Please meet Global Navigator and The Russell

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D1984
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Re: Please meet Global Navigator and The Russell

Post by D1984 » Tue Apr 27, 2021 10:45 pm

StrategyDriven wrote:
Tue Apr 27, 2021 7:18 am
Global Navigator is the only strategy that can be back tested way back, the others all use Russell Indexes which were not around that far back. Even for Global Navigator I can’t really find a great option for VXUS going back, the MSCI World ex-USA is as close as I can locate and that’s only back to 1970.
Yes, but you have very similar indexes (back to 1926) that can sub in for the equivalent Russell ones. I know they aren't actual Russell indexes but can you please at least try from the 1926 or 1927 period (or at least from the mid-1950s when rate started to rise) all the way to 12-31-69 using these stock return indexes?

If you are worried they may not be similar enough to the equivalent Russell indices try them during the 1980-2021 period in lieu of the equivalent Russell ones and see how many times the system switches out of (or in to) a certain category of equities when the Russell indexes would not have had it do so.

Even the Russell indices themselves technically didn't exist "live" until 1985; everything from Russell before that is just based on backtested indices.
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Wed Apr 28, 2021 5:07 pm

D1984 wrote:
Tue Apr 27, 2021 10:45 pm
StrategyDriven wrote:
Tue Apr 27, 2021 7:18 am
Global Navigator is the only strategy that can be back tested way back, the others all use Russell Indexes which were not around that far back. Even for Global Navigator I can’t really find a great option for VXUS going back, the MSCI World ex-USA is as close as I can locate and that’s only back to 1970.
Yes, but you have very similar indexes (back to 1926) that can sub in for the equivalent Russell ones. I know they aren't actual Russell indexes but can you please at least try from the 1926 or 1927 period (or at least from the mid-1950s when rate started to rise) all the way to 12-31-69 using these stock return indexes?

If you are worried they may not be similar enough to the equivalent Russell indices try them during the 1980-2021 period in lieu of the equivalent Russell ones and see how many times the system switches out of (or in to) a certain category of equities when the Russell indexes would not have had it do so.

Even the Russell indices themselves technically didn't exist "live" until 1985; everything from Russell before that is just based on backtested indices.
My index source that I'm aware of is MSCI, I just checked USA Midcap Value, USA Midcap Growth, and USA Midcap; all of them only go back to 01/31/1996. MSCI Small Cap, an approximation of the RUT only goes back on MSCI to 12/29/2000, The Russell 2000 is from 1985, though I don't have access to those numbers. I have to have Small Cap, Midcap, Midcap Value, and Midcap Growth to backtest further.

btw - you say the Russell indexes are from 1985, only the RUT, the Midcap Growth and MidCap Value are from around 1996.
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Re: Please meet Global Navigator and The Russell

Post by D1984 » Wed Apr 28, 2021 6:26 pm

StrategyDriven wrote:
Wed Apr 28, 2021 5:07 pm
D1984 wrote:
Tue Apr 27, 2021 10:45 pm
StrategyDriven wrote:
Tue Apr 27, 2021 7:18 am
Global Navigator is the only strategy that can be back tested way back, the others all use Russell Indexes which were not around that far back. Even for Global Navigator I can’t really find a great option for VXUS going back, the MSCI World ex-USA is as close as I can locate and that’s only back to 1970.
Yes, but you have very similar indexes (back to 1926) that can sub in for the equivalent Russell ones. I know they aren't actual Russell indexes but can you please at least try from the 1926 or 1927 period (or at least from the mid-1950s when rate started to rise) all the way to 12-31-69 using these stock return indexes?

If you are worried they may not be similar enough to the equivalent Russell indices try them during the 1980-2021 period in lieu of the equivalent Russell ones and see how many times the system switches out of (or in to) a certain category of equities when the Russell indexes would not have had it do so.

Even the Russell indices themselves technically didn't exist "live" until 1985; everything from Russell before that is just based on backtested indices.
My index source that I'm aware of is MSCI, I just checked USA Midcap Value, USA Midcap Growth, and USA Midcap; all of them only go back to 01/31/1996. MSCI Small Cap, an approximation of the RUT only goes back on MSCI to 12/29/2000, The Russell 2000 is from 1985, though I don't have access to those numbers. I have to have Small Cap, Midcap, Midcap Value, and Midcap Growth to backtest further.
I'm a little confused here......the Russell Midcap TR indices (all three of them.....value and blend and growth) back to '85 were posted as a downloadable file in this thread; IIRC it was daily data but might've been monthly from 1985 to 1996 and daily after that. So was the Russell 2000 TR back to 1979. That means you should have access to all of them.
btw - you say the Russell indexes are from 1985, only the RUT, the Midcap Growth and MidCap Value are from around 1996.
Do you mean the actual "live" Russell Midcap Growth and Midcap Value have only existed since early 1996? That's technically true (or it may be....I know of the actual 1984 or 1985 inception dates for the Russell 2000 and 1000 but am not sure if the inception date for the actual "live" midcap indices was 1985 or if that was only the backtested inception date and 1996 was the actual true "live" inception date) I suppose (although like I said earlier in this post the indexes with backtested data are available from Russell all the way back to 1985....and by "backtested" I mean backtested by Russell Co. itself using the exact same methodology as the live index/es used and being careful to include all stocks so as to rule out survivorship bias as well) but I could've swore all these indexes have been posted in this thread as well.

