 9.62%
EFA - 6.67%
AGG - 1.26%
Stay in IWM.
(See how easy that was?)
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blumberg
27 posts
msg #105199
- Ignore blumberg |
3/1/2012 12:10:03 AM
Thanks, Kevin.
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jackmack
334 posts
msg #105203
- Ignore jackmack |
3/1/2012 10:42:08 AM
Kevin
This is for the IRA filter - not the 401K version
Just curious what you make of your original filter from page 1.
If run today (as was yesterday - last day of the month) using EEM-IYW-SPY-SHY
EEM is the top pick now.
I read back through the thread and it states for IRA version one can use the
4 listed above and pick from the top one - again I am just wondering why one
would not use the EEM signal now for IRA purposes vs. IWM since this is what
the filter indicates.
Trying to remove emotion and my own geopolitical bias from the filter and use
just what it says - so in that case wouldn't the top pick now be EEM?
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Kevin_in_GA
4,599 posts
msg #105207
- Ignore Kevin_in_GA |
3/1/2012 4:22:35 PM
I don't have an emerging markets option in my 401k, but have International as the only ex-US option (thus the use of EFA rather than EEM).
You can use any etf you want if you can buy it in your account. It should work just fine.
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Kevin_in_GA
4,599 posts
msg #105222
- Ignore Kevin_in_GA |
3/2/2012 2:39:12 PM
At the end of each month, I usually re-run the timing optimizations for both the weekly and monthly ROCs using a rolling 5 year window.
Best weekly timing - still 14 weeks
Best monthly timing - still 3 months
Both say to be in IWM. IN fact, the top 5 best performing systems for both the weekly and monthly ROCs ALL are in IWM at the moment.
Just in case you're getting a little nervous (as I am) watching IWM continually underperform SPY over the last three weeks. Often that is a canary in a coal mine for a drop in the markets.
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