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Filter Exchange · Making an ETF ladder
JoeyVinyl
msg #151741
modified
4/5/2020 4:27:45 PM

"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."

True, they don't corroborate each other. I'm using them more for helping me decide. If there are two ETF's with the same Relative Strength I'm going to look at the Rate of Return (and the Sharpe's Ratio* now too), then pick the one that looks best based on the RoR and the chart. Looking at it on a weekly time frame is a good idea too. I'm make a copy for that and see if it changes any of the results.

I've read a lot of old forum posts. Every time I want to learn about an indicator, or think of an idea and want to know what someone here has said about it I go searching the forums. It's quite useful. This idea came about because of some of Kevin's posts about ETF rotation, and to a lesser degree, TRO's Run Forest Run filter. I especially liked Kevin's ideas in his post, A SIMPLE MARKET TIMING FILTER. (https://stockfetcher.com/forums/Filter-Exchange/A-SIMPLE-MARKET-TIMING-FILTER/103064) He was talking about the nine sectors of the S&P 500 and how to trade ETF's that covered those sectors. As he said in that post, "Trading this is simple - buy the ETF with the highest Relative Strength, and sell it and buy the countertrend ETF if it becomes the leader."

This isn't in a 401k, but my broker does have a 3 day hold period for funds after a sale. I took that into account by figuring out just how much I have to invest, then dividing that by 5. The amount per ETF will change every week, of course, depending on if I'm making a profit or not, but this way there will always be something available to buy with while waiting for my last sale to clear.

I always welcome feedback here, and I do appreciate when people point out things I may be missing.

*I'm using only the Sharpe's Ratio because that seemed to be the most useful for this strategy. Like the RoR, it's another good tool to help me decide which ETF would be the best choice.

Filter Exchange · Curious Anomaly in SF "minus" vs "-"
JoeyVinyl
msg #151738
4/5/2020 3:59:22 PM

That is weird. I played around with it, changing the variable names just to see if that made any difference but it didn't (just adding 52 in front). I also added just a 'hi - lo' column to see the actual difference. I found just what you found with the abs function. When I used the "-" symbol it always gave the low number, but when I spelled out "minus" it gave the actual difference.

Maybe someone from the SF team can tell us why.

Filter Exchange · Making an ETF ladder
JoeyVinyl
msg #151735
4/5/2020 1:27:28 PM

@Village Elder

That's a good point. I have read that post before, even copied the filter to study later. Now that I have time I'll look into it more. As far as leveraged ETF's go, yes, I can see how this filter would bring those up more often. I'm using it with watchlists of commission free ETF's from my broker rather than the whole ETF market so I'm not seeing those. I changed that to "market is ETF" for posting because obviously you can't see my watchlists.

No, I definitely wouldn't hang on to leveraged ETF's for more than a day, at the most. I did put a few bucks into a couple of them recently. Only on days when the market was going down and watching closely so I could sell for a relatively small profit. One of them went down when I wasn't expecting it to, but I held on and was able to sell it for a small loss the next day when it came close to what I paid. I got lucky. I broke even on those before I realized I'm not ready to mess with them now, if ever.

I do appreciate your feedback. Thank you.

Filter Exchange · Making an ETF ladder
JoeyVinyl
msg #151716
4/5/2020 12:02:12 AM

Here's a variation using four different indexes rather than different times from just one. My thinking is that if an ETF is doing better than four of the major indexes (or at least falling slower) then that's better than beating one no matter how many times. I could be way off base here, but I hope I'm not.

Fetcher[
market is ETF

set {ind1, relative strength(^INX,28)} /* S&P 500 Index */
set {ind2, relative strength(^DJIA,28)} /* Dow Jones Industrial Average */
set {ind3, relative strength(^RUI,28)} /* Russell 1000 */
set {ind4, relative strength(^IXIC,28)} /* NASDAQ Composite */
set {rsavg1, ind1 + ind2}
set {rsavg2, ind3 + ind4}
set {rsavg3, rsavg1 + rsavg2}
set {rsavg, rsavg3 / 4}

set {ror07a, close - close 7 days ago}
set {ror07b, ror07a / close}
set {07day, ror07b * 100}

