dominijanni
2 posts
msg #122731
- Ignore dominijanni |
2/3/2015 5:52:41 AM
Hi Kevin in GA....you posted the following below. Can you show me which filter this is a variation of?
Do I need to embed this code into the master filter or is this a complete stand alone filter?
Best regards,
Kevin_in_GA
3,417 posts
msg #112041
3/4/2013 2:35:09 PM
Web site was updated this weekend - I am also looking at an earlier filter from this thread.
Here is a slight variation of it -
Submit Fetcher[
symlist(spy,efa,iwm,agg)
set{roc1, roc(21,1)}
set{roc3, roc(63,1)}
set{alpha1a, relative strength(SPY,21)*100}
set{alpha1, alpha1a - 100}
set{alpha3a, relative strength(SPY,63)*100}
set{alpha3, alpha3a - 100}
set{alpha, alpha1 + alpha3}
add column roc1
add column roc3
add column alpha1 {1 month alpha}
add column alpha3 {3 month alpha}
add column alpha {alpha score}
sort on column 9 descending
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jackmack
334 posts
msg #122761
- Ignore jackmack |
2/5/2015 10:12:35 AM
Kevin
I was wondering if you ever did any research on Nelson Freeburg and his Formula Research.
His timing model seems stout - a slight advantage to Mebane Fabers TAA but only uses S&P as the equity class
versus Faber's 5. It's worth a look if you have not.
Anyway - I reread this thread last night and got caught up on your model/filter on page 40.
I was wondering if the back test data were available for this model from 2007 on since the original
thesis and data contained EEM and SHY but has since migrated to a more 401k minded selective
sources to choose from and there have been no updates on current returns vs buy and hold.
Just wondering
Thank you
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tennisplayer2
210 posts
msg #122765
- Ignore tennisplayer2 |
2/5/2015 3:03:57 PM
Jack, do you subscribe to Nelson's newsletter? If you do, does he combine all 6 models or is each of the models separate on his newsletter? Is there a way to incorporate this onto a spreadsheet? Thanks.
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jackmack
334 posts
msg #122766
- Ignore jackmack |
2/5/2015 3:29:19 PM
I just stumbled on this yesterday - https://extradash.com/en/ - pretty cool.
I have just signed up for the free portion and am in the process of reviewing all models.
I advise once I have had a chance to study and digest.
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jackmack
334 posts
msg #122780
- Ignore jackmack |
2/7/2015 12:36:20 PM
Kevin
Doing a manual back test using filter on pg40.
This keeps one out of the larger draw downs especially in 2011.
The buy and hold seems to be doing better "lately" but one needs to
remember this a LONG TERM system and NO filter/system is perfect.
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Kevin_in_GA
4,599 posts
msg #122782
- Ignore Kevin_in_GA |
2/7/2015 4:36:52 PM
The constant rebalancing needed on that filter makes backtesting a real challenge. I think in general it overweights Bonds since their volatility is low - although they have had near-equity like returns over the last 10 years so maybe it is not a big concern over the long run.
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jackmack
334 posts
msg #122783
- Ignore jackmack |
2/7/2015 6:04:43 PM
Understood - thank you
So of all of the variations in this investment thread you have blessed us with
which is the best candidate using the 4 selectable categories of SPY EFA IWM AGG?
Is it just the Yahoo 3 month look back or the filter on page 40 or the 3 month offset?
I am not asking for investment advise ;-) just looking for the one that is strongest suited
for better than buy and hold gains.
I really like the filter on page 40 but would like your thoughts.
Thank you
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amtmail
34 posts
msg #122899
- Ignore amtmail |
2/21/2015 4:14:47 PM
Kevin ,please where i can find site to do a filter for momentum for stocks (not ETFs) and to do back testing for that filter?
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sohailmithani
192 posts
msg #122965
- Ignore sohailmithani |
2/27/2015 9:53:15 AM
Seems like IWM for March. Right?
AGG in Feb did not turn out to be profitable.
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sohailmithani
192 posts
msg #123081
- Ignore sohailmithani |
3/7/2015 3:10:50 PM
It is IWM for March. Right?
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