davesaint86
726 posts
msg #92223
- Ignore davesaint86
modified |
5/6/2010 1:19:10 PM
So Kevin, are you going to only trade EEM, SHY and IWM in your 401k? What about your non-401k account/s. Are you going to keep is simplified or add other ETFs to the mix. I think I'm going to add GLD to the mix for my non-401k Account.
Dave
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Kevin_in_GA
4,599 posts
msg #92247
- Ignore Kevin_in_GA |
5/6/2010 6:39:04 PM
So Kevin, are you going to only trade EEM, SHY and IWM in your 401k? What about your non-401k account/s. Are you going to keep is simplified or add other ETFs to the mix. I think I'm going to add GLD to the mix for my non-401k Account.
Dave
+++++++++
I have two 401k accounts - one is entirely in smallcaps as of the close last Friday (based on the IWM signal generated from the filter). The majority of the second account is being professionally managed by an outside firm, and is split into equal parts Large cap, Small cap, Large cap value, and bonds. Obviously these took a bit of a hit this week.
My trading acount (a separate section within the second 401k) has been entirely in cash since the middle of last week. In this instance luck favors the lazy!
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hmsb4494
81 posts
msg #92395
- Ignore hmsb4494 |
5/9/2010 10:55:14 PM
The backtests from etfreplay on eem, iwm, shy have changed due to the current market enviroment. The monthly
rebalancing was the most profitable, but now the quarterly rebalancing is the most profitable in every year since 2004, and
2003 the monthly was just slightly better than the quarterly.
I am trying to understand why this has changed.
Anyone got any ideas???
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Kevin_in_GA
4,599 posts
msg #92404
- Ignore Kevin_in_GA |
5/10/2010 12:43:09 AM
Is IWM still the pick for the month and for the quarter?
I looked at increasing the relative proportion for the volatility from 0 to as high as 50% - it currently reads IWM for a wide range of settings, which argues that it is the right choice for the moment.
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Kevin_in_GA
4,599 posts
msg #92425
- Ignore Kevin_in_GA |
5/10/2010 7:16:28 PM
Well, IWM did well today, recovering 5+% from its drop last week. Recent volatility is high (obviously) but this approach has historical backtest returns that most fund managers would kill for.
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hmsb4494
81 posts
msg #92430
- Ignore hmsb4494 |
5/10/2010 8:13:27 PM
as of today the quarterly rebalancing is still the most profitable by far since 2004. Volitility is also higher on the quarterly rebalancing----sometimes a great deal higher!
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guymar
113 posts
msg #92452
- Ignore guymar |
5/11/2010 4:34:11 AM
It is perhaps a good thing to calculate the Sharpe ratio, maximum drawdown and maximum drawdown duration in of the resulting trades and not of the individual ETF's, they give a wrong idea of security....
Don't forget, you are evaluating a trading model and not the individual ETF's.
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medowz
59 posts
msg #92453
- Ignore medowz |
5/11/2010 6:07:02 AM
Great thread everybody. Thanks!
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Kevin_in_GA
4,599 posts
msg #92456
- Ignore Kevin_in_GA |
5/11/2010 6:53:03 AM
Here's something weird - if you use the ETFReplay analyzer with EEM, IWM, and SHY at 50% weight for 3 months on returnA and 50% weight for 20 days on returnB, 0% volatility you get 469.7% return since 2003.
Now reverse the settings - same weight and timeframes but make 3 months for returnB and 20 days for returnA. The return is now only 248.3%. Almost a 2-fold difference at the same weighting factors??? I'll send the guys a quick note to see what's up with this.
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ciscoslaves
5 posts
msg #92471
- Ignore ciscoslaves |
5/11/2010 2:31:49 PM
Kevin,
I see what you mean. Let us know what you find out. Thanks.
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