I'm not trying to be snarky or pedantic so I apologize if I'm coming across like that but I am 99.9999% certain that the Russell TR indices back to at least 1985 were posted in this thread.
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Wed Apr 28, 2021 6:33 pm

D1984 wrote:
Wed Apr 28, 2021 6:26 pm
StrategyDriven wrote:
Wed Apr 28, 2021 5:07 pm
D1984 wrote:
Tue Apr 27, 2021 10:45 pm
StrategyDriven wrote:
Tue Apr 27, 2021 7:18 am
Global Navigator is the only strategy that can be back tested way back, the others all use Russell Indexes which were not around that far back. Even for Global Navigator I can’t really find a great option for VXUS going back, the MSCI World ex-USA is as close as I can locate and that’s only back to 1970.
Yes, but you have very similar indexes (back to 1926) that can sub in for the equivalent Russell ones. I know they aren't actual Russell indexes but can you please at least try from the 1926 or 1927 period (or at least from the mid-1950s when rate started to rise) all the way to 12-31-69 using these stock return indexes?

If you are worried they may not be similar enough to the equivalent Russell indices try them during the 1980-2021 period in lieu of the equivalent Russell ones and see how many times the system switches out of (or in to) a certain category of equities when the Russell indexes would not have had it do so.

Even the Russell indices themselves technically didn't exist "live" until 1985; everything from Russell before that is just based on backtested indices.
My index source that I'm aware of is MSCI, I just checked USA Midcap Value, USA Midcap Growth, and USA Midcap; all of them only go back to 01/31/1996. MSCI Small Cap, an approximation of the RUT only goes back on MSCI to 12/29/2000, The Russell 2000 is from 1985, though I don't have access to those numbers. I have to have Small Cap, Midcap, Midcap Value, and Midcap Growth to backtest further.
I'm a little confused here......the Russell Midcap TR indices (all three of them.....value and blend and growth) back to '85 were posted as a downloadable file in this thread; IIRC it was daily data but might've been monthly from 1985 to 1996 and daily after that. So was the Russell 2000 TR back to 1979. That means you should have access to all of them.
btw - you say the Russell indexes are from 1985, only the RUT, the Midcap Growth and MidCap Value are from around 1996.
Do you mean the actual "live" Russell Midcap Growth and Midcap Value have only existed since early 1996? That's technically true (or it may be....I know of the actual 1984 or 1985 inception dates for the Russell 2000 and 1000 but am not sure if the inception date for the actual "live" midcap indices was 1985 or if that was only the backtested inception date and 1996 was the actual true "live" inception date) I suppose (although like I said earlier in this post the indexes with backtested data are available from Russell all the way back to 1985....and by "backtested" I mean backtested by Russell Co. itself using the exact same methodology as the live index/es used and being careful to include all stocks so as to rule out survivorship bias as well) but I could've swore all these indexes have been posted in this thread as well.

I'm not trying to be snarky or pedantic so I apologize if I'm coming across like that but I am 99.9999% certain that the Russell TR indices back to at least 1985 were posted in this thread.
When I went to FTSE Russell to look at inception dates for the index, Midcap Value and Midcap Growth, I just rechecked, this is off their website (same dates given for Russell Midcap Value and Midcap Growth): The inception date of the Russell Midcap® Growth Index is February 1, 1995.
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Re: Please meet Global Navigator and The Russell

Post by D1984 » Wed Apr 28, 2021 6:47 pm

StrategyDriven wrote:
Wed Apr 28, 2021 6:33 pm
D1984 wrote:
Wed Apr 28, 2021 6:26 pm
StrategyDriven wrote:
Wed Apr 28, 2021 5:07 pm
D1984 wrote:
Tue Apr 27, 2021 10:45 pm
StrategyDriven wrote:
Tue Apr 27, 2021 7:18 am
Global Navigator is the only strategy that can be back tested way back, the others all use Russell Indexes which were not around that far back. Even for Global Navigator I can’t really find a great option for VXUS going back, the MSCI World ex-USA is as close as I can locate and that’s only back to 1970.
Yes, but you have very similar indexes (back to 1926) that can sub in for the equivalent Russell ones. I know they aren't actual Russell indexes but can you please at least try from the 1926 or 1927 period (or at least from the mid-1950s when rate started to rise) all the way to 12-31-69 using these stock return indexes?

If you are worried they may not be similar enough to the equivalent Russell indices try them during the 1980-2021 period in lieu of the equivalent Russell ones and see how many times the system switches out of (or in to) a certain category of equities when the Russell indexes would not have had it do so.

Even the Russell indices themselves technically didn't exist "live" until 1985; everything from Russell before that is just based on backtested indices.
My index source that I'm aware of is MSCI, I just checked USA Midcap Value, USA Midcap Growth, and USA Midcap; all of them only go back to 01/31/1996. MSCI Small Cap, an approximation of the RUT only goes back on MSCI to 12/29/2000, The Russell 2000 is from 1985, though I don't have access to those numbers. I have to have Small Cap, Midcap, Midcap Value, and Midcap Growth to backtest further.
I'm a little confused here......the Russell Midcap TR indices (all three of them.....value and blend and growth) back to '85 were posted as a downloadable file in this thread; IIRC it was daily data but might've been monthly from 1985 to 1996 and daily after that. So was the Russell 2000 TR back to 1979. That means you should have access to all of them.
btw - you say the Russell indexes are from 1985, only the RUT, the Midcap Growth and MidCap Value are from around 1996.
Do you mean the actual "live" Russell Midcap Growth and Midcap Value have only existed since early 1996? That's technically true (or it may be....I know of the actual 1984 or 1985 inception dates for the Russell 2000 and 1000 but am not sure if the inception date for the actual "live" midcap indices was 1985 or if that was only the backtested inception date and 1996 was the actual true "live" inception date) I suppose (although like I said earlier in this post the indexes with backtested data are available from Russell all the way back to 1985....and by "backtested" I mean backtested by Russell Co. itself using the exact same methodology as the live index/es used and being careful to include all stocks so as to rule out survivorship bias as well) but I could've swore all these indexes have been posted in this thread as well.

