StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 49 50 51 52 53 ... 65 >>Post Follow-up
Kevin_in_GA
4,599 posts
msg #118879
- Ignore Kevin_in_GA		 3/31/2014 3:34:22 PM

Let's wait until the end of the day.
jimmyjazz
102 posts
msg #118889
- Ignore jimmyjazz		 3/31/2014 10:31:54 PM

Is the "Faber approach" to use the last day of December or the first day of January (for this new calculation)?

i.e, do we calculate each ETF price ratio using 3/31/14 and 12/31/13 or 3/31/14 and 1/1/14?

Seems like it might make a difference at times.
jimmyjazz
102 posts
msg #118891
- Ignore jimmyjazz		 4/1/2014 8:29:39 AM

Yep, the chart Kevin linked switched from AGG to SPY overnight. That "day one" selection can make a difference.

I don't know which ETF is "right" going forward, but personally, I'd rather take a flyer on SPY than AGG.
Kevin_in_GA
4,599 posts
msg #118892
- Ignore Kevin_in_GA		 4/1/2014 8:52:38 AM

Agreed, although the pure backtested system would have you in AGG. Given that April is historically the best month for stocks (or at least in the top 2), you are probably smart in holding in equities versus bonds.

My personal choice is the go risk on for another month, based on the recent sell off (especially in small and mid cap stocks) that should recover this month.
dashover
229 posts
msg #118911
- Ignore dashover
modified		 4/1/2014 5:06:00 PM

symlist(spy,iwm,efa,agg,gld,rwr)

sort on column 5 descending

set{diff2,close minus close 68 days ago}
set{diff2%,diff2 / close 68 days ago}
set{ratio90,diff2% * 100}


add column ratio90

,


Kevin, this filter adds a couple of indexes,
It shows AGG on the bottom over the last 68 days...
Why is it perhaps the best choice??

Is this filter faulty? , using the 68 day sort? (ratio 90)

Thanks!!
Dash
dashover
229 posts
msg #119342
- Ignore dashover		 5/5/2014 11:33:21 AM

symlist(spy,iwm,efa,agg,gld,rwr)

sort on column 5 descending

set{diff2,close minus close 68 days ago}
set{diff2%,diff2 / close 68 days ago}
set{ratio90,diff2% * 100}


add column ratio90


----------

Using this Filter... would RWR be the one to use this month?

Thanks!

Dash
sohailmithani
192 posts
msg #119821
- Ignore sohailmithani		 5/14/2014 7:28:21 PM

Can this filter be used to pick stocks from index best performing or at least having a positive sharpe.
What I want is adding this filter to my stock selection filter and on a daily basis select stocks from index which is best or with positive sharpe.

However, not able to include this code to my own filter. Can someone comment and help in coding this one.

Thanks
bcochrane
4 posts
msg #120049
- Ignore bcochrane		 5/24/2014 12:26:12 PM

sohailmithani

You may find Page 31 of this thread useful
sohailmithani
192 posts
msg #120051
- Ignore sohailmithani		 5/24/2014 2:16:43 PM

Thanks
davesaint86
726 posts
msg #120726
- Ignore davesaint86
modified		 6/12/2014 10:40:55 PM

Below is Kevin's Sharpe-Ration Allocation filter. I tried building a 10 ETF version and haven't had any luck getting right. I was able to figure out setting up the current rankings correctly but the the % Allocation. I would appreciate some help!!! Thanks!

Fetcher[


SET{perf1A, ma(3) 60 days ago}
SET{perf1b, MA(3) / perf1a}
SET{perf, perf1b - 1}
SET{var1, perf*100}
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(AGG, var1)}
set{var1b, IND(IVV, var1)}
set{var1c, IND(EFA, var1)}
set{var1d, IND(IWM, var1)}
set{var1e, IND(IWB, var1)}
set{var1f, IND(IGM, var1)}
set{var1g, IND(BA, var1)}
set{var1h, IND(VXF, var1)}
set{var1i, IND(ACIM, var1)}
set{var1j, IND(IXJ, var1)}
set{var1k, IND(SHY, 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, 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, RANK1C + RANK1D}
SET{RANK1N, RANK1E + RANK1F}
SET{RANK1O, RANK1G + RANK1H}
SET{RANK1P, RANK1I + RANK1J}
SET{RANK1Q, RANK1K + RANK1L}
SET{RANK1R, RANK1M + RANK1N}
SET{RANK1S, RANK1O + RANK1P}
SET{RANK1T, RANK1Q + RANK1R}
SET{RANK1U, RANK1S + RANK1T}


SET{RANK, 11 - RANK1U}

set{var2a, IND(AGG, sharpe)}
set{var2b, IND(IVV, sharpe)}
set{var2c, IND(EFA, sharpe)}
set{var2d, IND(IWM, sharpe)}
set{var2e, IND(IWB, sharpe)}
set{var2f, IND(IGM, sharpe)}
set{var2g, IND(BA, sharpe)}
set{var2h, IND(VXF, sharpe)}
set{var2i, IND(ACIM, sharpe)}
set{var2j, IND(IXJ, sharpe)}
set{var2k, IND(SHY, 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{var3e, COUNT(var2e is above 0,1)}
SET{var3f, COUNT(var2f is above 0,1)}
SET{var3g, COUNT(var2g is above 0,1)}
SET{var3h, COUNT(var2h is above 0,1)}
SET{var3i, COUNT(var2i is above 0,1)}
SET{var3j, COUNT(var2j is above 0,1)}
SET{var3k, COUNT(var2k is above 0,1)}


SET{var4a, var2a * var3a}
SET{var4b, var2b * var3b}
SET{var4c, var2c * var3c}
SET{var4d, var2d * var3d}
SET{var4e, var2e * var3e}
SET{var4f, var2f * var3f}
SET{var4g, var2g * var3g}
SET{var4h, var2h * var3h}
SET{var4i, var2i * var3i}
SET{var4j, var2j * var3j}
SET{var4k, var2k * var3k}


set{var5a, var4a + var4b}
set{var5b, var4c + var4d}
set{var5c, var4e + var4f}
set{var5d, var4g + var4h}
set{var5e, var4i + var4j}
set{var5f, var4k + var4j}





SET{allocation1, sharpe / var5f}
set{allocation2, allocation1 * count(sharpe above 0,1)}
set{allocation, allocation2 *100}


symlist(agg,ivv,efa,iwm,iwb,igm,ba,vxf,acim,ixj,shy)
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

]
StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 49 50 51 52 53 ... 65 >>Post Follow-up

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