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.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.
MachineGhost's Research Resort
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Re: MachineGhost's Research Resort
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MachineGhost
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Re: MachineGhost's Research Resort
"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!
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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MachineGhost
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Re: MachineGhost's Research Resort
Poo on the leveraged PP!
"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!
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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MachineGhost
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Re: MachineGhost's Research Resort
"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!
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!
Re: MachineGhost's Research Resort
MG, great research. Thanks for sharing your work.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.
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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MachineGhost
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Re: MachineGhost's Research Resort
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 %.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?
"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!
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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MachineGhost
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Re: MachineGhost's Research Resort
"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!
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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MachineGhost
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Re: MachineGhost's Research Resort
Thanks to dutchtraffic for indirectly referencing these new study results.
"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!
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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MachineGhost
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Re: MachineGhost's Research Resort
Here's a PutWrite fund: https://www.wisdomtree.com/etfs/alternative/putw
"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!
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!