I'm not trying to be snarky or pedantic so I apologize if I'm coming across like that but I am 99.9999% certain that the Russell TR indices back to at least 1985 were posted in this thread.
When I went to FTSE Russell to look at inception dates for the index, Midcap Value and Midcap Growth, I just rechecked, this is off their website (same dates given for Russell Midcap Value and Midcap Growth): The inception date of the Russell Midcap® Growth Index is February 1, 1995.
Hmmm....the following:

http://www.lmcg.com/the-case-for-mid-cap-value/

Has Russell Midcap Value and Midcap Growth back to year-end 1985;

This:

https://www.portfolioeinstein.com/data-sources/

Shows Russell Midcap as going back to 1979.

Oh, and I checked the Gofile link posted in this thread will all the Russell index TR stuff daily back to inception in 1979 or 1985; it is now down (apparently Gofile deletes undownloaded files after seven days unless they are larger than 100 MB).

I will see about getting the person who uploaded it to re-up it and provide a link.

FWIW Morningstar shows Russelll Midcap TR existing back to 12/31/1978 and Russell Midcap Growth and Russell Midcap Blend existing back to 12-31-1985.
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Wed Apr 28, 2021 6:56 pm

D1984 wrote:
Wed Apr 28, 2021 6:47 pm
StrategyDriven wrote:
Wed Apr 28, 2021 6:33 pm
D1984 wrote:
Wed Apr 28, 2021 6:26 pm
StrategyDriven wrote:
Wed Apr 28, 2021 5:07 pm
D1984 wrote:
Tue Apr 27, 2021 10:45 pm
StrategyDriven wrote:
Tue Apr 27, 2021 7:18 am
Global Navigator is the only strategy that can be back tested way back, the others all use Russell Indexes which were not around that far back. Even for Global Navigator I can’t really find a great option for VXUS going back, the MSCI World ex-USA is as close as I can locate and that’s only back to 1970.
Yes, but you have very similar indexes (back to 1926) that can sub in for the equivalent Russell ones. I know they aren't actual Russell indexes but can you please at least try from the 1926 or 1927 period (or at least from the mid-1950s when rate started to rise) all the way to 12-31-69 using these stock return indexes?

If you are worried they may not be similar enough to the equivalent Russell indices try them during the 1980-2021 period in lieu of the equivalent Russell ones and see how many times the system switches out of (or in to) a certain category of equities when the Russell indexes would not have had it do so.

Even the Russell indices themselves technically didn't exist "live" until 1985; everything from Russell before that is just based on backtested indices.
My index source that I'm aware of is MSCI, I just checked USA Midcap Value, USA Midcap Growth, and USA Midcap; all of them only go back to 01/31/1996. MSCI Small Cap, an approximation of the RUT only goes back on MSCI to 12/29/2000, The Russell 2000 is from 1985, though I don't have access to those numbers. I have to have Small Cap, Midcap, Midcap Value, and Midcap Growth to backtest further.
I'm a little confused here......the Russell Midcap TR indices (all three of them.....value and blend and growth) back to '85 were posted as a downloadable file in this thread; IIRC it was daily data but might've been monthly from 1985 to 1996 and daily after that. So was the Russell 2000 TR back to 1979. That means you should have access to all of them.
btw - you say the Russell indexes are from 1985, only the RUT, the Midcap Growth and MidCap Value are from around 1996.
Do you mean the actual "live" Russell Midcap Growth and Midcap Value have only existed since early 1996? That's technically true (or it may be....I know of the actual 1984 or 1985 inception dates for the Russell 2000 and 1000 but am not sure if the inception date for the actual "live" midcap indices was 1985 or if that was only the backtested inception date and 1996 was the actual true "live" inception date) I suppose (although like I said earlier in this post the indexes with backtested data are available from Russell all the way back to 1985....and by "backtested" I mean backtested by Russell Co. itself using the exact same methodology as the live index/es used and being careful to include all stocks so as to rule out survivorship bias as well) but I could've swore all these indexes have been posted in this thread as well.

I'm not trying to be snarky or pedantic so I apologize if I'm coming across like that but I am 99.9999% certain that the Russell TR indices back to at least 1985 were posted in this thread.
When I went to FTSE Russell to look at inception dates for the index, Midcap Value and Midcap Growth, I just rechecked, this is off their website (same dates given for Russell Midcap Value and Midcap Growth): The inception date of the Russell Midcap® Growth Index is February 1, 1995.
Hmmm....the following:

http://www.lmcg.com/the-case-for-mid-cap-value/

Has Russell Midcap Value and Midcap Growth back to year-end 1985;

This:

https://www.portfolioeinstein.com/data-sources/

Shows Russell Midcap as going back to 1979.

Oh, and I checked the Gofile link posted in this thread will all the Russell index TR stuff daily back to inception in 1979 or 1985; it is now down (apparently Gofile deletes undownloaded files after seven days unless they are larger than 100 MB).

