novacane32000
331 posts
msg #107806
- Ignore novacane32000
modified |
8/25/2012 2:23:44 PM
Kevin
First a double check . I believe the filter below is currently the one in use, correct?
If so ,SPY jumped to #1 back on 8/6/12. Would you still wait until the end of the month to make the switch?
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tennisplayer2
210 posts
msg #107874
- Ignore tennisplayer2 |
8/31/2012 10:42:35 AM
If this holds, Kevin's TAA is indicating buy SPY. My gut tells me that we are fixing to have a correction, but Kevin's filter is better than my gut. I may switch half from AGG to SPY.
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jackmack
334 posts
msg #107876
- Ignore jackmack |
8/31/2012 10:55:52 AM
Same here - I am trying to learn and remove my feelings and trust the model.
Mainly because my feeling are horrible at trading ;-)
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tennisplayer2
210 posts
msg #107877
- Ignore tennisplayer2
modified |
8/31/2012 11:03:17 AM
That's why I'm so thankful for people like Kevin who post filters here to try to help others. I know that the filters are not a sure thing, but it gives us a great guideline.
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Kevin_in_GA
4,599 posts
msg #107878
- Ignore Kevin_in_GA |
8/31/2012 12:33:00 PM
I'm not all that comfortable moving into EFA right now. Europe has a host of internal issues that are glaringly obvious, and I don't think that I am all that psyched about buying into that with all of my funds.
However, if they do kick the can down the road one more time, and you've got the normal seasonal move up in equities AND the presidential election run up, this might be a good play.
The re-allocation does not technically happen until Tuesday at the open, but I might wait a week beyond that to see what happens. Call me a chicken.
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Rick67
64 posts
msg #107892
- Ignore Rick67 |
9/2/2012 5:33:49 PM
For those of you who have trouble trading due to you mind... read this book. Wish I had bought it years ago...
"Mindful Trading: Mastering Your Emotions and the Inner Game". This book is about building an effective psychological mindset so that you can trade your methodology from a peak performance state of mind. Many traders have expressed to me their frustration of knowing how to trade, but not being able to manage their emotions and mind while trading. And they ask, “How do I develop my state of mind so I can realize my methodological edge?” This book is an answer to those questions
You can Google it.
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tennisplayer2
210 posts
msg #107909
- Ignore tennisplayer2 |
9/4/2012 9:07:40 AM
Kevin, are you going to update your website? Thanks.
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Kevin_in_GA
4,599 posts
msg #107910
- Ignore Kevin_in_GA |
9/4/2012 12:54:32 PM
Traveling the next few days, so I'll update here quickly:
TAA: move 100% into EFA
Sharpe Ratio: 30% in Large Caps, 30% in Small Caps, 20% in International, and 20% in Bonds (rounding to the nearest 5% here for simplicity).
Sector Rotation: Stay in XLU (Utilities)
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jfue611-wlzz973kg-wqu558v
20 posts
msg #107956
- Ignore jfue611-wlzz973kg-wqu558v
modified |
9/7/2012 9:02:54 PM
Sorry about the format. This shows 14ROC filter does not outperform SPY from 2/28/11 thru 7/31/12. Both average and median gains per month about the same.
I was hopeful the great backtests would forward test well also. I am sharing this in hopes that someone would find me in error. Thx, Mike
The filter I used is:
set{var1,WEEKLY ROC(14,1)}
set{var1a, IND(SPY, var1)}
set{var1b, IND(IWM, var1)}
set{var1c, IND(EFA, var1)}
set{var1d, IND(BND, var1)}
ADD COLUMN WEEKLY ROC(14,1) {14 week performance}
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, RANK1A + RANK1B}
SET{RANK1F, RANK1C + RANK1D}
SET{RANK1G, RANK1E + RANK1F}
SET{RANK, 4 - RANK1G}
ADD COLUMN RANK {current rank}
SYMLIST(IWM,EFA,SPY,BND)
ADD COLUMN SEPARATOR
SORT ON COLUMN 5 DESCENDING
chart-display is weekly
CHART-TIME IS 26 WEEKS
14 ROC spy
entryexit gain entry(close) exit(end of monthgain
2/28/2011 iwm 82.27 84.17 2.3% 133.15 132.59 -0.4%
3/31/2011 iwm 84.17 86.39 2.6% 132.59 136.43 2.9%
4/29/2011 iwm 86.39 84.84 -1.8% 136.43 134.9 -1.1%
5/31/2011 iwm 84.84 82.8 -2.4% 134.9 131.97 -2.2%
6/30/2011 efa 60.14 58.71 -2.4% 131.97 129.33 -2.0%
7/29/2011 bnd 82.26 83.4 1.4% 129.33 122.22 -5.5%
8/31/2011 bnd 83.4 83.74 0.4% 122.22 113.15 -7.4%
9/30/2011 bnd 83.74 83.62 -0.1% 113.15 125.5 10.9%
10/31/2011 bnd 83.62 83.36 -0.3% 125.5 124.99 -0.4%
11/30/2011 iwm 73.73 73.75 0.0% 124.99 125.5 0.4%
12/30/2011 iwm 73.75 79.02 7.1% 125.5 131.32 4.6%
1/31/2012 iwm 79.02 81.05 2.6% 131.32 137.02 4.3%
2/29/2012 iwm 81.05 82.81 2.2% 137.02 140.81 2.8%
3/30/2012 spy 140.81 139.87 -0.7% 140.81 139.87 -0.7%
4/30/2012 spy 139.87 131.47 -6.0% 139.87 131.47 -6.0%
5/31/2012 bnd 84.51 84.38 -0.2% 131.47 136.105 3.5%
6/29/2012 bnd 84.38 85.23 1.0% 136.105 137.71 1.2%
7/31/2012 bnd 85.23 85.08 -0.2% 137.71 141.16 2.5%
avg 0.3% avg 0.4%
median -0.1% median 0.0%
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Kevin_in_GA
4,599 posts
msg #108208
- Ignore Kevin_in_GA |
9/28/2012 11:49:27 AM
Last day of the trading month - unless something unusual happens the call for the TAA system is to remain wholly in EFA for the next month.
For the Sharpe ratio-based version, as of 11:30 AM today the re-allocations are as follows:
EFA: 25%
SPY: 25%
IWM: 15%
AGG: 35%
A move to a more conservative position, with AGG up from 20% last month to 35% this month. Another conservative change is in IWM, which now is only 15% from 30% last month. This might be a little too conservative given the historical strength in the last three months of the year, as well as going into the Presidential elections (usually a slight benefit to the markets during this period.
Trade as you see fit.
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