StockFetcher Forums · General Discussion · ETF Ladder Results so far<< >>Post Follow-up
JoeyVinyl
120 posts
msg #152574
Ignore JoeyVinyl
6/8/2020 11:45:46 PM

Back on 4/3/2020 I made a post about making an ETF Ladder, similar to a CD Ladder. If you don't know what that is go read this post (https://stockfetcher.com/forums/Filter-Exchange/Making-an-ETF-ladder/151684) because I've already explained it there. This post is about how it's worked out so far.

I have to admit that I didn't follow my own rules much of the time regarding how long I was going to hold them for. Looking back on those trades I can't remember why I sold them when I did. I think sometimes it was just because it had gone up and I wanted to take some profit when I could. Anyway, here they are in alphabetical order. Entry and exit prices are per share. Entry and exit trades were entered before market open, usually the day before if it was a Sunday or the night before on weekdays. These were market orders to be executed ASAP after the market opened.

EDIT: I tried spacing this out but it isn't showing up that way in the preview. I apologize for not knowing how to make it more readable.

Symbol Days Held Entry Exit P/L$ P/L%
EPI 7 19.12 19.78 0.66 3.45
FCG 5 6.35 6.42 0.08 1.18
GLDM 6 17.38 16.89 -0.49 -2.82
GWX 25 24.61 25.90 1.29 5.24
NANR 28 28.94 31.08 2.14 7.39
SLVP 7 12.92 12.21 -0.72 -5.55
XLRE 28 32.52 35.04 2.52 7.75
XOP 2 42.01 44.01 2.00 4.76
XOP 17 52.10 68.02 15.92 30.56
XRT 21 38.49 45.05 6.56 17.04

As you can see there were two losses out of 10 trades, giving me an 80% win rate. I'll take it. If you had bought just one share each (and yes, I did buy more than just one share each) you'd have risked a total of 274.44 for a return of 304.40, a gain of $29.96 or 10.92%. It's not an earth shattering return, but it's not bad. I think the key factor here is how long I hold each one. The best results came from just less than a three week hold but I know I can't ignore other factors like overall market direction along with others I can't think of at the moment.

Here's the code again. The Sharpe Ratio came from Kevin_in_GA, as well as the Relative Strength code (though I changed that to average four indexes). The top results are usually leveraged ETFs. I can't always tell by the title so I use Yahoo Finance to look up the symbol. I stay away from leveraged ETFs but if you like them then go for it. The NVI and PVI indicators in this filter are just for information. I'm not using them to help pick ETFs. I just like to see where the interest (and money) is. As always, if you want to use this filter feel free to make any changes to it that you want to make it work for you.

Fetcher[
market is ETF

/* RATE OF RETURN */
set {rateor1, close - close 28 days ago}
set {rateor2, rateor1 / close}
set {rateor, rateor2 * 100}

/* RELATIVE STRENGTH */
set {rs1, relative strength(^INX,28)} /* S&P 500 Index */
set {rs2, relative strength(^DJIA,28)} /* Dow Jones Industrial Average */
set {rs3, relative strength(^RUI,28)} /* Russell 1000 */
set {rs4, relative strength(^IXIC,28)} /* NASDAQ Composite */
set {rsavg1, rs1 + rs2}
set {rsavg2, rs3 + rs4}
set {rsavg3, rsavg1 + rsavg2}
set {rsavg, rsavg3 / 4}

/* SHARPE RATIO (the higher the ratio the riskier the investment) */
set {srclose, close 28 days ago}
set {srreturn, close - srclose}
set {srpercent, srreturn / srclose}
set {rfreturn, 0.0015417}
set {srperf, srpercent - rfreturn}
set {etfstdev, cstddev(close,28)}
set {etfvol, etfstdev / ma(28)}
set {sharpe, srperf / etfvol}

/* ADD THEM UP */
set {score1, rateor + rsavg}
set {score2, score1 + sharpe}
set {score, score2 / 3}

close is > 5

draw ema(21)
draw ema(63)
draw NVI on plot NVI
draw PVI on plot NVI

add column separator
add column rateor1 {change}
add column rateor {ror}
add column rsavg {rel str}
add column sharpe
add column score
sort column 10 descending
chart-display is weekly
]



Village Elder
230 posts
msg #152579
Ignore Village Elder
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.

Cheese
938 posts
msg #152580
Ignore Cheese
6/9/2020 11:59:04 AM

@JoeyVinyl
Thank you very much for both this thread and the original thread and thank you for your excellent fusion
of risk-return, laddering and scoring.


Cheese
938 posts
msg #152581
Ignore Cheese
6/9/2020 1:10:41 PM

@JoeyVinyl

I don't have any proof so I'm just thinking out loud here
The numeric values of ror and change are larger
than rs and sharpe
so I'm wondering if score may be unduly influenced by ror and change.