I will see about getting the person who uploaded it to re-up it and provide a link.

FWIW Morningstar shows Russelll Midcap TR existing back to 12/31/1978 and Russell Midcap Growth and Russell Midcap Blend existing back to 12-31-1985.
maybe it's backtested data for the indexes? The indexes I use are:

Russell 1000
Russell Midcap Value
Russell Midcap Growth
Russell 2000
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Wed Apr 28, 2021 7:12 pm

These guys have data way back but I can’t see how to access it.

link
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Re: Please meet Global Navigator and The Russell

Post by D1984 » Wed Apr 28, 2021 8:50 pm

StrategyDriven wrote:
Wed Apr 28, 2021 6:56 pm
D1984 wrote:
Wed Apr 28, 2021 6:47 pm
StrategyDriven wrote:
Wed Apr 28, 2021 6:33 pm
D1984 wrote:
Wed Apr 28, 2021 6:26 pm
StrategyDriven wrote:
Wed Apr 28, 2021 5:07 pm
D1984 wrote:
Tue Apr 27, 2021 10:45 pm
StrategyDriven wrote:
Tue Apr 27, 2021 7:18 am
Global Navigator is the only strategy that can be back tested way back, the others all use Russell Indexes which were not around that far back. Even for Global Navigator I can’t really find a great option for VXUS going back, the MSCI World ex-USA is as close as I can locate and that’s only back to 1970.
Yes, but you have very similar indexes (back to 1926) that can sub in for the equivalent Russell ones. I know they aren't actual Russell indexes but can you please at least try from the 1926 or 1927 period (or at least from the mid-1950s when rate started to rise) all the way to 12-31-69 using these stock return indexes?

If you are worried they may not be similar enough to the equivalent Russell indices try them during the 1980-2021 period in lieu of the equivalent Russell ones and see how many times the system switches out of (or in to) a certain category of equities when the Russell indexes would not have had it do so.

Even the Russell indices themselves technically didn't exist "live" until 1985; everything from Russell before that is just based on backtested indices.
My index source that I'm aware of is MSCI, I just checked USA Midcap Value, USA Midcap Growth, and USA Midcap; all of them only go back to 01/31/1996. MSCI Small Cap, an approximation of the RUT only goes back on MSCI to 12/29/2000, The Russell 2000 is from 1985, though I don't have access to those numbers. I have to have Small Cap, Midcap, Midcap Value, and Midcap Growth to backtest further.
I'm a little confused here......the Russell Midcap TR indices (all three of them.....value and blend and growth) back to '85 were posted as a downloadable file in this thread; IIRC it was daily data but might've been monthly from 1985 to 1996 and daily after that. So was the Russell 2000 TR back to 1979. That means you should have access to all of them.
btw - you say the Russell indexes are from 1985, only the RUT, the Midcap Growth and MidCap Value are from around 1996.
Do you mean the actual "live" Russell Midcap Growth and Midcap Value have only existed since early 1996? That's technically true (or it may be....I know of the actual 1984 or 1985 inception dates for the Russell 2000 and 1000 but am not sure if the inception date for the actual "live" midcap indices was 1985 or if that was only the backtested inception date and 1996 was the actual true "live" inception date) I suppose (although like I said earlier in this post the indexes with backtested data are available from Russell all the way back to 1985....and by "backtested" I mean backtested by Russell Co. itself using the exact same methodology as the live index/es used and being careful to include all stocks so as to rule out survivorship bias as well) but I could've swore all these indexes have been posted in this thread as well.

I'm not trying to be snarky or pedantic so I apologize if I'm coming across like that but I am 99.9999% certain that the Russell TR indices back to at least 1985 were posted in this thread.
When I went to FTSE Russell to look at inception dates for the index, Midcap Value and Midcap Growth, I just rechecked, this is off their website (same dates given for Russell Midcap Value and Midcap Growth): The inception date of the Russell Midcap® Growth Index is February 1, 1995.
Hmmm....the following:

http://www.lmcg.com/the-case-for-mid-cap-value/

Has Russell Midcap Value and Midcap Growth back to year-end 1985;

This:

https://www.portfolioeinstein.com/data-sources/

Shows Russell Midcap as going back to 1979.

Oh, and I checked the Gofile link posted in this thread will all the Russell index TR stuff daily back to inception in 1979 or 1985; it is now down (apparently Gofile deletes undownloaded files after seven days unless they are larger than 100 MB).

I will see about getting the person who uploaded it to re-up it and provide a link.

FWIW Morningstar shows Russelll Midcap TR existing back to 12/31/1978 and Russell Midcap Growth and Russell Midcap Blend existing back to 12-31-1985.
maybe it's backtested data for the indexes? The indexes I use are:

Russell 1000
Russell Midcap Value
Russell Midcap Growth
Russell 2000
http://www.filedropper.com/russellindices
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Fri Apr 30, 2021 2:06 pm

Here are long term results for the strategies, all of them back to 1980, and a second sheet for Global Navigator back to 1970.

Pretty interesting, I had assumed they would have side-stepped Oct 1987 and they did not, all good though, great validation for this out of sample period for the strategies to take them back two more decades! Lots of tweaks to make now seeing all this history. :o That's a joke! I don't like data mining... not changing a damn thing.

DMS Strategies Long Term Deck

Note, I wasn't able to find daily MidCap back to 1980 so used monthly results to sim the data back to 1980. MAX PAIN could change a little if I can get daily MidCap data back, will update if I can source that, I don't expect any significant changes though.
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Sun May 02, 2021 3:13 pm

Results deck for April 2021 can be downloaded here.


