Oh great call, that fixed it!
When you don’t see a labeled right-hand axis on a Fundamental chart panel, be very wary! Each plotted line then has it’s own scaling factor. I wish the default were ‘combined axis’.
Thanks George - much appreciated tips. You are just THE market timing genius!
Something seems to be still wrong with my syntax. dont get any buy signals in 15 years - and the system should actually be in the market 100%.
So this is now my custom formula (not a custom series!) $MTS4:
eval (close(0,#UNEMP) > close(3,#UNEMP),1,0)
- eval (close(0,#SPEPSCNY) < close(13,#SPEPSCNY),1,0)
- eval (SMA(50,0,#BENCH) < SMA(200,0,#BENCH),1,0)
- eval (sma(52,0,getseries(“SP500ShortIntAvg”)) > sma(104,0,getseries(“SP500ShortIntAvg”)),1,0)
then I set up a simple ETF screen with only one buy rule:
Eval($MTS4 =4, ticker(“xxx”),
Eval($MTS4 =3, ticker(“xxx”),
Eval($MTS4 =2, ticker(“xxx”),
Eval($MTS4 =1, ticker(“xxx”),
Eval($MTS4 =0, ticker(“xxx”), na)))))
Cant see whats going wrong and its driving me nuts not being able to figure out the mistake, while everyone else is already running nice simulations 
bluebox:
ticker(“xxx”) should have the 3 ETFs which Fred lists in the article.
For MTS=0 and MTS=1, holdings are MDY, QQQ, IWM. So this would be: ticker(“MDY, QQQ, IWM”)
For MTS=2, holdings are MDY, QQQ, IEF.
For MTS=3, holdings are MDY, IEI, IEF.
For MTS=4, holdings are SHY, IEI, IEF.
Also you have to set Max No. ETFs (0 for all) in the screener.
Thanks Georg. I still dont understand whats wrong.
Obviously I did not have “xxx” as tickers. As a simple buy rule in the screener I have used this one (I am aware it is not the same as propsed by Freds article):
Eval($MTS4 =4, ticker(“SHY”), Eval($MTS4 =3, ticker(“IEI”), Eval($MTS4 =2, ticker(“QQQ”), Eval($MTS4 =1, ticker(“MDY”), Eval($MTS4 =0, ticker(“MDY”), na)))))
The Max No. of ETFs is set to 0. No ranking. On a ten year backtest I get zero buys. The system just stays cash for the whole time. https://www.portfolio123.com/app/screen/summary/166022?st=1&mt=9
BB,
The screener logic looks ok. Try adding
ShowVar(@MTS4,$MTS4)
and running the screener over several dates. If @MTS4 stays in the 0 to 4 (inclusive), you should be ok.
Walter
Andreas - can you make your $MTS4 public and provide a link? I know it is already listed in this thread but perhaps there is something not right in yours.
Thanks
Steve
Andreas you must be using a stock screen. You must use a ETF screen.
I have a sim for this - take a look… it is public. ‘Priard test’
custom formulas:
$shortint eval(sma(52,0,getseries(“SP500ShortIntAvg”)) > sma(104,0,getseries(“SP500ShortIntAvg”)),1,0)
$smabench eval(SMA(50,0,#BENCH) < SMA(200,0,#BENCH),1,0)
$spepsny eval(Close(0,#SPEPSNY) < Close(13,#SPEPSNY),1,0)
$unemp eval(Close(0,#UNEMP) > Close(3,#UNEMP),1,0)
Debbie - it is easier all around if you copy/paste a link so people don’t have to search for it.
Thanks
Steve
Geov - he is using an ETF screen. It looks like something must be wrong with his custom formula.
Steve
sorry about that… here is link
[url=http://www.portfolio123.com/port_summary.jsp?portid=1434160]http://www.portfolio123.com/port_summary.jsp?portid=1434160[/url]
Andreas
Custom formula $MTS4
Eval(Close(0,getseries(“#UNEMP”))>Close(3,getseries(“#UNEMP”)),1,0) + Eval(Close(0,#SPEPSCNY)<Close(20,#SPEPSCNY),1,0) + Eval(SMA(50,0,getseries(“$sp500”))<SMA(200,0,getseries(“$sp500”)),1,0) + Eval(sma(13,0,getseries(“SP500ShortIntAvg”))<sma(104,0,getseries(“SP500ShortIntAvg”)),1,0)
Rule in screener or in simulation:
Eval($MTS4=4,Ticker(“SHY,IEI,IEF”),Eval($MTS4=3,Ticker(“MDY,IEI,IEF”),Eval($MTS4=2,Ticker(“MDY,QQQ,IEF”),Eval($MTS4=0,Ticker(“MDY,QQQ,IWM”),na) or Eval($MTS4=1,Ticker(“MDY,QQQ,IWM”),na))))
Then experiment with various different ETFs to get better returns. Obviously one can have more than 4 conditions as well.
I used the formulas which Georg just posted, but only get 11% AR running the screen from Jan 2000 with weekly rebalance and next avg high/low as price (see attachment) and link: https://www.portfolio123.com/app/screen/summary/166035?st=3&mt=1
When I run a ETF simulation, the result is even worse with only 9.5% return: https://www.portfolio123.com/port_summary.jsp?portid=1434174
Here I used as sell rule Rank<101 but activated “Allow sold holdings to be re-bought at current rebalance” to Yes.
Has anyone an idea why the results aren’t better?
PS: I also used to try MTS as market timer, but when I use $MTS=4 or MTS=4, I get the following error message:
Error near ‘$MTS’: Invalid command ‘$MTS’
Florian,
These are not the best ETFs to use. Also you have a huge D/D. Slippage of 0.1% is ok for ETFs.
Also play with the conditions in the custom formula.
Fred, in his article, states he is ignoring trading costs for his 12% return from 2001 onward.
Hi together,
Just copied the formulae 1 to 1 from Georgs post. Still get a flat line for each screener I run. Then I went on to Florians screener and tried re-running it myself. Also get a flat line. Funny thing is, if I run my or Florians screener to get recommendations instead of running a back test, I do get the proper set of recommendations (IWM, MDY, QQQ).
https://www.portfolio123.com/app/screen/summary/166022?st=1&mt=9
I’m officially perplexed now.
Andreas,
What is your P123 membership level?
Georg,
I have designer level. should work, no?
Andreas - if you want to get this solved then you really need to make your custom formula public and post a link to it. It doesn’t matter what you think you copied, the problem can’t be reproduced unless we have everything that you are using. You gave a link to the screen but not the custom formula.
Thanks
Steve