Has the PP Ever Suffered a -25% Nominal MaxDD?

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LC475
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Re: Has the PP Ever Suffered a -25% Nominal MaxDD?

Post by LC475 » Mon Jan 12, 2015 1:25 pm

Also, would it be possible to get your data, Gosso?  That would be great!  I'd just like to pore over it.
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KevinW
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Re: Has the PP Ever Suffered a -25% Nominal MaxDD?

Post by KevinW » Mon Jan 12, 2015 4:58 pm

Yikes, this sure did get toxic fast.

Anyway, I appreciate the transparency. In hindsight, it's no surprise that libertarian-leaning Harry Browne readers won't go for argument by assertion, or anything resembling it.

I tried Googling for "Peak2Trough" and all I found was this unmaintained and apparently uninstallable library for the "R" programming language:
http://cran.r-project.org/web/packages/ ... index.html
Is there a more accessible "Peak2Trough" or is that it?
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Re: Has the PP Ever Suffered a -25% Nominal MaxDD?

Post by Pointedstick » Mon Jan 12, 2015 5:04 pm

KevinW wrote: Yikes, this sure did get toxic fast.

Anyway, I appreciate the transparency. In hindsight, it's no surprise that libertarian-leaning Harry Browne readers won't go for argument by assertion, or anything resembling it.

I tried Googling for "Peak2Trough" and all I found was this unmaintained and apparently uninstallable library for the "R" programming language:
http://cran.r-project.org/web/packages/ ... index.html
Is there a more accessible "Peak2Trough" or is that it?
http://www.peaktotrough.com/hbpp.cgi

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KevinW
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Re: Has the PP Ever Suffered a -25% Nominal MaxDD?

Post by KevinW » Mon Jan 12, 2015 5:23 pm

Thanks.
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Kbg
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Re: Has the PP Ever Suffered a -25% Nominal MaxDD?

Post by Kbg » Mon Jan 12, 2015 6:21 pm

Gosso wrote: So if annual rebalancing was done on May 31 rather than Dec 31 then the PP did indeed experience a -25% nominal drawdown.  However it was extremely brief and was mainly the result of gold spiking 38% in only 6 days at the parabolic top in January 1980.
I just looked it up. Wow, a good chunk of the draw down was due to a blow off spike up in gold. The stuff nearly doubled in slightly over a month from Dec 79 - Jan 80. Afterward it stabilized around(ish) $100-200 up from where it started. So for this specific event, unless you were just cursed by the gods and bought the spike up one could probably subtract most of this "DD" as a non-event. Even more bueno, you rebalanced because one would have definitely hit a band and should have rebalanced.

Lesson here for all, holy cow gold can be volatile.
Last edited by Kbg on Mon Jan 12, 2015 6:41 pm, edited 1 time in total.
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Re: Has the PP Ever Suffered a -25% Nominal MaxDD?

Post by Gosso » Mon Jan 12, 2015 6:38 pm

Kbg wrote:
Gosso wrote: So if annual rebalancing was done on May 31 rather than Dec 31 then the PP did indeed experience a -25% nominal drawdown.  However it was extremely brief and was mainly the result of gold spiking 38% in only 6 days at the parabolic top in January 1980.
So the draw down was due to a blow off spike up in gold???
Well a drawdown needs a peak and a trough, so if either one is caused by an extreme temporary move then the drawdown will reflect that extreme volatility.
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Re: Has the PP Ever Suffered a -25% Nominal MaxDD?

Post by Kbg » Mon Jan 12, 2015 6:49 pm

Bottom line folks...while no way in 1969 it was most likely a yes way in late 1979-1980.

Your mellow PP is not as mellow as you think if you are just looking at annual data. However, both 79 and 80 were excellent years for the PP by year's end with 79 being the best ever.
Last edited by Kbg on Thu Jan 15, 2015 7:12 pm, edited 1 time in total.
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Re: Has the PP Ever Suffered a -25% Nominal MaxDD?

Post by technovelist » Thu Jan 15, 2015 10:00 am

Kbg wrote:
Gosso wrote: So if annual rebalancing was done on May 31 rather than Dec 31 then the PP did indeed experience a -25% nominal drawdown.  However it was extremely brief and was mainly the result of gold spiking 38% in only 6 days at the parabolic top in January 1980.
I just looked it up. Wow, a good chunk of the draw down was due to a blow off spike up in gold. The stuff nearly doubled in slightly over a month from Dec 79 - Jan 80. Afterward it stabilized around(ish) $100-200 up from where it started. So for this specific event, unless you were just cursed by the gods and bought the spike up one could probably subtract most of this "DD" as a non-event. Even more bueno, you rebalanced because one would have definitely hit a band and should have rebalanced.

Lesson here for all, holy cow gold can be volatile.
Silver is even more volatile. I bought silver bullion on the day of the top in 1980, at $48... on margin!
The good news is that it taught me not to use margin with precious metals, a very valuable lesson.
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Re: Has the PP Ever Suffered a -25% Nominal MaxDD?

Post by Peak2Trough » Thu Jan 15, 2015 8:59 pm

MachineGhost wrote:As I've mentioned before, I like realistic backtests as compared to simple simulations such as Peak2Trough's
Excuse me? 

Just because you're wrong about the drawdowns on the HBPP and use bad, monthly data doesn't make my simulation "simple".  And the irony of you getting huffy in this post because someone "disrespected" you without cause...

My backtester was never intended to measure things for which we have either no data, or nearly infinite variability.  Eg, bid/ask spreads, tax consequences, etc. 

Further, for clarification, I use publicly available, daily FED interest rate data on all bond series back to 1962 and synthetically calculate the value of the bond from the rate.  Is it perfect?  No, as it doesn't account for inefficiencies in the day to day pricing of bonds.  If anyone knows of a free source giving actual daily bond prices, I'll use that instead.

And yes, I use publicly available, daily, dividend-adjusted S&P 500 data.  Albeit, apparently, simply.
Last edited by Peak2Trough on Fri Feb 20, 2015 6:11 am, edited 1 time in total.
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Re: Has the PP Ever Suffered a -25% Nominal MaxDD?

Post by dragoncar » Thu Jan 15, 2015 9:03 pm

Peak2Trough wrote:
MachineGhost wrote:As I've mentioned before, I like realistic backtests as compared to simple simulations such as Peak2Trough's
Excuse me?

Just because you're wrong about the drawdowns on the HBPP and use bad, monthly data doesn't make my simulation "simple".  And the irony of you getting huffy in this post because someone "disrespected" you without cause...
Quiet, simpleton!

Seriously, Nice to see you here
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