May 2021 Strategy Investments
Only MAX PAIN has a change of investment for May, all other strategies remain in the same investments.
⅓ IWB, ⅓ IWS, ⅓ VGSH Triad
IWS The Russell OG
VTI Global Navigator
IWM The Russell
IWM The Russell XXL
MIDU MAX PAIN
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Re: Please meet Global Navigator and The Russell

Post by modeljc » Mon May 03, 2021 4:41 pm

StrategyDriven wrote:
Sun May 02, 2021 3:13 pm
Results deck for April 2021 can be downloaded here.


May 2021 Strategy Investments
Only MAX PAIN has a change of investment for May, all other strategies remain in the same investments.
⅓ IWB, ⅓ IWS, ⅓ VGSH Triad
IWS The Russell OG
VTI Global Navigator
IWM The Russell
IWM The Russell XXL
MIDU MAX PAIN
The new Triad is about the most conservative strategy that mankind has ever seen! How does it beat 100% stocks with double the return and only a drawdown of 7% vs -50.9%. Nice model for a world of zero rates that may go higher.
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Mon May 03, 2021 5:27 pm

modeljc wrote:
Mon May 03, 2021 4:41 pm
StrategyDriven wrote:
Sun May 02, 2021 3:13 pm
Results deck for April 2021 can be downloaded here.


May 2021 Strategy Investments
Only MAX PAIN has a change of investment for May, all other strategies remain in the same investments.
⅓ IWB, ⅓ IWS, ⅓ VGSH Triad
IWS The Russell OG
VTI Global Navigator
IWM The Russell
IWM The Russell XXL
MIDU MAX PAIN
The new Triad is about the most conservative strategy that mankind has ever seen! How does it beat 100% stocks with double the return and only a drawdown of 7% vs -50.9%. Nice model for a world of zero rates that may go higher.
Ironic that it has it's biggest drawdown just months into the 1980 backtest that I have! from 2000+ it has absolutely incredible metrics, from 1980 through 2020, it's still incredibly great metrics.

Triad was designed to be a better 60/40 for the future, it just happens to be a much better 60/40 in the past too.
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Tue May 11, 2021 3:51 pm

Enjoy results back to 1980.

Updated April 2021 deck to 1980.
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Re: Please meet Global Navigator and The Russell

Post by D1984 » Tue May 11, 2021 4:16 pm

StrategyDriven wrote:
Tue May 11, 2021 3:51 pm
Enjoy results back to 1980.

Updated April 2021 deck to 1980.
Excellent work!

Two quick questions on your benchmarks and one regarding the backtest:

One, the S&P 500 on your benchmark page doesn't include dividends (or at least doesn't appear to)....is this the case and if so, is there a reason for this?

Two, the QQQ (NASDAQ-100) data on the benchmark is incorrect; for instance, QQQ had a return of just over 100% in 1999, a bit over 80% in 1998, and actually had a positive return (barely) in 1987. Your benchmark data seem to contradict this. Are you sure you're not using the NASDAQ Composite instead of the NASDAQ-100 as the benchmark?

Three, I know Max Pain can't be backtested before 1980 because it requires daily data but what again was the reason the others (the ones that require only monthly data) can't be backtested before then? The style and size data I gave you would be a good proxy for the Russell indices before 1979 so why can that not be used....does the system actually require daily data for those as well (PS for backtesting The Triad I have a series for monthly short-term investment grade back to early 1971 if you need that since I don't think any of the bond index data I posted/sent you so far was for corporates but rather was only for Treasuries)?
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Tue May 11, 2021 4:29 pm

D1984 wrote:
Tue May 11, 2021 4:16 pm
StrategyDriven wrote:
Tue May 11, 2021 3:51 pm
Enjoy results back to 1980.

Updated April 2021 deck to 1980.
Two quick questions on your benchmarks and one regarding the backtest:

One, the S&P 500 on your benchmark page doesn't include dividends (or at least doesn't appear to)....is this the case and if so, is there a reason for this?
I got the total returns off one of the sources you listed for me - I had to hand type them in from the monthly total returns that were listed on two images, I want to say they were maybe on Seeking Alpha. I calculated annual returns from that data and compared it to annual total return S&P figures online, they were VERY close.

D1984 wrote:
Tue May 11, 2021 4:16 pm
Two, the QQQ (NASDAQ-100) data on the benchmark is incorrect; for instance, QQQ had a return of just over 100% in 1999, a bit over 80% in 1998, and actually had a positive return (barely) in 1987. Your benchmark data seem to contradict this. Are you sure you're not using the NASDAQ Composite instead of the NASDAQ-100 as the benchmark?
I need to note that one and forgot about it, I used the Nasdaq 100 as far back as it was available and used the Nasdaq composite before the inception date of the 100, wasn't trying to hide that, but need to disclose. I'll double check and make sure I have the 100 data as far back as it went.

