StockFetcher Forums · Filter Exchange · A SIMPLE MARKET TIMING FILTER<< 1 ... 3 4 5 6 7 >>Post Follow-up
788 posts
msg #112727
Ignore gmg733
4/11/2013 7:24:45 PM

Agreed. I follow seasonality and this makes since. Sp500 goes out of favor around the first of May. Looking back it got me into xli around the first of October. Seasonality strength for sp500 starts the end of October. Timing seems to be consistent with seasonality.

Made me good money for 6 months. Up 2 points already since the first of April. There is a similar play with xly/xlp. I have not had time to test it though. I saw a reference in a seasonality article.

Easy button.

102 posts
msg #115487
Ignore jimmyjazz
9/23/2013 3:50:25 PM

Can you explain the trade timing again? Are you suggesting a reversal into the other ETF on a red/green crossover? What was the last call (the cross was around 8/26)?

4,599 posts
msg #115492
Ignore Kevin_in_GA
9/23/2013 6:12:23 PM


The ETF with the highest 14 week performance is the one into which you invest. Check at the end of each week (or over the weekend) and only shift into the other if it takes the lead.

911 posts
msg #115500
Ignore marine2
9/23/2013 7:51:42 PM

Its been said, September is on average, is the worst month of the year to be trading. Of course that's the average taken over many years data collected. Maybe this years September, will be better than the historical average? For me I know I have done quite well this month so far.

102 posts
msg #115501
Ignore jimmyjazz
9/23/2013 8:04:12 PM

Thanks, Kevin. Have you backtested a pair trade (long XLI, short XLU or the inverse)?

4,599 posts
msg #115502
Ignore Kevin_in_GA
9/23/2013 9:34:14 PM

I just cranked out the short version of this - over the last 6 years every time period variation has been unprofitable, mostly due to the strong upward bias of the market as a whole since 3/2009. Stick to the long only version.

3 posts
msg #116997
Ignore rtknuds
11/23/2013 8:19:23 AM

Kevin, I just joined SF the other day. I learning lots from your correspondence. I have looked at your filters going back several years now, thanks for being so willing to share. What is your filter for ETFs today. I'm just starting to manage my 401k myself, so any help would be appreciated.

4,599 posts
msg #116998
Ignore Kevin_in_GA
11/23/2013 9:26:27 AM

Look at the PORTFOLIO MANAGEMENT thread - that is what I use. Three month look back on pure performance seems to generate the best ROI, with about the same or lower volatility as the ^SPX.

5,087 posts
msg #120429
Ignore four
6/4/2014 12:41:26 PM


1 posts
msg #147633
Ignore jayp1004
5/1/2019 3:28:47 AM

Looks pretty intriguing and interesting :) Thanks for this, Kevin.

3 questions though Kevin if you still look at these :

1. Is this still something in use?
2. How did you run the backtest?
3. Can we use other sectors?


StockFetcher Forums · Filter Exchange · A SIMPLE MARKET TIMING FILTER<< 1 ... 3 4 5 6 7 >>Post Follow-up

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