PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS

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novacane32000 331 posts msg #108210 - Ignore novacane32000	9/28/2012 1:19:07 PM Thanks Kevin I have been using the Sharp based version as a guide with my retirement acct.
danucalovj 1 posts msg #108368 - Ignore danucalovj	10/13/2012 2:34:25 AM Thanks!
jackmack 334 posts msg #108636 - Ignore jackmack	10/31/2012 1:39:36 PM Kevin So no real change from last month to this month in the TAA system? Correct? Thank you
Kevin_in_GA 4,599 posts msg #108643 - Ignore Kevin_in_GA	11/1/2012 8:21:35 AM Correct - the call for the TAA system is to remain wholly in EFA for the next month. For the Sharpe ratio-based version, the re-allocations for November are as follows: EFA: 45% SPY: 25% IWM: 30% AGG: 0% A much more aggressive posture from last month, which is consistent with historical monthly returns for November and December. However, the system is not aware of impending issues in Greece or with US debt, etc. These are dislocations in the market that no trend following or relative strength-based system can predict. Trade as you see fit.
jackmack 334 posts msg #109072 - Ignore jackmack	11/30/2012 8:00:59 AM Once again EFA is top pick for TAA using 12 week look back period? Kevin how does the asset allocation model breakdown?
Kevin_in_GA 4,599 posts msg #109073 - Ignore Kevin_in_GA modified	11/30/2012 8:08:09 AM Pretty much the same. I use the following filter to calculate this (the ROC is actually based on the MA(3) instead of just the close, to help smooth the signal a bit): Fetcher[ SET{perf1A, ma(3) 60 days ago} SET{perf1b, MA(3) / perf1a} SET{perf, perf1b - 1} SET{var1, perf100} SET{rfr, ind(^irx,close)} SET{RISKFREERETURN, rfr/100} SET{perf63, perf - RISKFREERETURN} SET{STD63, CSTDDEV(CLOSE,63)} SET{VOL63a, STD63 / MA(63)} SET{vol63, vol63a 100} /CALCULATION OF SHARPE RATIO - ANNUALIZED/ SET{SHARPE1a, perf63 / VOL63a} set{sharpe, sharpe1a * 0.5} set{var1a, IND(SPY, var1)} set{var1b, IND(IWM, var1)} set{var1c, IND(EFA, var1)} set{var1d, 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, RANK1A + RANK1B} SET{RANK1F, RANK1C + RANK1D} SET{RANK1G, RANK1E + RANK1F} SET{RANK, 4 - RANK1G} set{var2a, IND(SPY, sharpe)} set{var2b, IND(IWM, sharpe)} set{var2c, IND(EFA, sharpe)} set{var2d, IND(AGG, sharpe)} SET{var3a, COUNT(var2a is above 0,1)} SET{var3b, COUNT(var2b is above 0,1)} SET{var3c, COUNT(var2c is above 0,1)} SET{var3d, COUNT(var2d is above 0,1)} SET{var4a, var2A * var3a} SET{var4b, var2b * var3b} SET{var4c, var2c * var3c} SET{var4d, var2d * var3d} set{var5a, var4a + var4b} set{var5b, var4c + var4d} set{var5c, var5a + var5b} SET{allocation1, sharpe / var5c} set{allocation2, allocation1 * count(sharpe above 0,1)} set{allocation, allocation2 *100} SYMLIST(IWM,EFA,SPY,AGG) ADD COLUMN SEPARATOR ADD COLUMN RANK {TAA current rank} ADD COLUMN SEPARATOR ADD COLUMN var1 {3 month return (%)} ADD COLUMN vol63 {volatility (%)} add column sharpe {sharpe ratio} add column allocation {Sharpe-based allocation (%)} add column corr(spy,63, close) {correlation to S&P 500} SORT ON COLUMN 6 ascending CHART-TIME IS 60 days draw MA(3) draw sharpe line at 0 ]
Kevin_in_GA 4,599 posts msg #109790 - Ignore Kevin_in_GA	1/2/2013 11:10:13 AM January TAA selection = EFA. Just a few updates here. The Sharpe ratio-based approach also has you 100% in EFA for January. I am probably going to drop the Sharpe updates from here since the pure TAA system has been outperforming the Sharpe approach over the last 6 months or so. The goal here was to develop a system that is simple - almost mindless - in execution, yet will beat the market over any reasonable time frame. TAA does this. I re-analyzed the various time frames for the TAA system over the last 5 years, and the 3 month lookback period is still the most profitable, although a 1 month lookback was almost as good. Kevin
jackmack 334 posts msg #109792 - Ignore jackmack	1/2/2013 11:25:31 AM Kevin Just a heads up but your TAA web site has not updated since September.
Kevin_in_GA 4,599 posts msg #109799 - Ignore Kevin_in_GA	1/2/2013 2:22:52 PM I know - I am revamping the web site to meet a different objective. I had basically ignored it for the last several months to see if anyone was even tracking it. No one had even noticed the lack of updates until you did today. I knew that interest had dropped off, so I plan to revise the site to focus on one key "trading" system as well as the TAA system.
jackmack 334 posts msg #109801 - Ignore jackmack	1/2/2013 2:53:43 PM Shuck's no - I have a pop up scheduled every week day before month's end to review it. I just run the 3 month look back filter (if you'll note in past end of month threads here I have chimed in on selections ;-) ) I just didn't want to bother you with it as I thought it would upset you advising you of something you might already be aware of - I guess I was just not saying anything out of respect since you provide so much free information - why "bite the hand that feeds you" I guess is the best analogy I can come up on this one :-) I very much look forward to the updates/changes to the site. Thank you again and Happy New Year Cheers

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

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