MachineGhost's Research Resort

General Discussion on the Permanent Portfolio Strategy

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InsuranceGuy
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Re: MachineGhost's Research Resort

Post by InsuranceGuy » Tue Oct 11, 2016 2:42 pm

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MachineGhost
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Re: MachineGhost's Research Resort

Post by MachineGhost » Tue Oct 11, 2016 5:20 pm

Kbg wrote:How many times do we have to replay this...care to post the max DD not including the one after the 400% increase in gold?

No, I thought not. It ruins the narrative.

And besides...I'm simply using YOUR posted data for the assessment for the time frame of the observations. So on a pure apples to apples basis, there is no doubt a 2x PP hits the top 2 of your list.
No, I'm not going to cherry pick or selectively show a MaxDD that doesn't include the worst case to support your cognitive bias and your narrative. If that's how you're fauxly brassing up your balls, good luck with the delusion.

P.S. That MaxDD event had nothing to do with gold and everything to do with the Fed.

P.P.S. So how about we exclude the forthcoming MaxDD event after the nearly 3,000% increase in T-Bonds? And so on and so on.
"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes

Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet.  I should not be considered as legally permitted to render such advice!
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Re: MachineGhost's Research Resort

Post by MachineGhost » Tue Oct 11, 2016 6:03 pm

Okay, buddy, since 1969 a 2x PP would have returned 17.66% CAGR and -38.04% MaxDD. This assumes exactly 2x returns is possible and 10% rebalancing bands are used and checked on a yearly basis in January so you're avoiding the worst of the MaxDD event.

So not quite a doubling since MaxDD growth isn't typically linear. Are your balls still brassy?

P.S. The above may not be entirely accurate as you can't double the 1yr T-Bill returns AFAIK. Without the cash, 15.56% CAGR and -39.22% MaxDD.
"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes

Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet.  I should not be considered as legally permitted to render such advice!
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Re: MachineGhost's Research Resort

Post by MachineGhost » Fri Oct 28, 2016 1:59 pm

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"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes

Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet.  I should not be considered as legally permitted to render such advice!
Kbg
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Re: MachineGhost's Research Resort

Post by Kbg » Fri Oct 28, 2016 10:01 pm

MachineGhost wrote:Okay, buddy, since 1969 a 2x PP would have returned 17.66% CAGR and -38.04% MaxDD. This assumes exactly 2x returns is possible and 10% rebalancing bands are used and checked on a yearly basis in January so you're avoiding the worst of the MaxDD event.

So not quite a doubling since MaxDD growth isn't typically linear. Are your balls still brassy?

P.S. The above may not be entirely accurate as you can't double the 1yr T-Bill returns AFAIK. Without the cash, 15.56% CAGR and -39.22% MaxDD.
For a CTA, those figures would be world class for such a long period of time...not to mention it completely clocked 100% equities. Look, this is definitely not grandma's retirement portfolio. Never claimed it was.
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Re: MachineGhost's Research Resort

Post by MachineGhost » Tue Nov 01, 2016 4:52 pm

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"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes

Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet.  I should not be considered as legally permitted to render such advice!
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Re: MachineGhost's Research Resort

Post by MachineGhost » Tue Nov 01, 2016 8:19 pm

Poo on the leveraged PP!

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"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes

Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet.  I should not be considered as legally permitted to render such advice!
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Re: MachineGhost's Research Resort

Post by MachineGhost » Tue Nov 01, 2016 9:15 pm

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"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes

Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet.  I should not be considered as legally permitted to render such advice!
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Re: MachineGhost's Research Resort

Post by jay » Wed Nov 02, 2016 3:55 pm

MachineGhost wrote:Okay, buddy, since 1969 a 2x PP would have returned 17.66% CAGR and -38.04% MaxDD. This assumes exactly 2x returns is possible and 10% rebalancing bands are used and checked on a yearly basis in January so you're avoiding the worst of the MaxDD event.

So not quite a doubling since MaxDD growth isn't typically linear. Are your balls still brassy?

P.S. The above may not be entirely accurate as you can't double the 1yr T-Bill returns AFAIK. Without the cash, 15.56% CAGR and -39.22% MaxDD.
MG, great research. Thanks for sharing your work.

I am doing a bit of back-testing myself and wondering where one can find 2X stocks/bonds/gold data that does back to 1969. Did you synthesize it yourself?
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Re: MachineGhost's Research Resort

Post by MachineGhost » Wed Nov 02, 2016 5:13 pm

jay wrote:I am doing a bit of back-testing myself and wondering where one can find 2X stocks/bonds/gold data that does back to 1969. Did you synthesize it yourself?
No, all I did was doubled the CAGR and MaxDD since it was the same whether or not you used 2:1 margin or no margin and doubled. Futures would have been similar in $ returns but not %.
"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes

Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet.  I should not be considered as legally permitted to render such advice!
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Re: MachineGhost's Research Resort

Post by MachineGhost » Thu Nov 17, 2016 8:18 pm

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"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes

Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet.  I should not be considered as legally permitted to render such advice!
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Re: MachineGhost's Research Resort

Post by MachineGhost » Fri Nov 18, 2016 3:53 pm

Thanks to dutchtraffic for indirectly referencing these new study results.

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"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes

Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet.  I should not be considered as legally permitted to render such advice!
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Re: MachineGhost's Research Resort

Post by MachineGhost » Fri Nov 18, 2016 4:23 pm

"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes

Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet.  I should not be considered as legally permitted to render such advice!
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