Kevin_in_GA
4,599 posts
msg #117544
- Ignore Kevin_in_GA |
12/27/2013 10:05:41 PM
Looks almost certain to be a move from small caps back into large caps for January. I'll be traveling so I won't make the move until 1/6 but for others the system rules would have you re-allocate on 12/31.
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amtmail
34 posts
msg #117555
- Ignore amtmail |
12/30/2013 1:59:50 AM
Kevin , can i use the filter in page 48 for bonds ETFs like
symlist(bnd,hyg,lqd,agg,bsv,tip,csj,jnk,shy,vcsh,bkln,ciu,mbb,tbt,mint,biv,ief,hys) ?
Thank you
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Kevin_in_GA
4,599 posts
msg #117563
- Ignore Kevin_in_GA |
12/30/2013 10:43:34 AM
You can but the optimal timing is based on the four ETFs I currently use.
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davesaint86
726 posts
msg #117569
- Ignore davesaint86 |
12/30/2013 7:12:10 PM
Amtmail,
I ran you selections through ETFReplay using the 3-month relative strength starting with the highest relative strength and working my way up to all 16. The numbers are not good. I put together a short list of bonds a few months ago and backtested it back to 2008 and the returns were a lot better.
AGG, CWB, JNK, PTTRX (Bond is ETF Equiv), TLH. Selecting the top ETF based on the 3 month Relative Strength results are below.
Avg Annual Return 14.2
66.7% Win Rate
-6.85 Biggest Monthly Lost
2008 the gain was 12.6%
2013 the gain was 12.4%
If you remove TLH from the mix the win rate goes up to 73.5% but the overall avg annual return goes down to 13.4%.
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amtmail
34 posts
msg #117570
- Ignore amtmail
modified |
12/30/2013 8:55:15 PM
Thank you Kevin and Davesaint86 , can i remove PTTRX from the list ? is there any substitute ?
How I can back test it here ?
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davesaint86
726 posts
msg #117580
- Ignore davesaint86 |
12/31/2013 1:13:28 PM
Amtmail
Use the ETF symbol Bond instead of PTTRX.
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amtmail
34 posts
msg #117581
- Ignore amtmail
modified |
12/31/2013 11:35:28 PM
Thank you, Happy new year
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amtmail
34 posts
msg #117648
- Ignore amtmail |
1/8/2014 10:45:36 PM
How I can do Back test this Filter here ?
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Kevin_in_GA
4,599 posts
msg #117650
- Ignore Kevin_in_GA |
1/9/2014 7:25:48 AM
You really can't since SF does not provide monthly data bars. Given that it is only once a month, manual backtesting is not hard (only 60 trades max over a five year period).
Or you could look at the backtest I provided at www.statisticalinvesting.com.
Remember that this is designed to be easy and to fit within the constraints of most 401k accounts - that means low trade frequency and usually the choice of only a few mutual funds that mimic the broader asset classes. I did not try to push more performance out of it by adding in stuff that cannot be traded in my own accounts.
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amtmail
34 posts
msg #117986
- Ignore amtmail
modified |
2/1/2014 2:08:04 PM
Please i need help to find similar Canadian stocks for this filter , any idea?
Thanks
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