Please meet Global Navigator and The Russell

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StrategyDriven
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Sat Jun 19, 2021 9:05 pm

hydromod wrote:
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.
I'll have to go back and double check, but off hand I don't believe there are any LETF's estimated in my returns data, only QQQ benchmark return data, yes I just checked and that's correct. All strategy returns are based off of actual daily index data going back, only QQQ benchmark is not actual going back to 1980, and the some of the bond data was estimated off available sources - it's so difficult fo the average joe to get good data way back in time.
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Re: Please meet Global Navigator and The Russell

Post by hydromod » Sun Jun 20, 2021 12:19 am

StrategyDriven wrote:
Sat Jun 19, 2021 9:05 pm
hydromod wrote:
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.
I'll have to go back and double check, but off hand I don't believe there are any LETF's estimated in my returns data, only QQQ benchmark return data, yes I just checked and that's correct. All strategy returns are based off of actual daily index data going back, only QQQ benchmark is not actual going back to 1980, and the some of the bond data was estimated off available sources - it's so difficult fo the average joe to get good data way back in time.
I hear you loud and clear on getting data. A tough row to hoe for sure.
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Re: Please meet Global Navigator and The Russell

Post by hydromod » Sun Jun 20, 2021 8:27 pm

A quick clarification question: When you use a trigger of 25% one month return, 25% three month return, and 50% six month return, are these annualized returns or just plain ol' returns?
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Mon Jun 21, 2021 12:37 pm

hydromod wrote:
Sun Jun 20, 2021 8:27 pm
A quick clarification question: When you use a trigger of 25% one month return, 25% three month return, and 50% six month return, are these annualized returns or just plain ol' returns?
All of the strategies, except Triad, use a weighted return which is the actual 1 month, 3 month, and 6 month return, not annualized. 25%/25%/50% weightings.
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Re: Please meet Global Navigator and The Russell

Post by hydromod » Mon Jun 21, 2021 1:06 pm

StrategyDriven wrote:
Mon Jun 21, 2021 12:37 pm
hydromod wrote:
Sun Jun 20, 2021 8:27 pm
A quick clarification question: When you use a trigger of 25% one month return, 25% three month return, and 50% six month return, are these annualized returns or just plain ol' returns?
All of the strategies, except Triad, use a weighted return which is the actual 1 month, 3 month, and 6 month return, not annualized. 25%/25%/50% weightings.
Thanks, that's what I thought, just making sure. So that would be 60/20/20% in annualized returns. Interesting. I think I've seen some use equal weighting in annualized returns. I have no feel for how these things work though.
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Mon Jun 21, 2021 1:10 pm

hydromod wrote:
Mon Jun 21, 2021 1:06 pm
StrategyDriven wrote:
Mon Jun 21, 2021 12:37 pm
hydromod wrote:
Sun Jun 20, 2021 8:27 pm
A quick clarification question: When you use a trigger of 25% one month return, 25% three month return, and 50% six month return, are these annualized returns or just plain ol' returns?
All of the strategies, except Triad, use a weighted return which is the actual 1 month, 3 month, and 6 month return, not annualized. 25%/25%/50% weightings.
Thanks, that's what I thought, just making sure. So that would be 60/20/20% in annualized returns. Interesting. I think I've seen some use equal weighting in annualized returns. I have no feel for how these things work though.
I came up with this 1/3/6 and weightings in efforts of being quicker reacting than a 10 or 12 month lookback, without causing too much whipsaw.
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Re: Please meet Global Navigator and The Russell

Post by hydromod » Mon Jun 21, 2021 1:25 pm

StrategyDriven wrote:
Mon Jun 21, 2021 1:10 pm
I came up with this 1/3/6 and weightings in efforts of being quicker reacting than a 10 or 12 month lookback, without causing too much whipsaw.
Well, it certainly seems to be doing fine for you.
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Re: Please meet Global Navigator and The Russell

Post by modeljc » Mon Jun 21, 2021 4:58 pm

hydromod wrote:
Mon Jun 21, 2021 1:25 pm
StrategyDriven wrote:
Mon Jun 21, 2021 1:10 pm
I came up with this 1/3/6 and weightings in efforts of being quicker reacting than a 10 or 12 month lookback, without causing too much whipsaw.
Well, it certainly seems to be doing fine for you.
I am a fan of the approach that Randy has put together. It is some amazing work! I not one that favors backtesting for models as the future is alway different. But when Strategy Driven got another 20 years of data back to 1980 and the results were a overlay of the first 20 years I got interested enough to try small positions.

