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Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
Radiomuse
msg #109856
1/4/2013 3:45:37 PM

hey Kev - I hardly ever post anymore, but felt compelled to chime in... I've been checking the site at least once a month as well, but like everyone else didn't want to bug you. But definitely think your work is great and look forward to seeing more of it!



Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
Radiomuse
msg #96167
9/10/2010 10:23:44 PM

I'm getting the same results for 5/7 - GLD on top with a TSI of 54.88. I really like this idea though, and think I might run a strategy like this, couple of questions....

- planning to use TLT (long-term treasuries) instead of AGG. More volatility, but also low correlation with the other asset classes.

- can a strategy like this, with weekly, bi-weekly, or monthly rebalancing be backtested in Stockfetcher? I tried to simulate a weekly rebalancing by plugging in both a minimum and maximum holding period of 5 days - I can't explain exactly what happened (weird stuff), but it definitely didn't work.

- what made you switch to a weekly rebalancing instead of monthly? With the different portfolio's I ran in etfreplay, it just seemed to lower the returns and increase the volatility...


Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
Radiomuse
msg #96081
9/8/2010 1:36:14 PM

Tough crowd! To a guy that creates so many great filters, I think we can forgive and even correct a small oversight with the coding change "sort column 3 descending".

The dominant fund is now signified by the highest TSI value. I don't really understand the calculation behind the True Strength Indicator, except I think it measures an investments performance and momentum against it's own history.

Kevin - did you manually backtest the weekly TSI strategy, or can it be done via SF, ETFreplay, or something else?

Great work with this thread - safe travels!

General Discussion · Wiped out...
Radiomuse
msg #93128
5/25/2010 12:16:04 PM

So what's the great read?? Link?

Filter Exchange · 5% A WEEK FILTER (BASED ON TRO'S CROCK POT)
Radiomuse
msg #91133
4/13/2010 10:34:17 AM

RDN and MTG are the only 2 I ended up getting into - RDN is about flat and MTG up about 1%.

Filter Exchange · 5% A WEEK FILTER (BASED ON TRO'S CROCK POT)
Radiomuse
msg #91078
4/12/2010 9:16:32 AM

I use a slightly modified filter, but I'm looking at PMI, LLEN, RDN, SRZ and MTG this week.

Filter Exchange · Run Forest, Run
Radiomuse
msg #90826
4/5/2010 7:50:12 PM

that dog sure likes to run!

General Discussion · Intraday Alerts
Radiomuse
msg #90168
3/23/2010 1:14:19 PM

Boring - but pretty nice triangles forming on the daily charts for TLT and IEF. Both are also right around ema(100).

They look like triangles to me anyway :)

Filter Exchange · I give you the filters, why, why, why
Radiomuse
msg #89748
modified
3/17/2010 12:27:15 AM

I don't think anyone is criticizing it or blowing it off - just saying it's capturing stocks in relatively short-term uptrends. Would be really cool if it also captured the stocks meeting that criteria and passing thru resistance points like you mentioned.

Filter Exchange · 10% above or below EMA 200
Radiomuse
msg #89747
3/16/2010 11:57:57 PM

Four - I think we've both screwed it up. But there's enough info there for somebody to get it right!

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