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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sohailmithani
192 posts
msg #123697
- Ignore sohailmithani |
5/1/2015 3:52:54 PM
Kevin please respond. Month has started and now am not sure which filter is correct. Should I buy AGG or EFA?
Thanks
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Kevin_in_GA
4,599 posts
msg #123704
- Ignore Kevin_in_GA
modified |
5/2/2015 10:39:20 AM
As I said earlier - I get EFA. No idea why AGG is being selected in your case as it's 3 month performance is dead last.
EDIT: Just look at the filter Mahkoh wrote a few posts earlier (copied here - nice simple code, dude.)
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sohailmithani
192 posts
msg #123705
- Ignore sohailmithani |
5/2/2015 11:58:48 AM
Thanks
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GarryDL
2 posts
msg #123798
- Ignore GarryDL |
5/17/2015 3:46:48 PM
Thank you folks for a great discussion.
Have you considered RRG on StockCharts.com? "Relative Rotation Graphs (“RRG charts”) show you a security's relative strength and momentum relative to a collection of other securities."
It appears to me be a better way of choosing the one equity to hold for the next month.
GarryL
PS I'm in GA also.
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GarryDL
2 posts
msg #123817
- Ignore GarryDL |
5/19/2015 11:42:17 AM
Actually, I'm not seeing a predictive nor confirming indication from the StockChart RRG. Went back to Chartschool on RRG and read the article on plotting the two indicators on a chart. It appears the two indicators (RS-Momentum and RS Performance) are polar opposites but nothing correlates to a price trend.
Sorry for the mis-direction, I'm still learning. I thought the two indicators would be good for the long hold period.
Garry
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Kevin_in_GA
4,599 posts
msg #123823
- Ignore Kevin_in_GA |
5/19/2015 4:48:29 PM
I had looked at RRG - my initial thinking was that one would buy "lagging" sectors (bottom left corner) and let the relative rotation carry them into profit.
Not convinced that is how it actually works though - I think you are better off buying strength and staying with it until it drops, rather than trying to time the bottom on any given sector based on RRG.
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