Welcome to the board Hydromod. You might find this to be a super site as it has great folks aboard.
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Wed Jun 30, 2021 11:50 pm

June 30, 2021 Half-year update

The 1st half of 2021 is now in the books. While this year has been a good so far overall for the strategies, June was somewhat of a disappointment. The Russell and The Russell XXL were the only strategies which profited in June. The Global Navigator strategies went into VXUS for June and it completely fell apart in June, these strategies are going back into the Total US Market for July. MAX PAIN had seen Mid Cap outperforming and switched to it for June, however, it bit the bullet in June while Small Cap went higher. Triad went invested 1/3rd of it's assets into Gold which also tanked this past month.

This sometimes happen when investing in segments of the market not following the broad market. Sometimes the recent performance sends us off on a zig when the market then zags. This is not uncommon behavior, nor is it a failure in the strategies. If the strategies didn't switch us out based on recent evidence we would miss big runs and always be in the broad market. We just need to brush it off and continue to keep on keeping on.

The full reporting deck can be viewed / download from this link.
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Mon Jul 12, 2021 9:03 pm

My Midyear update.

There have been quite a few changes to the strategies this calendar year so my allocation has changed. If I had held the allocation that I am currently holding, I'd be a hair above the S&P for the year. This is over all accounts, some are more aggressive, some are 100% in Triad. I pick the strategies based on my needs for each account.

My current allocation is:

25% Investment Real Estate
75% Equities.

Of the 75% of equities I have 2% of my IRA in Lucid stock, and a 6% total allocation to RRC and BIREF, then a couple accounts like my employer 401k and the 529 account are basically in the S&P, those all total about 25% of my equity investments, the remaining 75% is invested in DMS Strategies as follows:

10% Triad
10% The Russell OG
18% Global Navigator
10% The Russell
14% Global Navigator XL
28% The Russell XXL
10% MAX PAIN

From 01/01/2021 through 06/30/2021 the total money weighted return for all accounts came in at 17.64%.

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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Wed Sep 01, 2021 10:26 am

No changes to the strategies for September, the full deck through August 2021 results are posted here, I will have the post to the dualmomentumstrategies.com site later this morning.
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Thu Sep 30, 2021 11:18 pm

September was a terrible month in the markets, Triad and the Russell strategies have a change of investment for October.

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The full reporting deck with September 2021 results and October 2021 investments can be viewed here.
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Fri Oct 29, 2021 11:06 pm

As bad as September was, October was even better. I was personally down 5.12% in September, but up 8.59% in October.

The only strategy with a change for November is Triad, it adds IWS back into the investments.

The full deck can be viewed here.

Happy strategy investing.
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Sun Oct 31, 2021 12:13 am

vincent_c wrote:
Sat Oct 30, 2021 8:47 pm
Hey I don't want to be a dick because I think what you're doing is cool, but did I notice that you're advertising the licensing of these models to professionals when I specifically asked you about it before and you said that these strategies were for your personal and family use and that the website/reporting thing was just more for a hobby.

Can you clarify this because if you're selling these things then I think you should make a disclosure about it and I'm not a moderator on here but I think it should at least be cleared with them if you're using the board for any sort of commercial marketing purpose.
I am not advertising it for licensing, I am limiting it for personal use - not for professionals to use for their clients without licensing - I am not licensing it to anybody nor am I looking for that. I am just pointing out that it is for personal use.
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Sun Oct 31, 2021 9:08 am

vincent_c wrote:
Sun Oct 31, 2021 8:06 am
StrategyDriven wrote:
Sun Oct 31, 2021 12:13 am
I am not licensing it to anybody nor am I looking for that. I am just pointing out that it is for personal use.
"The investment strategies and their investment selections presented within this report are free for your personal use, noting the disclosure above. These strategies are not allowed to be used by any CFA, CFP, RIA, CPA, CLU, CHFC, IAFP, NAPFA, PFS or any other investment professional - please inquire for licensing." (emphasis added)


This last part is in bold what I'm referring to because I thought you had no intention of commercializing any of this.
I already explained in the last post, I put that disclosure in there to keep professionals from using it and to make sure it’s only for personal use if you’d rather not see me post this on the forum where I thought people would be helped by it I’m happy to go away.
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Sun Oct 31, 2021 9:36 am

vincent_c wrote:
Sun Oct 31, 2021 9:28 am
I'm not a mod so my opinion does not matter.