D1984 wrote:
Tue May 11, 2021 4:16 pm
Three, I know Max Pain can't be backtested before 1980 because it requires daily data but what again was the reason the others (the ones that require only monthly data) can't be backtested before then? The style and size data I gave you would be a good proxy for the Russell indices before 1979 so why can that not be used....does the system actually require daily data for those as well (PS for backtesting The Triad I have a series for monthly short-term investment grade back to early 1971 if you need that since I don't think any of the bond index data I posted/sent you so far was for corporates but rather was only for Treasuries)?
The only strategies which don't use leveraged ETF's are Triad and The Russell OG, all others use occasional leverage in the form of what I call Smart Leverage. In general I don't think it's of much use backtesting before the 1950's. But even for Global Navigator, I don't have good extended leveraged S&P sim data with only monthly S&P returns, I really need daily to get decent sim data. I think it's awesome having the returns extended back to 1980, and big thanks for your help with the data to make that happen! It's hard going back further without the base funds/indexes and daily data.
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Re: Please meet Global Navigator and The Russell

Post by D1984 » Tue May 11, 2021 10:15 pm

StrategyDriven wrote:
Tue May 11, 2021 4:29 pm
D1984 wrote:
Tue May 11, 2021 4:16 pm
StrategyDriven wrote:
Tue May 11, 2021 3:51 pm
Enjoy results back to 1980.

Updated April 2021 deck to 1980.
Two quick questions on your benchmarks and one regarding the backtest:

One, the S&P 500 on your benchmark page doesn't include dividends (or at least doesn't appear to)....is this the case and if so, is there a reason for this?
I got the total returns off one of the sources you listed for me - I had to hand type them in from the monthly total returns that were listed on two images, I want to say they were maybe on Seeking Alpha. I calculated annual returns from that data and compared it to annual total return S&P figures online, they were VERY close.

My bad. I rechecked it and only 1999 and one or two other years were off by more than a few hundredths of a percent.

D1984 wrote:
Tue May 11, 2021 4:16 pm
Two, the QQQ (NASDAQ-100) data on the benchmark is incorrect; for instance, QQQ had a return of just over 100% in 1999, a bit over 80% in 1998, and actually had a positive return (barely) in 1987. Your benchmark data seem to contradict this. Are you sure you're not using the NASDAQ Composite instead of the NASDAQ-100 as the benchmark?
I need to note that one and forgot about it, I used the Nasdaq 100 as far back as it was available and used the Nasdaq composite before the inception date of the 100, wasn't trying to hide that, but need to disclose. I'll double check and make sure I have the 100 data as far back as it went.
I have NASDAQ-100 back to 1-1-1985 (monthly from 1-1-85 to 9-30-85 and daily after that) and a simulation (daily) back to late 1972 if you want that. Do be aware that the NASDAQ-100 did morph from being a (mostly) smallcap index in the 1970s to a small/mid cap one in the early 80s to a mostly small but almost half midcap by 1985, to midcap with a few large caps by 1987 or 1988 to mostly large cap with a good bit of midcap by the mid 90s to almost all large-cap as of the late 1990s today....IOW it's not really comparing apples to apples to compare it today to the NASDQ-100 of, say, 1976.

D1984 wrote:
Tue May 11, 2021 4:16 pm
Three, I know Max Pain can't be backtested before 1980 because it requires daily data but what again was the reason the others (the ones that require only monthly data) can't be backtested before then? The style and size data I gave you would be a good proxy for the Russell indices before 1979 so why can that not be used....does the system actually require daily data for those as well (PS for backtesting The Triad I have a series for monthly short-term investment grade back to early 1971 if you need that since I don't think any of the bond index data I posted/sent you so far was for corporates but rather was only for Treasuries)?
The only strategies which don't use leveraged ETF's are Triad and The Russell OG, all others use occasional leverage in the form of what I call Smart Leverage. In general I don't think it's of much use backtesting before the 1950's. But even for Global Navigator, I don't have good extended leveraged S&P sim data with only monthly S&P returns, I really need daily to get decent sim data. I think it's awesome having the returns extended back to 1980, and big thanks for your help with the data to make that happen! It's hard going back further without the base funds/indexes and daily data.
Do you need the daily data for timing or just for the most accuracy in terms of the daily leveraged data in order to get the most accurate monthly result comparable to a true daily leveraged index? Because the monthly leveraged stock data I sent you did in fact account for vol decay of daily rebalancing; it wasn't simply 2X or 3X monthly total returns compounded only once per month.
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Tue May 11, 2021 10:29 pm

D1984 wrote:
Tue May 11, 2021 10:15 pm
Do you need the daily data for timing or just for the most accuracy in terms of the daily leveraged data in order to get the most accurate monthly result comparable to a true daily leveraged index? Because the monthly leveraged stock data I sent you did in fact account for vol decay of daily rebalancing; it wasn't simply 2X or 3X monthly total returns compounded only once per month.
In order to extend leveraged etf's, daily data is necessary.
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Thu May 13, 2021 2:38 pm

D1984 wrote:
Tue May 11, 2021 4:16 pm
Two, the QQQ (NASDAQ-100) data on the benchmark is incorrect; for instance, QQQ had a return of just over 100% in 1999, a bit over 80% in 1998, and actually had a positive return (barely) in 1987. Your benchmark data seem to contradict this. Are you sure you're not using the NASDAQ Composite instead of the NASDAQ-100 as the benchmark?
I just checked, I was able to get Nasdaq 100 daily detail back to 1986 and used Composite before that. I tried to simulate 100 from Composite and just couldn't get it so used that 6 year period off Composite not a sim100.
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Re: Please meet Global Navigator and The Russell

Post by D1984 » Fri May 14, 2021 5:46 am

StrategyDriven wrote:
Thu May 13, 2021 2:38 pm
D1984 wrote:
Tue May 11, 2021 4:16 pm
Two, the QQQ (NASDAQ-100) data on the benchmark is incorrect; for instance, QQQ had a return of just over 100% in 1999, a bit over 80% in 1998, and actually had a positive return (barely) in 1987. Your benchmark data seem to contradict this. Are you sure you're not using the NASDAQ Composite instead of the NASDAQ-100 as the benchmark?
I just checked, I was able to get Nasdaq 100 daily detail back to 1986 and used Composite before that. I tried to simulate 100 from Composite and just couldn't get it so used that 6 year period off Composite not a sim100.
Interesting....how did you try to simulate the NASDAQ-100 from the NASDAQ Composite? Doesn't the regular the regular "composite" NASDAQ Composite contains financials as well which the rules of the NASDAQ-100 purposefully exclude?

