duke56468
683 posts
msg #106062
- Ignore duke56468 |
4/29/2012 2:20:24 PM
Kevin....are you comfortable with the day to day volatility of the sharp-ratio allocation? I see it can vary as much as 20% or more in just a day or 2, so a lot rides on that one last day of the month.
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Kevin_in_GA
4,599 posts
msg #106063
- Ignore Kevin_in_GA |
4/29/2012 3:18:29 PM
Yes. I am using a smoothed version of the ROC as the return measure, and the standard cstddev(close,63) as the risk measure. The numbers can jump around, but they can do that as well in the TAA system, or a lot of other systems I've seen as well.
I put my money where my mouth is on this one, and have all of my retirement accounts using this system for May (and beyond). My return so far this year using the TAA approach is about 10%, and switching over here will hopefully give me similar year-on-year performance with lower volatility.
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mahkoh
1,065 posts
msg #106132
- Ignore mahkoh |
5/7/2012 5:57:05 PM
Kevin, on your website you state that your sector rotation system stays in XLI (risk-on)
I was under the assumption that you were using your "simple market timing filter" to determine the asset class to be invested in.
As this filter had XLU on top at the end of April you must be using a different filter/timeframe?
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Kevin_in_GA
4,599 posts
msg #106134
- Ignore Kevin_in_GA |
5/7/2012 7:58:42 PM
If you read the section on strategy development, this filter is based on a 20 week ROC, not the more trading-focused 11 day one I posted here (actually, both are here in the same thread).
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johnpaulca
12,036 posts
msg #106138
- Ignore johnpaulca
modified |
5/7/2012 11:41:19 PM
oops! wrong thread.
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Kevin_in_GA
4,599 posts
msg #106442
- Ignore Kevin_in_GA |
5/28/2012 10:06:08 PM
Web page updated - all systems indicate a 100% move to defensive position (either bonds or XLU on sector rotation). This past month was hurtful since all system had you 100% in equities. Oh well.
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mahkoh
1,065 posts
msg #106457
- Ignore mahkoh |
5/30/2012 7:11:29 AM
Kevin, have you considered a "better safe than sorry" scenario where you reallocate at end of month but move to cash right away once the filters flash defense?
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Kevin_in_GA
4,599 posts
msg #106464
- Ignore Kevin_in_GA |
5/30/2012 3:21:18 PM
That is often not possible in 401k accounts, which limit the number of reallocations per month. In IRAs this approach might work, but I would caution that you might also get whipsawed a lot.
The backtesting did not have a "go to cash" option, and the results were solidly outperforming the ^SPX over the last five years.
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novacane32000
331 posts
msg #106465
- Ignore novacane32000 |
5/30/2012 3:53:53 PM
Another option may be to only reallocate when a fund hits a 100%. I am referring to the Sharpe based allocation where SPY-EFA-IWM and AGG can be allocated based on strength. So in May you would have gone to 100% AGG sometime during week two. Have not had time to backtest this but may be worth a look.
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duke56468
683 posts
msg #106589
- Ignore duke56468 |
6/10/2012 11:02:26 AM
Kevin is your web page up to date? Will you continue to support it?
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