Also,in other forums, some traders caution that rs may be difficult
to interpret when the market indices are falling.

I'm flagging those points just in case you and nibor100 want to take a closer look.
(Sometimes, nibor100 test some hypotheses.)

Other than that, your filter is very useful to me.
THANKS AGAIN.



JoeyVinyl
120 posts
msg #152585
Ignore JoeyVinyl
6/9/2020 4:31:51 PM

Village Elder, that's good to know.

I was going off what Kevin said in this post: https://stockfetcher.com/forums/Filter-Exchange/PORTFOLIO-SELECTION-AND-MANAGEMENT-USING-RISK-REWARD-RATIOS/91296

"the higher the Sharpe ratio, the better the performance and the greater the profits for taking on additional risk." I understood that to mean the higher the ratio the riskier the investment. I'll have to do some research on that. I also found the post where SF added the Sharpe Ratio function. As I'm sure you know they keep adding things but not updating the manual. Makes it frustrating.

JoeyVinyl
120 posts
msg #152586
Ignore JoeyVinyl
6/9/2020 4:44:08 PM

Cheese, I always appreciate your feedback.

I don't use the Change number in scoring since it's part of the ROR. It's the first part of the ROR calculation; how much has the current price gone up or down compared to 28 days ago. I should have fixed the filter I posted. It's the original but I took the ROR out of the scoring, going only with the Relative Strength and the Sharpe.

There are definitely limitations to using the Relative Strength, especially in a bear market. I know a higher number doesn't mean the stock or ETF is going up if the indexes are falling. The stock might be falling too, just slower than the indexes. That's part of why I'm using four indexes for the RS number. I think averaging it out helps a bit but I don't know for sure.

Still, this filter has helped me make a few bucks so I'm happy with it.

Cheese
938 posts
msg #153101
Ignore Cheese
7/14/2020 3:16:58 PM

JoeyVinyl
Your ETF Ladder is truly excellent.
I just want to thank you again.

Cheese
938 posts
msg #153185
Ignore Cheese
7/17/2020 3:02:16 PM

@graftonian
@JoeyVinyl


JoeyVinyl's ETF Ladder is an excellent tool, easy to customize, and gives a comprehensive
assessment of risk and return

In the code belpw. I've changed the symlist of JpeyVinyl's ETF Ladeer
to reflect WIZ porfolio as of July 16, 2020

Fetcher[
/* https://www.stockfetcher.com/forums/General-Discussion/ETF-Ladder-Results-so-far/152574 */
/* https://finance.yahoo.com/quote/WIZ?p=WIZ&.tsrc=fin-srch */

/* https://www.stockfetcher.com/forums/Filter-Exchange/Cheese-I-d-like-to-more-of-thoughts-on-WIZ/153175 */


SYMLIST(XSD,PSI,SCHG,QQQ,MGK,IWY,SCHR,VGIT,SPY) /* WIZ porfolio a of 2020 07 16 */


/* RATE OF RETURN */
set {rateor1, close - close 28 days ago}
set {rateor2, rateor1 / close}
set {rateor, rateor2 * 100}

/* RELATIVE STRENGTH */
set {rs1, relative strength(^INX,28)} /* S&P 500 Index */
set {rs2, relative strength(^DJIA,28)} /* Dow Jones Industrial Average */
set {rs3, relative strength(^RUI,28)} /* Russell 1000 */
set {rs4, relative strength(^IXIC,28)} /* NASDAQ Composite */
set {rsavg1, rs1 + rs2}
set {rsavg2, rs3 + rs4}
set {rsavg3, rsavg1 + rsavg2}
set {rsavg, rsavg3 / 4}

/* SHARPE RATIO (the higher the ratio the riskier the investment) */
set {srclose, close 28 days ago}
set {srreturn, close - srclose}
set {srpercent, srreturn / srclose}
set {rfreturn, 0.0015417}
set {srperf, srpercent - rfreturn}
set {etfstdev, cstddev(close,28)}
set {etfvol, etfstdev / ma(28)}
set {sharpe, srperf / etfvol}

/* ADD THEM UP */
set {score1, rateor + rsavg}
set {score2, score1 + sharpe}
set {score, score2 / 3}

close is > 5

draw ema(21)
draw ema(63)
draw NVI on plot NVI
draw PVI on plot NVI

add column separator
add column rateor1 {change}
add column rateor {ror}
add column rsavg {rel str}
add column sharpe
add column score
sort column 10 descending
chart-display is weekly
]



StockFetcher Forums · General Discussion · ETF Ladder Results so far<< >>Post Follow-up

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