PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS

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

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guymar 113 posts msg #92037 - Ignore guymar	5/4/2010 11:34:43 AM This represents some extra work :-))) Cannot guarantee to come back with swift feedback on this one......
davesaint86 726 posts msg #92059 - Ignore davesaint86 modified	5/4/2010 7:04:14 PM Kevin, I'm curious if you ran the same test sorting on RS instead of Alpha would the returns be higher since your Jan 1 2007 start date. I used my 401k ETF equivalents as the selections. The RS in this filter is based on a 4 week cycle. The RS may be close to your 21 day Alpha. Fetcher[ KEVIN'S PURELY BASED ON PRICE FILTER/ /Close must be above the highest 5 day low from three days ago for a BUY signal/ /That's it. No indicators used on this one - based solely on two price points/ do not draw Parabolic Sar(0.020,0.200) /create threshold as a variable/ set{var1, high 5 day low} set{var2, var1 3 days ago} set{threshold, var2+0.01} /close must be above threshold/ set{BUY, count(close > threshold,1)} set{SELL, count(close < threshold,1)} /create variables for graphical display/ set{trigger, close} set{price_osc, trigger - threshold} /apply to index surrogates/ symlist(AGG,CWI,EFA,SPY,IWM,IWB,ACWI,IWN,IGM,BA,,SHY) set{alpha, relative strength(SPY,20) + relative strength(SPY,63)} and chart-time 3 months /draw threshold and trigger on price plot/ draw trigger on plot price draw threshold on plot price draw price line at threshold /draw BUY and SELL signals/ draw BUY Draw SELL on plot BUY draw price_osc line at 0 Draw Williams %R(2) and draw CCI (20) line at 100.00 and draw CCI (20) line at 50 and draw CCI (20) line at 10 and draw Slow Stochastic(5,3) Fast %K line at 20.00 and draw Slow Stochastic(5,3) Fast %K line at 80.00 and draw Slow Stochastic(5,3) Fast %K line at 50.00 add column separator add column alpha add column separator add column rs add column separator add column price_osc{po} add column separator add column BUY add column separator add column SELL add column separator add column RSI(2) add column separator add column threshold{thold} add column separator do not draw MA(250) and do not draw MA(10) Relative Strength Rating / set{range, high 4 week high - low 4 week low} set{ppdif, close - low 4 week low} set{ppdiv, ppdif / range} set{rs, ppdiv 100} sort column 6 descending ]
hmsb4494 81 posts msg #92077 - Ignore hmsb4494	5/5/2010 12:57:06 AM KEVIN--- On your based on price filter above, can you make it to show the etf the day it changes from a sell to a buy and a buy to a sell???
guymar 113 posts msg #92084 - Ignore guymar	5/5/2010 3:39:09 AM People, I can't do all the backtesting fast enough here :) I have the following idea: use the McLellan Oscillator to change the baskets of ETF's in function of market situation (you could use 3 models with different SYM lists for example....) and optimize like this. These models are simply crying out for a good framework (an objective one) to be put in. Might ask my son to help with the back-testing .....
guymar 113 posts msg #92100 - Ignore guymar	5/5/2010 10:02:15 AM I would like to combine this with the formula: Fetcher[set {pricechange, close - close 1 day ago} set {volumeprice, volume * pricechange} plot CEMA (volumeprice,3)] But I get an error on the last line, the attempt is to have a 3 period exponential moving average to get the V*PMO or Volume Price Momentum Oscillator......the idea would be to avoid some trades by not taking the trade if this indicator gives a sell signal...
guymar 113 posts msg #92102 - Ignore guymar	5/5/2010 10:21:24 AM Got it now, I am going to test the following: Buy selected ETF only if VPMO positive ..... Fetcher[symlist(spy,eem, shy, dog, eum, psq, sh, OIL, DBC, IEV) set{alpha, relative strength(SPY,20) + relative strength(SPY,63)} set {pricechange, close - close 1 day ago} set {volumeprice, volume multiply pricechange} set {SEMA, CEMA(volumeprice,3)} set {Keltnerdelta, Upper Keltner Band(20,1.5)-Lower Keltner Band(20,1.5)} set {KeltnerBW, Keltnerdelta/Center Keltner Band(20,1.5)} draw KeltnerBW on plot Bollinger width(20,2.0) draw Bollinger (20,2.0) add column alpha add column SEMA sort on column 5 descending]
Kevin_in_GA 4,599 posts msg #92104 - Ignore Kevin_in_GA	5/5/2010 10:26:51 AM I would like to combine this with the formula: Fetcher[ set {pricechange, close - close 1 day ago} set {volumeprice, volume * pricechange} draw CEMA(volumeprice,3) ] But I get an error on the last line, the attempt is to have a 3 period exponential moving average to get the V*PMO or Volume Price Momentum Oscillator......the idea would be to avoid some trades by not taking the trade if this indicator gives a sell signal... ++++++++++++++ You have a space between CEMA and "(" that screws it up. Also you need to say "draw" rather than plot - I corrected it above. Not sure if this meshes with the short filter I wrote here - it's goal is a once a month rotation/rebalancing between a small set of ETF options. This additional criterion may result in no trades, which would not be possible in an account like a 401k (you basically have to be in something all the time, and it must be long-only options).
guymar 113 posts msg #92106 - Ignore guymar modified	5/5/2010 10:38:44 AM That's not what I want to do: go to choice 2 in list alpha or stay in current ETF, so the idea would be: Check Alfa and PVMO. Go to next Alfa if PVMO negative until PVMO positive. If no Alfa available above or equal 2 with PVMO postive, go long SHY
sbuck143 88 posts msg #92107 - Ignore sbuck143	5/5/2010 10:55:01 AM One thing with the "401k" thought Kevin - monthly updates are probably too fast for a 401k. It didn't used to be like this, but my 401k currently with Schwab (and my wife's with Citistreet) restricts you to 1 redemption every 60 days. So if I move out of a fund, I can't get back in for 60 days. I'm going to investigate the quarterly rebalancing on ETFreplay, once they get a few more slots opened up for ETF's to add.
guymar 113 posts msg #92109 - Ignore guymar	5/5/2010 11:11:55 AM My interest is obviously different, I live in Europe, so I'm looking more for a strategy that is low time consuming for a larger portfolio .....

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

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