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Jim101
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UNITED STATES
Joined: Apr 5, 2011
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Re: ETF Ranking Systems Reply to this Post  Reply with Quote 

Using the P123 Piotroski system and adding liquidity criteria and EPSCurrYr timing gives me a long holding period (about 200 days if I remember correctly), avg return/trade over 30%. Increasing the turnover does not seem to help performance.

The ETF ranking systems seem different but it may be due to my lack of experience in thinking this way.

I am going to try the forder approach you suggest as soon as I have a little more time. Thanks.

Jim
Mar 12, 2012 8:47:02 PM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
Jim101
Advanced Member



UNITED STATES
Joined: Apr 5, 2011
Post Count: 128
Status: Offline
Re: ETF Ranking Systems Reply to this Post  Reply with Quote 

Okay, so I didn't remember the numbers very well. I made a public version that includes some trading liquidity and EPS Curr Yr timing.

http://www.portfolio123.com/port_summary.jsp?portid=881675

There is very low turnover for the period.

It seems like the sell rules (with the exception of trailing stops) are only evaluated at the rebalance. In that case, I need to incorporate something like what Denny demonstrated.

Jim
Mar 13, 2012 12:16:50 PM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
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