jackmack
334 posts
msg #106840
- Ignore jackmack |
6/29/2012 4:43:36 PM
Wow - what a pop over.
Now IWM followed by SPY and out of SHY.
Never got to pull the trigger but I guess to follow the model I will need to Monday.
Thanks Kevin
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Kevin_in_GA
4,599 posts
msg #106843
- Ignore Kevin_in_GA |
6/29/2012 6:30:02 PM
No. The three month ROC (this is the system I use and the one that is on my web site) say to firmly remain in AGG.
Also, the last filter I posted here using 14 week ROC also clearly says to stay in bonds:
I don't want you to misinterpret this. Stay in BONDS or you are following your own system and not this one.
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jackmack
334 posts
msg #106868
- Ignore jackmack |
7/2/2012 11:37:03 AM
10-4
Okay - I though the first filter on page one was the primary filter as it was the closest to matching the ETFReplay 100-0-0 weighting settings.
Thank you
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tennisplayer2
210 posts
msg #107316
- Ignore tennisplayer2 |
8/1/2012 8:36:14 AM
Kevin, for August, it seems like all systems are still on the defensive. Is that correct? I tried checking your website, but it hasn't been updated since July 1st. I hope that you continue to update the website. Thanks for your willingness to help others and also a great job with the filters.
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tennisplayer2
210 posts
msg #107317
- Ignore tennisplayer2 |
8/1/2012 8:39:30 AM
Kevin, please disregard last post. I just read your update, many THANKS.
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Kevin_in_GA
4,599 posts
msg #107318
- Ignore Kevin_in_GA |
8/1/2012 8:58:53 AM
No problem. I only updated it this morning at 6:30 AM. I usually only update this site twice a month or so, unless there is a change of signal in the Sector Rotation filter (which is weekly).
The goal here is not to trade a lot - only when necessary and no more frequently than once a month at the end of the month.
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tennisplayer2
210 posts
msg #107355
- Ignore tennisplayer2 |
8/4/2012 3:10:58 PM
Kevin, are the timing optimizations for reallocations still 14 for the weekly and 3 for the monthly? Thanks. BTW, is there a program for this? If not, what are the calculations. Thanks.
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jackmack
334 posts
msg #107427
- Ignore jackmack |
8/7/2012 12:22:30 PM
Kevin
Quick question for you - why did you change from the original filter on page 1?
I see the ROC and TTI results and they are fine by any stretch but your first filter (similar to ETFReplay)
had better results - so just trying to understand why the migration from one to the other.
Thank you
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tennisplayer2
210 posts
msg #107803
- Ignore tennisplayer2 |
8/25/2012 8:29:16 AM
Unless the markets change drastically, Kevin's TAA system will have us switching to EFA from AGG at the end of the month.
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Kevin_in_GA
4,599 posts
msg #107805
- Ignore Kevin_in_GA |
8/25/2012 9:34:28 AM
As it stands, that is the call. I have not been overly satisifed with this year's performance, as it is lagging the S&P by a fair amount (the first time in six years). I check the monthly timing each month by re-running the optimization over a moving 5 year window.
The three month ROC ranking is still the leader as of yesterday, returning 65% since 8/23/2007, versus -0.47% for the S&P 500. 16 of 21 trades were profitable (76%).
The TAA system has been in bonds since 5/31 while the market has continued to make gains against most people's expectations. September is historically the worst month for the markets, so I am a bit hesitant to jump into stocks unless there are other strong indicators to do so.
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