dashover
229 posts
msg #123322
- Ignore dashover |
3/24/2015 1:49:58 PM
So Kevin, have you switched over to the XLU, AGG , XLI and now look weekly at which one has the best relative strength over the last 20 weeks versus the SPY?
Did you test 8 weeks, 12 weeks, 15 weeks.. and how did those compare?
Why are you now using relative strength versus the SPY instead of absolute performance over the last 68 days?
Thanks!!!!
Dash
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sohailmithani
192 posts
msg #123325
- Ignore sohailmithani |
3/24/2015 8:09:11 PM
Kevin,
Can you please share the strata code for it. I use Amibroker and guess both have similar code syntax.
Thanks
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Kevin_in_GA
4,599 posts
msg #123335
- Ignore Kevin_in_GA |
3/25/2015 5:00:55 PM
The code for this is pretty simple - I will repost it here:
Just invest in the top performer. No additional code needed. The Stratasearch code was developed for optimizing the look-back period, which remains at 3 months as the best performer. Just us this simple code at the end of each month.
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sohailmithani
192 posts
msg #123340
- Ignore sohailmithani |
3/25/2015 6:45:01 PM
Kevin you are the best. Thank you so much.
Are you trading this one? IWM for March was the call. It should end well.
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Kevin_in_GA
4,599 posts
msg #123341
- Ignore Kevin_in_GA |
3/25/2015 8:47:16 PM
I am using an even simpler system - just SPY or AGG. Based on my SS optimization the best look-back period was 6 months. Even after today's drubbing it still says to stay in SPY right now. We'll see at the end of the month.
My guess is that no one here on SF will use this, since the frequency with which you re-allocate is only once or twice a year. Probably too boring even though it will beat most faster-paced strategies.
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duke56468
683 posts
msg #123349
- Ignore duke56468 |
3/26/2015 11:03:20 AM
Hi all this will be my last post on SF. I have switched to the less stressful "3% signal" system. Full disclosure, I have no vested interest in this system or book. I want to thank all the great unselfish contributors to SF over the years. My best contribution is to suggest looking into the 3%Signal. Cheap and easy. Like Kevin suggested I'm ready to cut my stress level.
Ben
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novacane32000
331 posts
msg #123356
- Ignore novacane32000 |
3/26/2015 2:53:04 PM
This strategy has beaten the SP 500 by about 3.5% a year for the last 40 yrs.
http://paulmerriman.com/the-ultimate-buy-hold-strategy-2014/
Here are all the ETF equivalents I found that match the strategy mentioned with the % allocation for each.
Stocks
SPY --6
EEM--6
DLS--6
SCZ--6
EFV--6
EFA--6
IWN--6
IWD--6
IWC--6
VNQ--6
Bonds
TIP--8
BIV--20
BSV--12
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jayfray
2 posts
msg #123512
- Ignore jayfray |
4/8/2015 1:50:06 PM
Hi All, I've read through this entire thread in detail and picked out all the fetcher code as it has changed over the course of the thread. However, I'm still confused which fetcher model is being used (I'm new to the site). I see that Kevin continues to post the simple version:
symlist(spy,iwm,efa,agg)
sort on column 5 descending
offset 63 days
]
To me that appears to be just picking the etf that performed the best over the past 63 days... am I interpreting this wrong?
I'm interested in knowing which is the current 401k model, and what code to use to manually backtest this month by month over the past 1,2,3 years
Thanks for your help and all your thoughts!
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glgene
618 posts
msg #123615
- Ignore glgene |
4/20/2015 9:59:38 PM
If there are 65 trading days in a 13 week period (13 x 5), why are 63 days used in this SF script for a 3-month lookback?
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dwiggains
448 posts
msg #123616
- Ignore dwiggains |
4/21/2015 9:18:55 AM
My guess is holidays.
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