sohailmithani
192 posts
msg #124546
- Ignore sohailmithani |
7/28/2015 10:25:58 AM
I did exactly that and got the symbols mentioned in my previous post.
Could someone just confirm if those are correct.
If those were the ones then I guess till June 2015 this strategy did not make any money. Correct?
July we need to be in IWM. Correct?
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mahkoh
1,065 posts
msg #124547
- Ignore mahkoh |
7/28/2015 10:45:29 AM
I don't have a 401K but if I learned that the moment of rotating made a big difference in endresult I'd be determined to find out whether this is consistent or nothing more than just a few compounded (un)lucky strikes.
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Toad
20 posts
msg #124551
- Ignore Toad |
7/29/2015 1:07:36 AM
I was thinking along similar lines mahkoh. Over 10+ years the compounding can make a big difference...it should be easy enough to check with a few tweaks in my spreadsheet, just haven't had a chance to do it yet.
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Kevin_in_GA
4,599 posts
msg #124552
- Ignore Kevin_in_GA |
7/29/2015 10:39:10 AM
Again, you are likely to be overfitting for historical performance gains. Would you take a system based on daily bars and look at every hour to see if you could do a little better, or would you develop it based on hourly bars? The system is based on monthly data, not daily data.
Systems are built on completed bars - you can try weekly or daily with this approach (I have already done this) to see if it might better suit your needs. If your objective is highest gain with lowest drawdown you'll probably end up where the system currently resides.
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Toad
20 posts
msg #124554
- Ignore Toad |
7/29/2015 7:07:15 PM
Not sure if you are referring to me Kevin, but all I am/was trying to do was assess how effective you strategy is. I don't take things on blind faith myself normally. The optimization study I did landed essentially on the same thing you came up with, I was just concerned about the large spread based on when the reallocation date was selected, which should not be a major factor in my opinion.
I am interested in looking at the non-compounded returns to see if they are more consistent in which case I will be more inclined to use this or a similar strategy for myself. I just figured other people may be interested in my results since it seems that a lot of people are using this, but if they aren't then I won't post them. Makes no difference to me.
I appreciate that you have developed this and posted it, I just figured you would appreciate some thoroughly vetted feedback on it although I do realize you have fully vetted this yourself.
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sohailmithani
192 posts
msg #124556
- Ignore sohailmithani |
7/29/2015 10:05:59 PM
Toad, thanks for your post. Personally, I like to test strength of a strategy using non-compounded returns. This way they assure me of their consistency and strength.
Am one of those who would thank you for your study (on non-compounded returns of this one).
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Kevin_in_GA
4,599 posts
msg #124557
- Ignore Kevin_in_GA |
7/29/2015 10:12:35 PM
Toad - no personal criticism intended. In the time I have been here at SF I have gone through multiple iterations of this basic idea (you can see them throughout this thread as evidence of that). I have gotten this idea as basic and simple to execute as possible, and tailored it for 401k investment vehicles.
My comment I think is valid - your back-testing is not based on the past three monthly bars, but rather the past 63 daily bars which is a different system and will generate different results depending on when you choose to make the trade. There is actually NO variability in the 3 monthly bar look back since monthly bars are the only data being used. The trade is made (or not) upon analyzing the last completed bar, which only happens at the end of each month. It simply is what it is and looking at different intra-month dates for trading is actually a different system than what I have put forth here.
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jackmack
334 posts
msg #124807
- Ignore jackmack |
8/31/2015 7:57:25 AM
Looks like a move to AGG today.
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Kevin_in_GA
4,599 posts
msg #124813
- Ignore Kevin_in_GA |
8/31/2015 11:46:21 AM
Yup - actually I am going to move entirely into cash, since the 3, 6, 9, and 12 month ROC for AGG are all negative. I think that bonds are no longer a real safe haven given the Fed's intent to raise interest rates at some point this year.
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mahkoh
1,065 posts
msg #124820
- Ignore mahkoh |
8/31/2015 6:08:59 PM
Could this work for forex?
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