StockFetcher Forums · View by Author: (20 messages)  [ Display By: Date / Subject ]<< 1 2 >> 
Announcements · StockFetcher Site Changes (beta)
Toad
msg #125280
9/26/2015 1:28:07 PM

I don't know if I was just previously very unobservant, or this has just been added, but I really like the Table option in the filter results...a lot. My filters are primarily stat based, so seeing the results in table form like this is very useful to me. Kudos if this is added (or kudos for keeping it if I am just woefully unobservant).

Another change I like a lot is that all the results pop up on a screen. It was a pain to have to click through to see all of them previously. Perhaps there used to be an option to change the number of results displayed and again I was just woefully unobservant, but if this was a change made, I am liking this a lot as well.

Announcements · StockFetcher Site Changes (beta)
Toad
msg #125271
9/26/2015 1:36:00 AM

Same problem as mactheriverrat...both on my mobile and PC. Hope this one is fixed very soon as it is a big issue for me.

Announcements · StockFetcher Site Changes (beta)
Toad
msg #125087
9/18/2015 6:01:55 PM

I completely agree with Mactheriverrat's suggestion...it would save me from having to derive the slope of my trendlines and extrapolate out.

I also find it very cumbersome to not be able to use multiple mathematical operations in one set statement. I am not sure why this restriction is in place. Perhaps it is difficult to code otherwise, but really...Mactheriverrat's suggestion and being able to use multiple operation in one set statement would be much more useful to me than a facelift.

Although when your business is more targeted at gaining new users...

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
Toad
msg #124554
7/29/2015 7:07:15 PM

Not sure if you are referring to me Kevin, but all I am/was trying to do was assess how effective you strategy is. I don't take things on blind faith myself normally. The optimization study I did landed essentially on the same thing you came up with, I was just concerned about the large spread based on when the reallocation date was selected, which should not be a major factor in my opinion.

I am interested in looking at the non-compounded returns to see if they are more consistent in which case I will be more inclined to use this or a similar strategy for myself. I just figured other people may be interested in my results since it seems that a lot of people are using this, but if they aren't then I won't post them. Makes no difference to me.

I appreciate that you have developed this and posted it, I just figured you would appreciate some thoroughly vetted feedback on it although I do realize you have fully vetted this yourself.

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
Toad
msg #124551
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.

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
Toad
msg #124545
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:

Fetcher[/*manually change date to 3 months back before running*/

symlist(spy,iwm,efa,agg)
sort on column 5 descending
set{start,date(20150430, close)}
set{ch,close - start}
set{sort,ch / start}
set{sort%,sort * 100}
add column sort%
]



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).

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
Toad
msg #124542
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.

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
Toad
msg #124524
modified
7/24/2015 9:44:43 PM

I have updated the spreadsheet for the adjusted close values. The optimization study ended up on the same results (ideal for SPY-IWM-EFA-AGG is 3 month look back, ideal for SPY-AGG is 70% 6 month, 30% 3 month). The updated spreadsheet can be obtained here:

http://www.mediafire.com/view/gr3j8hyd14vg3mk/Kevin%27s_Mutual_Funds_Screener_Validation_-_Updated.xlsx

The revised results are as follows for the SPY-IWM-EFA-AGG:
- The optimal look back to use is the 3 month and nothing else
- The average account balance of the 21 possible reallocation days was 272%
- The standard deviation was 63%
- The max balance was 438%
- The min balance was 203%
- The lowest period (21 day) return was -33%
- The highest period (21 day) return was 17%

A graph illustrating my concern with the method is below:

SPY-IMW-EFA-AGG.png

From this graph you can see that the annual return varies between 6.5% and 14% depending on the day you select to reallocate funds. At worst you end up basically following SPYÖsimilar drawdowns, similar gains. Over a period of 11 years, the luck can make a substantial difference to your account.

Comparing my graph to Kevinís, you can see that my ďaverageĒ curve is the same as his equity curve. Mine has some fuzz in it since I was only picking up the on the month values, not the individual day values and I didnít try to smooth the curve out any after averaging.

The revised results are as follows for the SPY-AGG:
- The optimal look back to use is 70% 6 months, 30% 3 months
- The average account balance of the 21 possible reallocation days was 263%
- The standard deviation was 39%
- The max balance was 363%
- The min balance was 217%
- The lowest period (21 day) return was -16%
- The highest period (21 day) return was 14%

A graph of this one showing the same problem, but to a lesser degree, is below:

SPY-AGG.png


From this graph you can see the annual return varies from 7.15% to 12.1% depending on the day you select to reallocate funds. Again, at worst you end up similar to SPY. The difference is, that this one seems to always avoid the large drawdowns. To me it is not surprising that this one has less variance since it only uses 2 funds instead of 4.

Comparing my graph to Kevinís you can see that my average curve is slightly lower than his equity curve. I believe this is because we were optimizing for different conditions. I sought to maximize the minimum (the green jagged line) with the thought that this would give me the highest possible returns with the lowest standard deviation (amount of luck). This resulted in the 70% 6 month, 30% 3 month. Kevin sought to maximize the average which results in 100% 6 months.

Which system is better? The SPY-IWM-EFA-AGG or the SPY-AGG? I donít know. Since this is a long term strategy, it seems either way you go the worst you will do is follow SPY. The SPY-IWM-EFA-AGG system has more upside potential but you have to be able to stomach the larger drawdowns.

Is there statistical significance to reallocating funds this way? Maybe, but there isnít as much as I expected. Iím still on the fence about using this myself although I certainly havenít come up with anything better.

Also, as a comparison using the adjusted close values:
- Hold SPY 3-26-04 to 6-1-15 --> 238% balance (shown on graphs)
- Hold IWM 3-26-04 to 6-1-15 --> 252% balance
- Hold EFA 3-26-04 to 6-1-15 --> 194% balance
- Hold AGG 3-26-04 to 6-1-15 --> 158% balance

Feel free to go into my spreadsheet and dissect itÖtry to find an error somewhere. At this point I would be very surprised if there is, but I still hope there is. I will not be revisiting it myself in search of errors anymore, but if someone sees something, let me know and I will look into it.

General Discussion · @ Four - "Let your profits Run"
Toad
msg #124508
7/24/2015 8:20:29 AM

@BarTune1

A system I am currently testing out myself is a "let the profits run" type system. What I have in place for it at the moment is to set my initial SL 1% below an obvious support level when I buy in. Once the uptrend begins (simply one up day for my system) I move my SL to 1% below the low of the day. This seems to allow adequate breathing room for a short term (~1 week) uptrend. From looking back on this technique, at least for the strategy I am using, most stocks have a day or two with relatively low range before they turn back so I am only missing out on about 2-3% potential profit, and if the stock crashes during the uptrend I can still bank some profit/avoid loss.

So basically, maybe try setting the SL 0.5% or 1% below the low to allow some room on the way up.

General Discussion · Debugger question
Toad
msg #124504
7/24/2015 12:54:42 AM

I have the same issue...it's not just you.

StockFetcher Forums ·  · << 1 2 >>

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2018 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus


This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.