PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS

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

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sohailmithani 192 posts msg #121910 - Ignore sohailmithani	11/4/2014 7:23:56 PM Been following this one for last 3-4 months. All profitable so far. Hope IWM also brings in some money. Thanks Kevin. What has been your assessment on performance of this one compared to back testing you have done. 2013 and 2014 performing better than norm?
gmg733 788 posts msg #122083 - Ignore gmg733 modified	11/29/2014 6:15:25 PM SPY this month. I don't know why it isn't showing up correctly below. Fetcher[ symlist(SPY,IWM,EFA,AGG) offset 8/30/2014 sort on column 5 descending ]
Mactheriverrat 3,173 posts msg #122084 - Ignore Mactheriverrat	11/29/2014 8:03:14 PM Close you browser and open it back up. Reload filter. AGG show up on mine
Kevin_in_GA 4,599 posts msg #122086 - Ignore Kevin_in_GA	11/30/2014 1:09:41 PM SPY for December. I have already moved into it in all my accounts (did this in Friday). I have actually done better percentage wise in my trading account during this past year, but over the long haul this is the way to manage larger retirement accounts like TSPs or 401ks.
hmsb4494 81 posts msg #122090 - Ignore hmsb4494	12/1/2014 12:05:35 AM How is this doing lately?
sohailmithani 192 posts msg #122425 - Ignore sohailmithani	12/30/2014 4:09:29 PM Seems like IWM for Jan 2015. Good for the market I guess if this trade goes as expected. Right Kevin? Have you posted Pangolin system codes on SF yet.
Kevin_in_GA 4,599 posts msg #122432 - Ignore Kevin_in_GA	12/31/2014 9:20:40 AM Yes, IWM for January.
jackmack 334 posts msg #122691 - Ignore jackmack	1/30/2015 9:02:50 AM Way too early to call it since market not even open yet but looking like a move into AGG before close.
Kevin_in_GA 4,599 posts msg #122692 - Ignore Kevin_in_GA	1/30/2015 10:06:07 AM Yes. I have been using the following as a guide as well: Fetcher[ symlist(spy,agg) add column weekly roc(13,1) {3 month roc} add column separator add column weekly roc(26,1) {6 month roc} add column separator add column weekly roc(39,1) {9 month roc} add column separator add column weekly roc(52,1) {12 month roc} add column separator sort on column 7 descending chart-display is weekly ] This is a simpler system - you are either in equities or bonds, and not slicing up the equities into three relatively highly correlated classes. Using this method, the optimal time frame was 6 months (here reflected as the 26 week ROC). In that case you stay in SPY. The other system I am using for 2015 is this: Fetcher[ symlist(XLI,XLU,AGG) set{rs, weekly ROC(20,1)} set{difference, rs - ind(SPY, rs)} set{null, 0} rs above 0 ADD COLUMN SEPARATOR add column rs {20 week performance} add column separator add column difference {relative strength} SORT ON COLUMN 6 DESCENDING chart-display is weekly draw rs line at 0 ] Here you are looking at the relative performance of Utilities versus Industrials (defensive sector versus offensive sector). Clearly Utilities have crushed Industrials over the last few months - indicating a defensive posture for the near term. I have added AGG in on this since there are times when both XLU and XLI weekly ROC(20) could be negative, and then AGG is most likely positive. Note also that AGG is outperforming XLI over this time frame as well.
jackmack 334 posts msg #122696 - Ignore jackmack	1/30/2015 4:10:35 PM Kevin Excellent Thank you for sharing Quick question - were you able to run from 2010 up to now the back test results of your regular system (the one you have posted on your web site)? I am just interested to see a month to month comparison as you had provided very early on in this thread to just show the true robustness of this approach. Thank you Cheers

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

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