Tactical Asset Allocation + HBPP an intriguing combo

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

Post by InsuranceGuy » Mon Dec 10, 2018 8:14 pm

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

Post by HappyMan » Mon Dec 10, 2018 9:39 pm

That's a very important point. Thank you for taking the time to research it.
InsuranceGuy wrote:
Mon Dec 10, 2018 8:14 pm
HappyMan wrote:
Mon Dec 10, 2018 2:52 am
If only there were a way to find out for sure ...
With a little math we can confirm:

IVV closed Nov 30 at $278
IVV closed today at $266
MTD IVV return of -4.32% (266/278-1)

BND closed Nov 30 at $78.14 with $0.192 dividend, so $77.948 adjusted close
BND closed today at $78.64
MTD BND return of 0.89% (77.948/78.64-1)

Image

They show a Dec 2018 return of 4.32% in the far right column which matches the IVV return implying GEM is still invested in IVV. If they were in BND their Dec return would instead be +0.89%.

The signal assumes the month ended today per their disclaimer (Signals only valid after Close of Month) which would imply a projected switch to BND at the end of Dec 2018.
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ochotona
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Mon Dec 10, 2018 9:52 pm

Ohhhh OK
Partial month results. Not the signal for the month.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Mon Dec 17, 2018 3:46 pm

I can't wait to sell this binch on December 31
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by InsuranceGuy » Mon Dec 17, 2018 7:22 pm

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

Post by ochotona » Mon Dec 17, 2018 8:05 pm

InsuranceGuy wrote:
Mon Dec 17, 2018 7:22 pm
ochotona wrote:
Mon Dec 17, 2018 3:46 pm
I can't wait to sell this binch on December 31
I'm just glad my model bailed at the end of November.
That's my price for having a less-twitchy model. Deeper draws.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by HappyMan » Mon Dec 17, 2018 9:30 pm

With you, ochotona.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by InsuranceGuy » Mon Dec 17, 2018 9:34 pm

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

Post by HappyMan » Mon Dec 17, 2018 9:49 pm

Would be cool to continue comparing them. Keep 'em coming, IG.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by Kbg » Wed Dec 19, 2018 6:39 pm

I'm tweaking my dual mo stuff to the 12mo signal and a 6/3 mo weighted signal in 2019. 50% of the port to each signal. This is a small change to my current 10mo/5mo approach.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by HappyMan » Wed Dec 19, 2018 10:17 pm

Kbg wrote:
Wed Dec 19, 2018 6:39 pm
I'm tweaking my dual mo stuff to the 12mo signal and a 6/3 mo weighted signal in 2019. 50% of the port to each signal. This is a small change to my current 10mo/5mo approach.
Interesting. Expectant results?
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by Kbg » Wed Dec 19, 2018 11:54 pm

HappyMan wrote:
Wed Dec 19, 2018 10:17 pm
Kbg wrote:
Wed Dec 19, 2018 6:39 pm
I'm tweaking my dual mo stuff to the 12mo signal and a 6/3 mo weighted signal in 2019. 50% of the port to each signal. This is a small change to my current 10mo/5mo approach.
Interesting. Expectant results?
No idea. They both backtest well with the ST clocking the 12mo one by a good stretch in more recent years. However, the main thing for me is that the odds are better for longer term success as I'm going to get the average of whatever they end up doing in the future. It would be nice to know which one is going to be best for the next 15 years, but no one does. Additionally, the look back periods perform differently based on market type so there is some system diversification benefit. The LT is best for most of the ride during long term bull markets normally, while the ST is better for choppier markets and absolutely kills it coming out of bear bottoms.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by InsuranceGuy » Thu Dec 20, 2018 8:39 pm

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

Post by Kbg » Fri Dec 21, 2018 6:58 am

IG,

Definite downside to ST is taxes. You will have to explain the volatility filter application. Using a ST look back and volatility is kinda the whole point of going shorter...ie take advantage of shorter term movements.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by InsuranceGuy » Fri Dec 21, 2018 9:51 am

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

Post by ochotona » Sat Dec 22, 2018 6:46 pm

It truly sucks to get a sell signal when so deeply oversold. If we don't get a post-Christmas window dressing rally, I might not sell immediately on Dec 31 / Jan 1, I might wait for a bounce back towards 2600. I'm already only 40% equities so I'm not so deeply committed that I have to drop the hot potato.

