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wcmaria

wcmaria
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  • Developing A Rotation Strategy Using Highly Diversified ETFs [View article]
    Hi Mark, thanks for your contribution to this difficult world of investing and you have helped me to become a better investor by taking the time to backtest and properly code my thoughts into excel.
    When doing so I am always looking for pieces of data that help me confirm if my formulae's are correct since I expect to have the same results as you when following your test runs.
    In the system above you mentioned when discussing the volatility compensation factors that in December 2006, the 1-month log performance of VWO was
    -0.00937. Now using Yahoo data for this etf and adjusted closing prices I have November 2006 closing at $31.16 and December 2006 closing at $32.41, by my calculations the log return for the month of December was 3.93% before applying a volatility compensation factor. Can you confirm that your return is indeed correct for the month of December 2006 because I can't see how any way of calculating the return could make it negative.

    Thanks
    Jun 13 02:07 PM | Likes Like |Link to Comment
  • Developing A Rotation Strategy Using Highly Diversified ETFs - Part II [View article]
    Mark, when you are calculating volatility to use with the compensation factors, do you use the volatility over the entire backtest period or do you calculate the volatility over a different period such as over only the last month or six months and update it going forward with your end of month calculations?
    Jun 10 04:04 PM | Likes Like |Link to Comment
  • Modified GMR Signal For June 2014: ILF (Again) [View instapost]
    Hi Mark, thanks for the update as I appreciate confirming my ranking every month.

    One question I have is regarding how you are calculating them monthly return as quoted for ILF last month.

    I am using the adjusted close price for ILF which has a April Closing price of 37.89 and a May closing price of 37.43. Total loss of 0.46 cents. That is a loss of 1.21% from April closing price. This is greater than the 0.6% you calculated and I was wondering if that was because you were using the price about 2 hours before the close or are my calculations incorrect.

    Thanks
    Jun 2 02:27 PM | 1 Like Like |Link to Comment
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