Kevin_in_GA
4,599 posts
msg #123617
- Ignore Kevin_in_GA |
4/21/2015 9:53:24 AM
The reason is that there are 252 trading days in a calendar year - if SF let us use monthly data it would be trivial but since they currently do not I simply use 252/12 = 21 days per month or 63 days per quarter.
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mahkoh
1,065 posts
msg #123618
- Ignore mahkoh
modified |
4/21/2015 3:06:04 PM
Maybe you could use the datebased reference?
Not that I think it would make a big difference.
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glgene
618 posts
msg #123619
- Ignore glgene |
4/21/2015 5:50:26 PM
Kevin,
Your 21 and 63 market days now clearly make sense to me. I did a Google search, and found a site that listed the stock market closing days for 2015 and 2016. It totals 9 each year:
New Year's Day
ML King Jr. Day
Presidents' Day
Good Friday
Memorial Day
Independence Day
Labor Day
Thanksgiving Day
Christmas
So.... 260 total weekdays (52 wks. x 5) - 9 off days = 251 market days.
251 / 4 = 62.75 days per quarter (63 rounded)
251 / 12 = 20.92 days per month (21 rounded)
251 / 52 = 4.83 days per week (5 rounded)
Thanks, Kevin. You're great!
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dashover
229 posts
msg #123624
- Ignore dashover
modified |
4/22/2015 3:44:35 PM
http://seekingalpha.com/article/2996846-how-to-beat-the-market-using-tactical-asset-rotation
Another recent paper by a PHD detailing a 10 year backtest with excellent returns...
https://www.relativerotationgraphs.com/content/files/pdfs/Tactical%20allocation%20works.pdf
Pertinent reading related to backtests similar to this strategy, going back over 10 - 25 years....
90 day look lookback and buying the top assets with solid results...
Dash
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jayfray
2 posts
msg #123679
- Ignore jayfray
modified |
4/30/2015 12:28:04 PM
EFA this month then right?
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sohailmithani
192 posts
msg #123682
- Ignore sohailmithani |
4/30/2015 2:43:44 PM
Why am I getting AGG?
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Kevin_in_GA
4,599 posts
msg #123687
- Ignore Kevin_in_GA |
4/30/2015 7:20:35 PM
I get EFA.
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domino
5 posts
msg #123688
- Ignore domino |
4/30/2015 9:47:28 PM
I get AGG also! With high Alpha Score 7.82 using this filter offset to January 30
/*Just a simple sum of the one and three month look backs. Both this and the standard three month lookback point to fully investing in US Small Caps (IWM) for March. I am currently 100% in small caps in all of my investment accounts for this month.*/
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
What is the correct offset? 3 months or 63 days?
If I offset to 63 days to Jan 29 i get AGG alpha of 5.09....so EFA alpha of 6.25 wins for April 30
Can someone clear this up please.
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sohailmithani
192 posts
msg #123689
- Ignore sohailmithani |
4/30/2015 10:06:56 PM
I am using
symlist(spy,iwm,efa,agg)
offset 63 days
sort on column 5 descending
Kevin please confirm if this is what you also look at. I get AGG from this one.
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domino
5 posts
msg #123690
- Ignore domino |
4/30/2015 10:11:45 PM
Found the post. 63 days offset.....which means EFA alpha 6.25 wins for May TAA
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