set {ror14a, close - close 14 days ago}
set {ror14b, ror14a / close}
set {14day, ror14b * 100}

set {ror21a, close - close 21 days ago}
set {ror21b, ror21a / close}
set {21day, ror21b * 100}

set {ror28a, close - close 28 days ago}
set {ror28b, ror28a / close}
set {28day, ror28b * 100}

set {avg1, ror07b + ror14b}
set {avg2, ror21b + ror28b}
set {avg3, avg1 + avg2}
set {avg4, avg3 / 4}
set {avgror, avg4 * 100}

rsavg is > 1
avgror is > 0

do not draw rsavg
do not draw avgror
draw ema(14)
draw ema(28)

add column avgror {avg. ror}
add column separator
add column ind1
add column ind2
add column ind3
add column ind4
add column rsavg {rel str}

sort column 5 descending
]




Filter Exchange · Making an ETF ladder
JoeyVinyl
msg #151715
4/4/2020 11:55:11 PM

@Cheese

I had a Chartmill subscription for a while. I liked it until they completely redesigned the site. I think they still give good data and analysis but it's harder for me to find things now. I still like to see what they have to say about a stock I'm thinking of buying, though.

As for Relative Strength, I keep in mind a comment I read on these forums from Kevin, I think, on an old post. He was explaining that a high RS doesn't mean the stock is going up if the index is going down. The stock may be going down too, just slower than the index. I won't base my decisions on just the RS. But it is good to know how the stock is doing compared to an index. (Or, as I'll post below, multiple indexes.)

Rate of Return is another thing that I think should never be used by itself. We've all heard the "past performance does not guarantee future results" mantra from financial service companies even while they're patting themselves on the back for how well they've done. It may be a cliche by now, but it's true. I don't know if I'd use it for individual stocks but ETF's seem to be less volatile, even over the last month. Except for some inverse ones and I'm not touching those again.

This may turn out to be a complete bust. Obviously I'm hoping it doesn't. If it doesn't work I can always tell myself it was a learning experience (he said with a chuckle).

Filter Exchange · Making an ETF ladder
JoeyVinyl
msg #151684
modified
4/3/2020 3:20:53 PM

For anyone not familiar with the concept of a CD ladder (Certificate of Deposit), let's say you take $10,000 and divide it into five piles of $2,000 each. You use those piles to buy five CD's with different lengths. A 1 year, a 2 year, a 3 year, etc. so you end up with a CD that comes to term every year for the next five years. When the first four come to term you use that money to buy another 5 year CD. Now you have five 5 year CD's with one coming to term every year. Personally I never had enough money to do this and get a decent rate of return. For some people, however, this is a nice safe investment.

But we're not here for safe investments, are we? No, we don't want to take crazy risks either. That's why we're using filters and indicators and some degree of technical analysis. None of them are perfect; none of them work all the time. These days, with the market going up, down, and sideways - usually within the same hour - none of my filters are helping me much, if at all. One of the obvious ways to reduce risk right now is to stay out of the market, but it's just as obvious that means no profit either. Another way is to buy ETFs instead of individual stocks. I decided to stick with the commission free ETFs offered by my broker and make an ETF ladder, similar to a CD ladder, but with a much shorter time frame.

This filter takes two ideas I've seen here and combines them using multiple time frames. One is the relative strength of the ETF compared to the S&P 500 index; the other is the rate of return. I plan on buying one ETF every week for four weeks, then selling the oldest and buying a new one. I'll be holding them for 28 days so calendar months won't be important here. I have this sorted by the relative strength column so I can find the one that has the best average RS of the last 28 days. Then I look at the average rate of return (ror in this filter) and decide which one I like best. I'll buy it at open on whatever day I start this then sell it at open 28 days later, buying the one I like best from the filter closer to that day. My hope is that by filtering out ones that have an overall negative rate of return that I can at least get some gains from these. We'll see what happens.

As usual with any filters I post here, you are all welcome to use it as is or make changes that make it your own.

