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General Discussion · ETF Ladder Results so far
Village Elder
msg #152579
modified
6/9/2020 10:55:34 AM

Based on his urging, SF added a Sharpe ratio function:

Add column Sharpe ratio(28)

Should give you what you want ...

Also, the higher the ratio the LOWER the risk for the same level of return, not HIGHER.

General Discussion · Help for my filter
Village Elder
msg #152346
5/26/2020 7:47:48 PM

I hope to help write this filter:
The lowest price today is the lowest in 52 weeks
The opening is equal to the lowest
Today's closing is higher than yesterday's close
Thanks

++++++++++++++

Fetcher[
low reached a new 52 week low
open equals low
close above close 1 day ago
]





Stock Picks and Trading · Village Elder Short -Sell Filter discussions
Village Elder
msg #152162
5/11/2020 8:38:11 PM

Never put that into play. If you look at the thread you'll see that I basically used either a good profit on day 1 or the ROC(5,1) dropping below 50 as my exit triggers. No need to overcomplicate the system, and the results ended up just fine.

General Discussion · "Reports Tool"
Village Elder
msg #151777
4/8/2020 11:05:54 AM

Just one more thing that SF is dropping that it used to offer. Sad.

Instead of expanding their filter language and syntax they continue to offer less and less - their screening language is their core product, but they have made essentially no improvements in something like a decade of operation.

General Discussion · What needs to be done now...
Village Elder
msg #151763
4/6/2020 3:32:43 PM

Sorry this happened, but do not paint yourselves as innocent and Klynn as guilty. Politics was injected here by multiple people, who also taunted and baited others. The current political landscape is so highly polarized that if you start something that is overtly political (supportive of one side or demonizing the other) you should be blocked. Not put on ignore by others, but BLOCKED from posting for two weeks.

Stop extolling OR bashing the current Administration. Stop praising or blaming. Just focus on trading systems. If we can't do that then the problem is not with others, but with ourselves.

Filter Exchange · Making an ETF ladder
Village Elder
msg #151737
4/5/2020 2:31:41 PM

You are right in not holding these for any appreciable period of time. Your strategy is long only, perhaps with some use of inverse ETFs like SH, but with a month long rotating hold leveraged ETFs are just too volatile.

Your selection metrics are essentially the same - performance and performance relative to another benchmark. Really just the same thing since the highest performers will also be the highest against any given benchmark, so they do not really "corroborate" each other.

Since you are planning to hold for 4 weeks, you might want to consider weekly indicators rather than daily. Also, if you are trading within a 401k there is a three day hold period that may come into play in timing your buys and sells.

Filter Exchange · Making an ETF ladder
Village Elder
msg #151725
4/5/2020 8:45:00 AM

https://www.stockfetcher.com/forums/Filter-Exchange/PORTFOLIO-SELECTION-AND-MANAGEMENT-USING-RISK-REWARD-RATIOS/91296

What you are proposing here seems similar to something Kevin_in_GA posted 10 years ago, but his strategy was to focus on risk-adjusted returns. You have to have noticed that you are selecting doubly or triply leveraged ETFs almost exclusively in your approach. These will take a beating if you are not careful - are you really going to hold a triple leveraged ETF for a month (= 21 trading sessions) in this environment?

I have copied the filter from the above post here. Take a minute to read his first post - if only others would be so thorough and willing to educate others.

Your concept is intriguing but IMHO is ignoring any risk metric in favor of performance - that seems to work until it blows up. GLTY

Fetcher[
SET{21DAYSAGO, CLOSE 21 DAYS AGO}
SET{21DAYRETURN, CLOSE - 21DAYSAGO}
SET{21DAYPERCENTRETURN, 21DAYRETURN / 21DAYSAGO}

SET{RISKFREERETURN, 0.000825}
SET{PERFORMANCE, 21DAYPERCENTRETURN - RISKFREERETURN}

SET{SPY, IND(SPY,CLOSE)}
SET{SPYMA21, CMA(SPY,21)}
SET{SPYSTD, CSTDDEV(SPY,21)}
SET{SPYVOL, SPYSTD / SPYMA21}

SET{ETFSTD, CSTDDEV(CLOSE,21)}
SET{ETFVOL, ETFSTD / MA(21)}

SET{BETA21, ETFVOL / SPYVOL}

/*SHARPE RATIO*/

SET{SHARPE, PERFORMANCE / ETFVOL}

/*TREYNOR RATIO*/

SET{TREYNOR1, PERFORMANCE / BETA21}
SET{TREYNOR, TREYNOR1 * 100}

/*JENSEN'S ALPHA*/

SET{SPY21DAYSAGO, SPY 21 DAYS AGO}
SET{SPY21DAYRETURN, SPY - SPY21DAYSAGO}
SET{SPYRETURN, SPY21DAYRETURN / SPY21DAYSAGO}

SET{SPYPERFORMANCE, SPYRETURN - RISKFREERETURN}
SET{RISKADJUST, BETA21 * SPYPERFORMANCE}
SET{JENSEN1, PERFORMANCE - RISKADJUST}
SET{JENSEN, JENSEN1 * 100}

SYMLIST(SPY,EEM,IWM,SHY,DBA,DBB,DBC,USO,XRT,XME,XHB,KBE,VNQ,VTI,VVR,IWP,IWR,IEF,PCY,BKF,IWC,WIP,VBR)

DRAW SHARPE LINE AT 0
DRAW TREYNOR ON PLOT SHARPE
DRAW JENSEN ON PLOT SHARPE
DRAW MA(21)

ADD COLUMN SHARPE {SHARPE RATIO}
ADD COLUMN TREYNOR {TREYNOR RATIO}
ADD COLUMN JENSEN {JENSEN'S ALPHA}
ADD COLUMN BETA21 {BETA}
SORT ON COLUMN 5 DESCENDING

CHART-TIME IS 63 DAYS
]



General Discussion · Swing Trading Ideas and methods
Village Elder
msg #151540
3/28/2020 8:41:08 PM

Glad to see you are still here.

Stock Picks and Trading · Village Elder Short -Sell Filter discussions
Village Elder
msg #151518
3/27/2020 10:28:37 PM

@Ratilal - I personally like to see no red candles in the last five days, but this is not a prerequisite for a better trade. Also like to be sure that I have a few days before the ROC(5,1) crosses back below 50 so just look at the price action and you can see if it will give you the time to make a profit.

At an 83% win rate and an averaged return of 5.2% ($52,000 /100 trades = $520 per trade, or 5.2% averaged return per trade) the statistics would argue that any random 5 should be okay.

Stock Picks and Trading · Village Elder Short -Sell Filter discussions
Village Elder
msg #151483
3/26/2020 11:33:45 PM

Note: neither of those were selected on the days you listed. Not sure how you can criticize a filter for picks it didn’t make. If you can show that these trades were in fact selected I’ll change my comment.

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