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Author: ebbtide Add to my Favorite Fools Ignore this person (you won't see their posts anymore)
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Subject: Correlation: Screens instead of ETFs?
Date: 8/8/2020 3:12 PM
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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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Author: FLARAM Big red star, 1000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore)
Number: 278639 of 283459
Subject: Re: Correlation: Screens instead of ETFs?
Date: 8/8/2020 7:07 PM
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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.

My gtr1 backtester skills aren’t up to that point either. I programmed GPM up in Excel and rgearyiii
was kind enough to come up with the unique weighting and correlation functions that made it work.
So the screen code is 95% Robbie and 5% mine. I did change both the standard weighting and
momentum functions after I analyzed results and noticed they were not linear factors.

RAM
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