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Re: Z9 and assets selection
[Re: jcl]
#469933
12/14/17 12:38
12/14/17 12:38
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Joined: Dec 2017
Posts: 129 Halifax, NS
kujo
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The assets are sorted in a list by their relative momentum, then the upper third of the list is selected for trading. I see thank you, however my question is regarding the list of 9 assets in AssetsZ9.csv. I wonder what process you followed to select these 9 assets to get such an impressive performance (if it's not public info, then maybe you could share the idea and key steps)?
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Re: Z9 and assets selection
[Re: jcl]
#469935
12/14/17 12:48
12/14/17 12:48
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Joined: Dec 2017
Posts: 129 Halifax, NS
kujo
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Just as I said, they are simply selected by their momentums. Momentum is the average relative return over about 200 days. There are some filters to increase bonds and go out of the market when stocks tank. No complex steps involved. The script is quite simple and short. The trading method is public and published in the book by Antonacci. So, as I understand, you've started with a big universe of ETFs, run through this algo and selected 9 best performers. And they ended up in the asset list?
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Re: Z9 and assets selection
[Re: kujo]
#469938
12/14/17 13:08
12/14/17 13:08
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Joined: Sep 2017
Posts: 235
Hredot
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JCL, what do you mean by increasing bonds through a filter? I also wonder what does it mean for a stock to "tank"? In terms of indicator response.
Last edited by Hredot; 12/14/17 13:12.
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Re: Z9 and assets selection
[Re: jcl]
#469939
12/14/17 13:23
12/14/17 13:23
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Joined: Dec 2017
Posts: 129 Halifax, NS
kujo
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And the assets in the list are selected by fundamental criteria to represent sectors, bonds, and non-us indices. Yeah, there are some bond ETFs, SPY and some sector ETFs like home construction, biotech, semiconductors... but it's not a broad diversification. That's why I asked why did you chose biotech for instance but not finance ETF... Ok, it seems that you are quite experienced at ETFs picking but I'm not unfortunately. I've tried to select ETFs but not very successfully. Let's imagine I'll continue to try ETFs, plug them into asset list and run Z9 system. Eventually, I'll come up with a great combination that will produce great results. However, I'm concerned about statistical bias and not so great results in live trading (if i'll try for a long time, I'll find best performing ETFs in a backtest). What approach do you recommend in this case for ETFs picking?
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