Fetcher[market is ETF

set {rs1, relative strength(^INX,7)}
set {rs2, relative strength(^INX,14)}
set {rs3, relative strength(^INX,21)}
set {rs4, relative strength(^INX,28)}
set {rsum1, rs1 + rs2}
set {rsum2, rs3 + rs4}
set {rsum3, rsum1 + rsum2}
set {rsavg, rsum3 / 4}

set {ror07a, close - close 7 days ago}
set {ror07b, ror07a / close}
set {07day, ror07b * 100}

set {ror14a, close - close 14 days ago}
set {ror14b, ror14a / close}
set {14day, ror14b * 100}

set {ror21a, close - close 21 days ago}
set {ror21b, ror21a / close}
set {21day, ror21b * 100}

set {ror28a, close - close 28 days ago}
set {ror28b, ror28a / close}
set {28day, ror28b * 100}

set {avg1, ror07b + ror14b}
set {avg2, ror21b + ror28b}
set {avg3, avg1 + avg2}
set {avg4, avg3 / 4}
set {avgror, avg4 * 100}

close is < 55
rsavg is > 1
avgror is > 0

do not draw rsavg
do not draw avgror
draw ema(14)
draw ema(28)

add column rsavg {rel strength}
add column separator
add column 07day {7d ror}
add column 14day {14d ror}
add column 21day {21d ror}
add column 28day {28d ror}
add column avgror {avg. ror}

sort column 11 descending
]



EDIT: I'm posting an edited version of this filter because I noticed some math errors and corrected them.


General Discussion · Need help writing this filter
JoeyVinyl
msg #151676
modified
4/3/2020 11:38:36 AM

@cocoloco

I apologize. I should have explained it better.

The Relative Strength indicator basically just compares the ratio of the change in price between two stocks. What it shows you is how the stock you're looking at is doing compared to the index (or stock - it doesn't have to be used with an index). The higher the number, the better. I usually put the result in a column. As I understand it, anything over 1 means the stock is doing better than the index, while anything under 1 means it isn't. It doesn't give you an actual RSI number though. So the 20 that I used just compares that ratio over the last 20 days. Has it been doing better than the S&P 500 over the last 20 days or worse? You can make that number anything from 1 to 100. It's just the number of days you want to compare.

I checked out this article here: https://www.investors.com/how-to-invest/investors-corner/a-stock-breakout-specialty-tool-the-relative-strength-line and it looks like this is what they're talking about rather than getting an actual RSI number. The Relative Strength Rating they talk about is something they create from their own database and can't be recreated here.

So, the "relstr" part of this is just a variable name. It's like variables in programming or coding. You can make it whatever you want as long as it isn't a function name. Here are some lines you can use that should help.

set {relstr, relative strength(^SPX,20)} /* Finding the RS compared to the index */
add column relstr /* creates a column called relstr */
relstr > 0 /* useful for sorting out stocks doing worse than the index */

Hope this helps.


General Discussion · What needs to be done now...
JoeyVinyl
msg #151659
4/2/2020 5:43:50 PM

@klynn55
"trump is actually thinking about his tv ratings"

I've been staying out of this argument but I've got to tell you, that is just insane (just part of a long list of insane things). He's acting like people are watching his briefings because they want to be entertained and not because they want information. I honestly can't recall any other president in my lifetime who praised themselves the way this one does. A good leader gives credit to their team when things go well and takes responsibility when they don't go well. We do not have a good leader for president right now.

General Discussion · Need help writing this filter
JoeyVinyl
msg #151654
modified
4/2/2020 10:57:07 AM

@cocoloco

I got this from one of Kevin's filters, I think. You can change the variable name, referenced index, and time frame to whatever you want. I'm not sure if it's what you need, or how to create an RSI from it, but it might help.

set {relstr, relative strength(^SPX,20)}

As for average volume, that's simple.

Average Volume(50) > 100000


General Discussion · How short selling started
JoeyVinyl
msg #151650
4/2/2020 10:25:03 AM

I saw this video this morning and found it amusing. I have no idea how historically accurate it is, but based on the source I think it's probably fairly accurate. Yes, it's from NPR, but it's information, not opinion. I'm only sharing it because I think some of you might be interested.

https://www.npr.org/sections/money/2019/09/10/757932277/video-short-selling-stocks-was-invented-as-revenge

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