Dual Momentum GEM + HBPP a great combo, easy to test

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HappyMan
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Postby HappyMan » Mon Apr 16, 2018 3:12 am

ochotona wrote:You simulate the GEM using the Market Timing Tools, Dual Momentum option. Then, you save the results AS BENCHMARK. Then they are always available for you to compare to any other three static portfolios, which is what I think you want to do.


I think I've got it:
https://www.portfoliovisualizer.com/tes ... ingPeriods[0]=5&timingUnits[0]=2&timingWeights[0]=100&timingUnits[1]=2&timingWeights[1]=0&timingUnits[2]=2&timingWeights[2]=0&timingUnits[3]=2&timingWeights[3]=0&timingUnits[4]=2&timingWeights[4]=0&volatilityPeriodUnit=2&volatilityPeriodWeight=0

ochotona wrote: I've said it before, I'll say it again... I think roughly 50% GEM and the rest in cash, bonds, and gold is just about a magical combination. It grows much better than native HBPP, but it has the similar drawdown (pucker factor) and risk-adjusted return. I think it's close to ideal.


Do you have by any chance a saved link to this combination?

Honestly, I thought DM was best long-term investment strategy based on previous earnings, and then I found out about the other three portfolios, which are 50% better.
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ochotona
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Postby ochotona » Mon Apr 16, 2018 5:23 am

I didn't notice you could save the URLs for each test! That's handy. I don't have saved tests, I just recorded the results in my notes...
HappyMan
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Postby HappyMan » Mon Apr 16, 2018 8:09 am

ochotona wrote:I didn't notice you could save the URLs for each test! That's handy. I don't have saved tests, I just recorded the results in my notes...


It is quite handy. In your notes, is there Final Balance, CAGR, Best Year, Worst Year, Max. Drawdown, Sharpe Ratio, Sortino Ratio, US Mkt Correlation?

So far, the best I have for $10K invested since March 2006:

Final Balance, CAGR, Best Year, Worst Year, Max. Drawdown, Sharpe Ratio, Sortino Ratio, US Mkt Correlation
$38,586 12.75% 34.02% -20.47% -29.93% 1.04 1.71 0.85

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