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https://boards.fool.com/correlation-screens-instead-of-etfs-34584133.aspx
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| Subject: Correlation: Screens instead of ETFs? | Date: 8/8/2020 3:12 PM | |
| Author: ebbtide | Number: 278635 of 283341 | |
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Just noticed something FLARAM posted in https://boards.fool.com/i-am-working-on-a-low-draw-down-scre... , which referred to an ETF screen he showed last September. As best I can parse, it looks for the top 3 ETFs among 12 ranked by a combination of high momentum and low correlation, each defined in a particular way (with certain conditions leading to a safe investement). The screen uses a function I hadn't seen before (tscorr) and is given by: https://gtr1.net/2013/?~Protective%20Asset%20Allocation%20Fu... I'm curious if it's possible to use this approach on screens rather than ETFs. My gtr1 backtester skills are not at a point where I can make that work. I tried replacing the universe(s) of ETFs with simple screens, to no avail. Can anyone guide me, or let me know that it's not possible? Any help appreciated! |
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