Anyway, I didn't try to sim it from the Composite. My data was from GTR1 and it was based on all the (non-financial) stocks in the Composite using all the rules (as regards market cap weight, ADR and REIT inclusion or non-inclusion, share classes, etc) that the NASDAQ-100 uses....basically a "NASDAQ-100 had the NASDAQ-100 actually existed since December 14, 1972" (because that's only as far back as the CRSP has data on every single NASDAQ Composite stock). I have this one back from late 1972 to early 2021 and its monthly correlation with the actual NASDAQ-100 from 1-1-85 to 2021 is very high.

Just a word of warning, though....the simulated NASDAQ-100 wasn't always as growthy or as large-cap as it is today....in fact, IIRC it actually had a positive return in 1981 (and if you look at a list of the 35 stocks in the NQB Industrials OTC index as of the early 1970s--said index being a "35 of the largest cap OTC stocks" i..e sort of a NASDAQ megacap index prior to the NASDAQ-100 or the NASDAQ system itself even existing--you will see maybe three or four high-growth volatile techish companies and otherwise plenty of boring "basic stuff" companies like Tampax, Berkshire Hathaway, Cannon Mills, Anheuser Busch, Hoover (of vacuum cleaner fame), Hyster (forklifts), etc)! If I wanted to simulate a volatile growth stock index prior to the NASDAQ-100 I'd probably use a 50/50 annually or quarterly rebalanced blend of the simulated NASDAQ-100 and the Zero-Yield 100....also from GTR1 and which I also have daily data for (all the way back to 1926).
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Fri May 14, 2021 12:02 pm

D1984 wrote:
Fri May 14, 2021 5:46 am
StrategyDriven wrote:
Thu May 13, 2021 2:38 pm
D1984 wrote:
Tue May 11, 2021 4:16 pm
Two, the QQQ (NASDAQ-100) data on the benchmark is incorrect; for instance, QQQ had a return of just over 100% in 1999, a bit over 80% in 1998, and actually had a positive return (barely) in 1987. Your benchmark data seem to contradict this. Are you sure you're not using the NASDAQ Composite instead of the NASDAQ-100 as the benchmark?
I just checked, I was able to get Nasdaq 100 daily detail back to 1986 and used Composite before that. I tried to simulate 100 from Composite and just couldn't get it so used that 6 year period off Composite not a sim100.
Interesting....how did you try to simulate the NASDAQ-100 from the NASDAQ Composite? Doesn't the regular the regular "composite" NASDAQ Composite contains financials as well which the rules of the NASDAQ-100 purposefully exclude?

Anyway, I didn't try to sim it from the Composite. My data was from GTR1 and it was based on all the (non-financial) stocks in the Composite using all the rules (as regards market cap weight, ADR and REIT inclusion or non-inclusion, share classes, etc) that the NASDAQ-100 uses....basically a "NASDAQ-100 had the NASDAQ-100 actually existed since December 14, 1972" (because that's only as far back as the CRSP has data on every single NASDAQ Composite stock). I have this one back from late 1972 to early 2021 and its monthly correlation with the actual NASDAQ-100 from 1-1-85 to 2021 is very high.

Just a word of warning, though....the simulated NASDAQ-100 wasn't always as growthy or as large-cap as it is today....in fact, IIRC it actually had a positive return in 1981 (and if you look at a list of the 35 stocks in the NQB Industrials OTC index as of the early 1970s--said index being a "35 of the largest cap OTC stocks" i..e sort of a NASDAQ megacap index prior to the NASDAQ-100 or the NASDAQ system itself even existing--you will see maybe three or four high-growth volatile techish companies and otherwise plenty of boring "basic stuff" companies like Tampax, Berkshire Hathaway, Cannon Mills, Anheuser Busch, Hoover (of vacuum cleaner fame), Hyster (forklifts), etc)! If I wanted to simulate a volatile growth stock index prior to the NASDAQ-100 I'd probably use a 50/50 annually or quarterly rebalanced blend of the simulated NASDAQ-100 and the Zero-Yield 100....also from GTR1 and which I also have daily data for (all the way back to 1926).
If you want to share that info - it sounds like it would be better than using Composite!
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Re: Please meet Global Navigator and The Russell

Post by D1984 » Sat May 15, 2021 3:07 am

StrategyDriven wrote:
Fri May 14, 2021 12:02 pm
D1984 wrote:
Fri May 14, 2021 5:46 am
StrategyDriven wrote:
Thu May 13, 2021 2:38 pm
D1984 wrote:
Tue May 11, 2021 4:16 pm
Two, the QQQ (NASDAQ-100) data on the benchmark is incorrect; for instance, QQQ had a return of just over 100% in 1999, a bit over 80% in 1998, and actually had a positive return (barely) in 1987. Your benchmark data seem to contradict this. Are you sure you're not using the NASDAQ Composite instead of the NASDAQ-100 as the benchmark?
I just checked, I was able to get Nasdaq 100 daily detail back to 1986 and used Composite before that. I tried to simulate 100 from Composite and just couldn't get it so used that 6 year period off Composite not a sim100.
Interesting....how did you try to simulate the NASDAQ-100 from the NASDAQ Composite? Doesn't the regular the regular "composite" NASDAQ Composite contains financials as well which the rules of the NASDAQ-100 purposefully exclude?