Your explanation and the language used in the quote I posted do not seem to match.

If I am a professional reading it, I would think that you want to retain the rights to the use of these strategies and that to use them I would have to inquire with you to license it and not that it is solely for personal use.
I am putting this out there for individuals to use, my intent is to help people. I do not want professionals using for managed money without paying a license. However, I am an individual person not a firm, I don’t have an investment profession background and don’t believe there would ever be anybody interested in licensing it. I am not pushing the licensing aspect which you seem to be focusing on - I do this to help other individuals. I have never ever mentioned licensing other than that disclosure to protect myself in the deck, it is not my focus whatsoever. I actually find it a bit strange that you focus on one disclosure in the deck, ignoring this entire thread where it was never mentioned once until you brought it up.

Let me state unequivocally. I am not advertising to license to professionals, I am trying to help individual investors.
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Re: Please meet Global Navigator and The Russell

Post by Vil » Wed Nov 03, 2021 4:26 am

Talking about momentum strategies, have been quite a while since I want to ask you guys - what do you think about the Andreas Clenow's works, especially "Stocks on the move"? Simple linear regression (* coefficient of determination) - guess it cannot get any simpler than that for an 'algo' ...

Disclaimer: Not asking whether I should go and throw my money after it.. I've been successfully used this in the past with the European Stoxx600. Have couple of implementations (some outdated) - the last one I used is in some PineScipt version (now also outdated, as TV guys keep implementing and implementing..).
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Wed Nov 03, 2021 7:02 am

Vil wrote:
Wed Nov 03, 2021 4:26 am
Talking about momentum strategies, have been quite a while since I want to ask you guys - what do you think about the Andreas Clenow's works, especially "Stocks on the move"? Simple linear regression (* coefficient of determination) - guess it cannot get any simpler than that for an 'algo' ...

Disclaimer: Not asking whether I should go and throw my money after it.. I've been successfully used this in the past with the European Stoxx600. Have couple of implementations (some outdated) - the last one I used is in some PineScipt version (now also outdated, as TV guys keep implementing and implementing..).
Have a URL?
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Re: Please meet Global Navigator and The Russell

Post by Vil » Wed Nov 03, 2021 8:33 am

StrategyDriven wrote:
Wed Nov 03, 2021 7:02 am
Vil wrote:
Wed Nov 03, 2021 4:26 am
Talking about momentum strategies, have been quite a while since I want to ask you guys - what do you think about the Andreas Clenow's works, especially "Stocks on the move"? Simple linear regression (* coefficient of determination) - guess it cannot get any simpler than that for an 'algo' ...

Disclaimer: Not asking whether I should go and throw my money after it.. I've been successfully used this in the past with the European Stoxx600. Have couple of implementations (some outdated) - the last one I used is in some PineScipt version (now also outdated, as TV guys keep implementing and implementing..).
Have a URL?
Sure, here the link at Amazon. He has 3 books - all worth checking, and definitely not the casual get-quick-rich schemes you get... Or some technical fluff that's readily placed to speculators' plates...
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Wed Nov 03, 2021 3:22 pm

Vil wrote:
Wed Nov 03, 2021 8:33 am
StrategyDriven wrote:
Wed Nov 03, 2021 7:02 am
Vil wrote:
Wed Nov 03, 2021 4:26 am
Talking about momentum strategies, have been quite a while since I want to ask you guys - what do you think about the Andreas Clenow's works, especially "Stocks on the move"? Simple linear regression (* coefficient of determination) - guess it cannot get any simpler than that for an 'algo' ...

Disclaimer: Not asking whether I should go and throw my money after it.. I've been successfully used this in the past with the European Stoxx600. Have couple of implementations (some outdated) - the last one I used is in some PineScipt version (now also outdated, as TV guys keep implementing and implementing..).
Have a URL?
Sure, here the link at Amazon. He has 3 books - all worth checking, and definitely not the casual get-quick-rich schemes you get... Or some technical fluff that's readily placed to speculators' plates...
Ah, was hoping for an online article or white paper. Appreciate the info but will pass, I'm not personally a big fan of investing individual securities, in spite of the fact that I recognize they can offer opportunity for large returns. I have too many hangups with individual stocks.
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