Re: MachineGhost's Research Resort
Posted: Tue Oct 11, 2016 2:42 pm
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Permanent Portfolio Forum
https://www.gyroscopicinvesting.com/forum/
https://www.gyroscopicinvesting.com/forum/viewtopic.php?t=7497
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.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.
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.
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.
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?