Anyway, I didn't try to sim it from the Composite. My data was from GTR1 and it was based on all the (non-financial) stocks in the Composite using all the rules (as regards market cap weight, ADR and REIT inclusion or non-inclusion, share classes, etc) that the NASDAQ-100 uses....basically a "NASDAQ-100 had the NASDAQ-100 actually existed since December 14, 1972" (because that's only as far back as the CRSP has data on every single NASDAQ Composite stock). I have this one back from late 1972 to early 2021 and its monthly correlation with the actual NASDAQ-100 from 1-1-85 to 2021 is very high.

Just a word of warning, though....the simulated NASDAQ-100 wasn't always as growthy or as large-cap as it is today....in fact, IIRC it actually had a positive return in 1981 (and if you look at a list of the 35 stocks in the NQB Industrials OTC index as of the early 1970s--said index being a "35 of the largest cap OTC stocks" i..e sort of a NASDAQ megacap index prior to the NASDAQ-100 or the NASDAQ system itself even existing--you will see maybe three or four high-growth volatile techish companies and otherwise plenty of boring "basic stuff" companies like Tampax, Berkshire Hathaway, Cannon Mills, Anheuser Busch, Hoover (of vacuum cleaner fame), Hyster (forklifts), etc)! If I wanted to simulate a volatile growth stock index prior to the NASDAQ-100 I'd probably use a 50/50 annually or quarterly rebalanced blend of the simulated NASDAQ-100 and the Zero-Yield 100....also from GTR1 and which I also have daily data for (all the way back to 1926).
If you want to share that info - it sounds like it would be better than using Composite!

QQQ proxy back to 1926; what this is is the Zero-Yield 100 from 1926 to 12-13-72 or 12-14-72 or 12-15-72 then the simulated NASDAQ-100 after that from late Dec 1972 to the roughly the end of April 2021 which is when I used GTR1 to output this (note that even after 1-31-85 this still uses the simulated NASDAQ-100 from GTR1 rather than the actual one from NASDAQ. Also, be aware that--IIRC--the simulated NASDAQ-100 equal weights any new additions to the index rather than cap weighting them immediately (this is rectified when the index reaches its next annual rebalance) so during certain times--especially when highly volatile high multiple midcap growth and large-cap growth stocks are doing well like 1998 or 1999--it may somewhat understate returns vs the actual NASDAQ-100 but overall I have found it to have a very high correlation with the actual NASDAQ-100.

Oh, and also note that the data from GTR1 includes reinvested dividends whereas the actual "classic" real NASDAQ-100 does not (NASDAQ OMX does provide a separate TR with dividends reinvested version of the NASDAQ-100 but that only starts in 1999 and not 1985 or '86)

https://easyupload.io/k11xnt



Zero-Yield 100 from 1926 to almost the end of Dec 2018 (I can explain more about what this is, how it was derived, and what stocks it contains/how it was weighted, etc if you wish)

https://easyupload.io/pbslha



And lastly, just for kicks and in case you don't you have them but would like them here are the actual (monthly, not daily......I don't have those at the present time) returns for the actual real NASDAQ-100 price index from Feb 1985 to Sep 1985 (after that Yahoo Finance has daily data for the NASDAQ-100 PR so monthly data is kind of pointless).

Month of September 1985 = -6.491%

Month of August 1985 = -4.032%

Month of July 1985 = 0.925%

Month of June 1985 = 2.090%

Month of May 1985 = 3.692%

Month of April 1985 = -1.687%

Month of March 1985 = -4.987%

Month of February 1985 = -1.184%
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Tue Jun 01, 2021 9:17 pm

May results and June investments are posted on the new website.
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Re: Please meet Global Navigator and The Russell

Post by Kriegsspiel » Wed Jun 02, 2021 4:02 am

I like the new website. Where is the header pic from?
You there, Ephialtes. May you live forever.
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Wed Jun 02, 2021 8:50 am

Kriegsspiel wrote:
Wed Jun 02, 2021 4:02 am
I like the new website. Where is the header pic from?
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Re: Please meet Global Navigator and The Russell

Post by hydromod » Sat Jun 19, 2021 6:50 pm

StrategyDriven wrote:
Tue May 11, 2021 10:29 pm
D1984 wrote:
Tue May 11, 2021 10:15 pm
Do you need the daily data for timing or just for the most accuracy in terms of the daily leveraged data in order to get the most accurate monthly result comparable to a true daily leveraged index? Because the monthly leveraged stock data I sent you did in fact account for vol decay of daily rebalancing; it wasn't simply 2X or 3X monthly total returns compounded only once per month.
In order to extend leveraged etf's, daily data is necessary.
I believe Siamond has a method that estimates monthly LETF returns from monthly 1x return and monthly volatility. That sounds like the monthly result with volatility decay.

I'd be interested in the early monthly data with monthly volatility, when daily isn't available. That would at least let me mimic a form of risk budgeting inverse volatility that doesn't consider correlations.
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