GEM Backtest Extended to 1950

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Kbg
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Re: GEM Backtest Extended to 1950

Post by Kbg » Sat Oct 27, 2018 5:46 pm

I’m 100% bonds in the account I trade on Monday. Cash is exceeding both look back periods.
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ochotona
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Re: GEM Backtest Extended to 1950

Post by ochotona » Sat Oct 27, 2018 8:21 pm

You know what is working out to be a great momentum indicator? Whether I have a job. I'm not joking. I was laid-off from the oil industry (Schlumberger) in March 2015, and in late August 2015 the GEM hopped into fixed income. I was laid off again from the oil industry (Emerson) on September 21, a few weeks ago, and now GEM is hopping back into fixed income. I don't think that's a coincidence. I think where I sit in the oil industry is sensitive to basic economic flows, especially China.

Fortunately, I am working again as of November 1, and Halliburton might make me an offer next year, we had a great discussion yesterday.
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Re: GEM Backtest Extended to 1950

Post by ochotona » Sat Oct 27, 2018 8:28 pm

Kbg wrote:
Sat Oct 27, 2018 5:46 pm
I’m 100% bonds in the account I trade on Monday. Cash is exceeding both look back periods.
Autumn turns into Winter..
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ochotona
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Re: GEM Backtest Extended to 1950

Post by ochotona » Mon Oct 29, 2018 2:41 pm

Really looking poor now
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Kbg
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Re: GEM Backtest Extended to 1950

Post by Kbg » Mon Oct 29, 2018 9:20 pm

ochotona wrote:
Mon Oct 29, 2018 2:41 pm
Really looking poor now
GEM is a LT system. If I were trading short term I think the odds of a pretty solid snap back are good.
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ochotona
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Re: GEM Backtest Extended to 1950

Post by ochotona » Tue Oct 30, 2018 3:16 pm

If we hold on tomorrow, we stay invested
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Kbg
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Re: GEM Backtest Extended to 1950

Post by Kbg » Tue Oct 30, 2018 5:58 pm

Is that the 12m signal?
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ochotona
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Re: GEM Backtest Extended to 1950

Post by ochotona » Tue Oct 30, 2018 6:27 pm

Kbg wrote:
Tue Oct 30, 2018 5:58 pm
Is that the 12m signal?
I need the 12m total return to exceed 2.33%, the 90-day T-Bill rate.
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Re: GEM Backtest Extended to 1950

Post by dualstow » Wed Oct 31, 2018 12:08 pm

I'm not sure what thread to put this in, Ocho, but since you like momentum and moving averages, this is pretty neat.

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Kbg
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Re: GEM Backtest Extended to 1950

Post by Kbg » Sat Nov 03, 2018 4:26 pm

ochotona wrote:
Tue Oct 30, 2018 6:27 pm
Kbg wrote:
Tue Oct 30, 2018 5:58 pm
Is that the 12m signal?
I need the 12m total return to exceed 2.33%, the 90-day T-Bill rate.
Second account rotated out to bonds...though it pains me to do as I'm relatively sure at least a temp snap back is going to happen.
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ochotona
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Re: GEM Backtest Extended to 1950

Post by ochotona » Sat Nov 03, 2018 4:29 pm

If we go sideways from here my portfolio could go to bonds in Dec or Jan...
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Kbg
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Re: GEM Backtest Extended to 1950

Post by Kbg » Sat Nov 03, 2018 4:41 pm

I think I'm going to tweak my "algo" at the first of the year. As mentioned I have a ST and LT DM lookback which I think is a better way to go over the long haul. In backtests it is very clear that they compliment each other as ST does way better at times and LT does way better at other times. I'm good with the average of the two and I like the time period diversification/not having all one's rocks in a single lookback basket.
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