PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS

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

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frsrblch 35 posts msg #120837 - Ignore frsrblch modified	6/21/2014 1:00:13 PM The latest filter uses a 3-month look-back period, or approximately 63 trading days. The code is as follows: Fetcher[symlist(spy,iwm,efa,agg) sort on column 5 descending set{diff2,close minus close 63 days ago} set{diff2%,diff2 / close 63 days ago} set{ratio63,diff2% * 100} add column ratio63] Kevin's site can be found at http://www.statisticalinvesting.com/
jemarcks 26 posts msg #120916 - Ignore jemarcks	6/30/2014 1:40:46 PM Thanks for the link to Kevins site. Great job Kevin! So, this filter would be traded at the end of the month and pick the highest alpha? How do I backtest the ROC, TSI and the latest filter posted above? Thanks Jeff
Kevin_in_GA 4,599 posts msg #120918 - Ignore Kevin_in_GA	6/30/2014 4:07:30 PM Fetcher[ symlist(spy,iwm,efa,agg) sort on column 5 descending offset 3/31/2014 ] SPY it is.
jemarcks 26 posts msg #120937 - Ignore jemarcks	7/2/2014 10:47:53 AM Hi Kevin! Great work here! Thank you for sharing! Did you backtest the TAA/TSI and ROC filters on StrataSearch? If so, could you post the code here so we can backtest them too? Thanks jeff
amtmail 34 posts msg #120976 - Ignore amtmail	7/8/2014 1:29:36 AM Kevin Or any member I have question can we get here in stockfetcher one filter for ETFS portfolio selection based 50% on 3months performance ,40% 6 months performance and 10% 6months volatility any help please
wkloss 231 posts msg #121011 - Ignore wkloss	7/12/2014 12:46:13 PM This site is designed to do that http://www.etfreplay.com/
sohailmithani 192 posts msg #121247 - Ignore sohailmithani	8/4/2014 9:32:00 PM Hi Kevin, What is the selection for Aug? Your site www.statisticalinvesting.com seems to be out dated as it still shows June selection. Please provide info. Thanks
frsrblch 35 posts msg #121250 - Ignore frsrblch	8/4/2014 10:40:29 PM Looks like SPY this month. You can use the filter Kevin posted on the previous page for any month if you change the offset date to 3 months ago.
sohailmithani 192 posts msg #121256 - Ignore sohailmithani	8/5/2014 9:45:12 AM Changed the offset to April 30 and selection is SPY. Kevin please confirm. Thanks
Kevin_in_GA 4,599 posts msg #121269 - Ignore Kevin_in_GA	8/5/2014 5:27:28 PM Yes - SPY has performed the best. Fetcher[ symlist(SPY,IWM,EFA,AGG) offset 4/30/2014 sort on column 5 descending]

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

<< 1 ... 51 52 53 54 55 ... 65 >>Post Follow-up

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