Kevin_in_GA
4,599 posts
msg #117987
- Ignore Kevin_in_GA |
2/1/2014 2:35:38 PM
This is not a stock strategy, it is an ASSET CLASS strategy. It is designed for 401ks and IRA accounts. You can try to use the same principles on stocks but it really does not make sense.
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amtmail
34 posts
msg #117988
- Ignore amtmail |
2/1/2014 3:29:49 PM
Thank you
But i mean Canadian ETFS for same strategy
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tennisplayer2
210 posts
msg #117989
- Ignore tennisplayer2 |
2/1/2014 3:43:24 PM
I think that IWM (instead of SPY) is the one to own now. Kevin, thanks again for this strategy.
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FetchMan1999
8 posts
msg #117990
- Ignore FetchMan1999 |
2/1/2014 4:17:04 PM
Like so many on this thread, I've read many pages going back.
I ran this filter. I know it uses BND instead of AGG.
Is this the ETF filter you are using or do I need to use the Offset filter?
Also, based on running this filter today it ranks SPY as #1.
Should I be in SPY? (because looking at the market it sure seems BND would be the one to move into.
Thanks in advance for your reply.
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
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FetchMan1999
8 posts
msg #117992
- Ignore FetchMan1999 |
2/1/2014 5:22:04 PM
OK. I'm posting a modified version of the filter that I listed in the previous comment.
What I have done is set the list to be Sector ETFs plus the BND etf.
The thinking is that the order of the ETFs might be used to allocate across more than one ETF.
If I understand the intent of the original filter a ranking of 1 is the ETF to buy.
But again, from the look of the price movement along it seems the Utilities and Bonds are the two ETFs to move into.
It seems there is a move to safety at this point.
Here is the modified ETF.
Any comments would be greatly appreciated.
set{var1,WEEKLY ROC(14,1)}
set{var1a, IND(XLU, var1)}
set{var1b, IND(XLV, var1)}
set{var1c, IND(IYR, var1)}
set{var1d, IND(XLK, var1)}
set{var1e, IND(XLP, var1)}
set{var1f, IND(XLY, var1)}
set{var1g, IND(XLE, var1)}
set{var1h, IND(XLF, var1)}
set{var1i, IND(XLI, var1)}
set{var1j, IND(XLB, var1)}
set{var1k, IND(BND, var1)}
DD 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, COUNT(var1 is above var1e,1)}
SET{RANK1F, COUNT(var1 is above var1f,1)}
SET{RANK1G, COUNT(var1 is above var1g,1)}
SET{RANK1H, COUNT(var1 is above var1h,1)}
SET{RANK1I, COUNT(var1 is above var1i,1)}
SET{RANK1J, COUNT(var1 is above var1j,1)}
SET{RANK1K, COUNT(var1 is above var1k,1)}
SET{RANK1L, RANK1A + RANK1B}
SET{RANK1M, RANK1L + RANK1C}
SET{RANK1N, RANK1M + RANK1D}
SET{RANK1O, RANK1N + RANK1E}
SET{RANK1P, RANK1O+ RANK1F}
SET{RANK1Q, RANK1P+ RANK1G}
SET{RANK1R, RANK1Q+ RANK1H}
SET{RANK1S, RANK1R+ RANK1I}
SET{RANK1T, RANK1S+ RANK1J}
SET{RANK1U, RANK1T+ RANK1K}
SET{RANK, 11 - RANK1U}
ADD COLUMN RANK {current rank}
SYMLIST(XLU, XLV, IYR, XLP, XLY, XLE, XLF, XLI, XLB, XLK, BND)
ADD COLUMN SEPARATOR
SORT ON COLUMN 5 ASCENDING
chart-display is weekly
CHART-TIME IS 26 WEEKS
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FetchMan1999
8 posts
msg #117993
- Ignore FetchMan1999 |
2/1/2014 5:37:44 PM
One more question on the filter.
Does it make sense to use the smoothed ROC filter?
If the current ROC is weekly and using 14 bars it seems that giving equal weight to the oldest bar might skew the results.
Should a SmROC (8, 14) be used instead where the 8 bar exponential average is used to smooth out the data?
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Kevin_in_GA
4,599 posts
msg #118428
- Ignore Kevin_in_GA |
3/1/2014 7:46:31 PM
Selection for March is IWM (same as for February). Not expecting anything like a repeat of last month, and it is more likely that the first half will see a consolidation or retrace before the market goes higher.
I no longer second-guess the filter selection. Every time I tried in the past the filter's selection made more money.
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ricks_stocks
35 posts
msg #118440
- Ignore ricks_stocks |
3/2/2014 2:42:37 PM
This is primarily the ETF Sector Rotation Strategy found at
http://www.etfscreen.com/sectorstrategy.php
It’s a great one for a 401k or IRA.
The two anomalies I see are that most approaches’ us trading days in a month, so 3 months =63 days not 90 days.
The other is the look back timeframe is 6 months (a 126 trading days) in the rotation strategies I’ve seen.
But I’m guessing that Keven has back tested and determined that 90 days works just as well.
Here is a link to the Select Sector SPDR Funds
http://www.etfscreen.com/s_selects.php
You can actually just click on the headers and see the performance over 1 day, 5 days, 1 month, 3 month, or 6 month.
Here’s Keven’s screen
http://www.etfscreen.com/cchart.php?wl=3d062&t=6&d=i&udc=default&vFf=dolVol21&vFl=gt&vFv=0&ftS=yes&ftL=yes
If the links don't work just go to the link below and fish around.
http://www.etfscreen.com/
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Kevin_in_GA
4,599 posts
msg #118441
- Ignore Kevin_in_GA |
3/2/2014 3:11:39 PM
Yes and no - of course I backtested, and I also reoptimize against a rolling 5 year window every month. 3 months remains the optimal lookback period.
The only real difference between this and etfreplay.com (a site I like a lot and would encourage others to visit) is that there is no longer any risk factor incorporated. They use a ranking system to score points (which with some tweaking I can do here) but the pure performance play has been working quite well since I adopted it in 2010.
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jackmack
334 posts
msg #118864
- Ignore jackmack
modified |
3/31/2014 8:04:00 AM
Using offset from 12/31/2013 - move into AGG from IWM looks to be on deck?
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