amtmail
34 posts
msg #124535
- Ignore amtmail
modified |
7/26/2015 3:05:45 AM
Kevin , Thank you for your information but can you provide us with the SS code for this strategy.
Also if i like to use the ranking 60 % on 3 Months returns and 40 % on 21 days volatility how i can code it in SS code?
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sohailmithani
192 posts
msg #124541
- Ignore sohailmithani |
7/27/2015 4:35:29 PM
Toad,
Am unable to open up your excel sheet from the link provided. Please check and confirm.
Wondering if for timing of entry we add RSI(2) to be at certain over sold level before we get into the symbol for the month and sell it at certain RSI(2) level. Would that improve the results in any way? Thanks
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Toad
20 posts
msg #124542
- Ignore Toad
modified |
7/27/2015 6:03:33 PM
I checked the link and it is good. I was able to download and open it just fine. It is a large file so you will not be able to open it in your browser, you will need to download it and open it. Also, you will need Excel 2007 or later. If you still can't get it to open after checking those things then I am not sure why.
As far as adding in RSI(2) to time the entry, I do not think that will do much good. When Kevin and I (and other people earlier) optimized it, we all came up with the later period look backs as being the most effective for this. The RSI(2) is a very short term indicator so I am not sure it will do much good for a buy and hold for a month type strategy like this one. I really know very little about this stuff now though as I am very new to trading, so maybe I am off base with saying that.
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Kevin_in_GA
4,599 posts
msg #124543
- Ignore Kevin_in_GA |
7/27/2015 7:30:04 PM
Guys:
Please stop trying to "optimize" this. You're trying to turn this into a trading system (which it isn't). This is designed for 401k accounts where you are often limited to asset class funds rather than stocks, and not allowed to trade too frequently.
This system is where I want it to be. One variable is all that it is based on, and yet somehow people want to keep adding entry/exit criteria in the hopes of squeezing out more profit. It is based on monthly bars, not mid-month trading dates. It is based on simple performance over time, not any RSI value. The truth is that you are most likely overfitting the system and making it LESS likely to work as well in the future. I won't write any more code on this because no more code is needed.
Kevin
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sohailmithani
192 posts
msg #124544
- Ignore sohailmithani
modified |
7/27/2015 7:39:14 PM
Got it Sir. Will trade it as prescribed. Could you please give us the final code you use to trade it as it has become more confusing now. Is the following I should be looking at each month end for next month symbol?
symlist(spy,iwm,efa,agg)
sort on column 5 descending
set{start,date(20140930,close)}
set{ch,close - start}
set{sort,ch / start}
set{sort%,sort * 100}
add column sort%
If so then I get following values for 2015:
Jan - IWM
Feb - AGG
Mar - IWM
Apr - EFA
May - EFA
June - EFA
July - IWM
Are these correct? Thanks everyone for helping me here.
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Toad
20 posts
msg #124545
- Ignore Toad
modified |
7/28/2015 12:17:53 AM
Correct me if I'm wrong, but I believe you need to manually change the look back each month. So this month the code will be:
Otherwise you will be using a different look back period. Also, code shouldn't be run until end of day Friday since that will be the selection day.
Also be aware that you want to select the fund set which has the highest sort% (least negative or hopefully most positive).
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sohailmithani
192 posts
msg #124546
- Ignore sohailmithani |
7/28/2015 10:25:58 AM
I did exactly that and got the symbols mentioned in my previous post.
Could someone just confirm if those are correct.
If those were the ones then I guess till June 2015 this strategy did not make any money. Correct?
July we need to be in IWM. Correct?
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mahkoh
1,065 posts
msg #124547
- Ignore mahkoh |
7/28/2015 10:45:29 AM
I don't have a 401K but if I learned that the moment of rotating made a big difference in endresult I'd be determined to find out whether this is consistent or nothing more than just a few compounded (un)lucky strikes.
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Toad
20 posts
msg #124551
- Ignore Toad |
7/29/2015 1:07:36 AM
I was thinking along similar lines mahkoh. Over 10+ years the compounding can make a big difference...it should be easy enough to check with a few tweaks in my spreadsheet, just haven't had a chance to do it yet.
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Kevin_in_GA
4,599 posts
msg #124552
- Ignore Kevin_in_GA |
7/29/2015 10:39:10 AM
Again, you are likely to be overfitting for historical performance gains. Would you take a system based on daily bars and look at every hour to see if you could do a little better, or would you develop it based on hourly bars? The system is based on monthly data, not daily data.
Systems are built on completed bars - you can try weekly or daily with this approach (I have already done this) to see if it might better suit your needs. If your objective is highest gain with lowest drawdown you'll probably end up where the system currently resides.
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