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General Discussion · Sector Rotation
jimmyjazz
msg #114301
7/2/2013 2:02:58 AM

I'm interested in the idea of swing-trading the SPDR sectors, most likely in time frames lasting days to a few weeks or so. If you dig around in the Filter Exchange forum, you'll find discussions where people are trading sector pairs long/short, using some kind of metric to determine which sectors are most likely to revert to their mean. Playing the pair lets you (possibly) win even if you only get one of two trades correct.

And then there is the Sector Rotation model promulgated by Faber et al where you buy the hottest sector in a bull market, rebalancing at whatever rate makes you happy.

Aren't these contradictory strategies? For instance, right now if you use Kevin_in_GA's Z-Score filter on the SPDR sectors, you'll see that XLY has the highest score and XLB the lowest. Pair trading those would lead you to go short XLY and go long XLB. Sector Rotation would have you go LONG XLY (since the market is still trending up).

Am I misunderstanding one or both of these strategies? If not, why the divergence?

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
jimmyjazz
msg #114262
6/29/2013 9:56:45 AM

Kevin, a couple of questions:

1. did you see my post about Faber's TAA ETF (GTAA)? It's basically doing nothing, and the dividend isn't anything to write home about.

2. in 46 pages there are a lot of filters posted here -- what is considered the "refined" version, and are you and others still happy with it? The backtested performance from 2003 thru 2010 of the first few filters seemed impressive. Did things go off the rails or are we talking about different filters?


As always, I appreciate the hard work Kevin & others do here. (I also subscribe to Pangolin Z and have seen it work in action.)

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
jimmyjazz
msg #114124
6/17/2013 3:09:31 PM

Kevin, are you familiar with the Cambria TAA ETF (GTAA)? It hasn't exactly set the world on fire (save ~ 2.5% annual dividend yield) since inception. Any idea why?

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
jimmyjazz
msg #114105
6/15/2013 9:32:23 AM

Somebody needs to look into decaf. Yeesh.

Filter Exchange · the chart tells why 95% of the people lose in the stock market
jimmyjazz
msg #113799
5/30/2013 2:05:41 PM

I've only been around here for a short time, but it's pretty clear that optionplayer either doesn't read responses or doesn't care. I think this is an amazing community, with all kinds of people who generously give of their time and provide thoughtful ideas. optionplayer is not one of these people.

I don't think he's a teenager. I think he's mentally ill.

Filter Exchange · Filter for top performance over a range of dates
jimmyjazz
msg #113798
5/30/2013 1:57:45 PM

I think that's exactly what I'm looking for. Thanks! Do you happen to know if "days" are trading days?

Filter Exchange · Filter for top performance over a range of dates
jimmyjazz
msg #113779
modified
5/29/2013 7:31:03 PM

Well, I'm obviously doing something wrong. It's always a learning curve!

Fetcher[s&p 500
set{start,close 3 days ago}
set{finish,close 2 days ago}
set{gain,finish/start}
set{percentgain,gain*100}
add column percentgain
add column start
sort column 5 descending
]



Filter Exchange · Filter for top performance over a range of dates
jimmyjazz
msg #113776
5/29/2013 5:01:31 PM

Thanks! What if I didn't want the last 200 days, but some previous block of dates?

Filter Exchange · Filter for top performance over a range of dates
jimmyjazz
msg #113769
modified
5/29/2013 12:55:36 PM

How would I search a set of stocks (S&P, NYSE, etc.) for the top performers over a specific date range? By "performance" I would start with the ratio of closing prices between the 2 dates (start & end). To complicate, how would I also account for dividend yield?

Filter Exchange · super green alert>spy>166 at close today>weekly 165-166 calls
jimmyjazz
msg #113715
5/26/2013 10:18:27 AM

Well, it didn't get anywhere near $166, much less $166.50, but I can't argue with buying at $0.16 and selling at $0.25!

Tell me . . . how exactly does one deal with large bid/ask spreads when trying to jump on a trade like this? I guess on SPY options it's not too bad, but even now I see the spread is some 10%, which is pretty rough if you're trying to grab a 5% pop.

Do you always try to trade at the middle of the spread? That would seemingly mitigate the effect. "The middle" would pop the same amount as the bid & ask, but you'd never be on the wrong side. I just don't know how realistic that is.

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