I'll bet lots of tax loss harvest selling has taken place this year.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by HappyMan » Sat Dec 22, 2018 9:37 pm

ochotona wrote:
Sat Dec 22, 2018 6:46 pm
It truly sucks to get a sell signal when so deeply oversold. If we don't get a post-Christmas window dressing rally, I might not sell immediately on Dec 31 / Jan 1, I might wait for a bounce back towards 2600. I'm already only 40% equities so I'm not so deeply committed that I have to drop the hot potato.

I'll bet lots of tax loss harvest selling has taken place this year.
Takes some guts to recognize it. May follow your example. Keep it posted.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Sun Dec 23, 2018 12:22 am

Pity of it was I was thinking about trading mid and end month, but laziness took over.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Sun Dec 23, 2018 5:15 pm

With only five trading days left, I don't see how GEM could possibly remain in equities. The S&P 500 would have to close above 2674 on December 31. It seems highly unlikely.

I am putting in limit orders to try to catch a bounce to the 2600 level.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Fri Dec 28, 2018 4:46 pm

No big bounce to 2674. Looks like I'm selling Monday. It has been a good run since 4/2016. My port will be about 10% gold, 12% cash, 5% equities, the rest 2-7 year T-Notes. Big bet placed on the US Treasury!
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by HappyMan » Sat Dec 29, 2018 1:55 am

TREASURIES-U.S. 10-year yield hits 10-month lows amid Wall St volatility
https://www.reuters.com/article/usa-bon ... SL1N1YX139
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by thisisallen » Sat Dec 29, 2018 9:19 am

It is impressive that you are adhering to your system at this time, that means, you are locking in a loss of about 8.5% in equities for this year (according to the stats at https://indexswingtrader.blogspot.com/p ... gnals.html). Have you done this previously? In other words, what gives you the confidence that the system can overcome a significant loss?
I am new at investing and obviously more risk adverse. I would greatly appreciate hearing any comments you would share.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by modeljc » Sat Dec 29, 2018 1:03 pm

ochotona wrote:
Fri Dec 28, 2018 4:46 pm
No big bounce to 2674. Looks like I'm selling Monday. It has been a good run since 4/2016. My port will be about 10% gold, 12% cash, 5% equities, the rest 2-7 year T-Notes. Big bet placed on the US Treasury!
Like to hear how many trades and what did you NET over a buy and hold 100% SPY. In other words GEM vs SPY for the 4/2016 to Monday.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Sat Dec 29, 2018 4:44 pm

modeljc wrote:
Sat Dec 29, 2018 1:03 pm
ochotona wrote:
Fri Dec 28, 2018 4:46 pm
No big bounce to 2674. Looks like I'm selling Monday. It has been a good run since 4/2016. My port will be about 10% gold, 12% cash, 5% equities, the rest 2-7 year T-Notes. Big bet placed on the US Treasury!
Like to hear how many trades and what did you NET over a buy and hold 100% SPY. In other words GEM vs SPY for the 4/2016 to Monday.
PortfolioVisualizeronly works in whole years, not months, for Dual Momentum

That said, from 1/1/16 to now GEM CAGR = 8.67%, for S&P500 = 13.07%. GEM was about like 65/35 portfolio.

I feel perfectly OK with that, the S&P 500 has been the leading market for years, but on a point-forward basis will it be? Easy to say in hindsight one should've stuck with the S&P 500, but recall how things were on 1/1/16; really rough, about like now. Also GEM popped out to bonds EARLY 2008. Would it have been right to stick to the S&P 500 then?

GEM will out-perform on a full market cycle basis, and reduce risk between now and retirement day.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by modeljc » Sat Dec 29, 2018 5:41 pm

ochotona wrote:
Sat Dec 29, 2018 4:44 pm
modeljc wrote:
Sat Dec 29, 2018 1:03 pm
ochotona wrote:
Fri Dec 28, 2018 4:46 pm
No big bounce to 2674. Looks like I'm selling Monday. It has been a good run since 4/2016. My port will be about 10% gold, 12% cash, 5% equities, the rest 2-7 year T-Notes. Big bet placed on the US Treasury!
Like to hear how many trades and what did you NET over a buy and hold 100% SPY. In other words GEM vs SPY for the 4/2016 to Monday.
PortfolioVisualizeronly works in whole years, not months, for Dual Momentum

That said, from 1/1/16 to now GEM CAGR = 8.67%, for S&P500 = 13.07%. GEM was about like 65/35 portfolio.

I feel perfectly OK with that, the S&P 500 has been the leading market for years, but on a point-forward basis will it be? Easy to say in hindsight one should've stuck with the S&P 500, but recall how things were on 1/1/16; really rough, about like now. Also GEM popped out to bonds EARLY 2008. Would it have been right to stick to the S&P 500 then?

GEM will out-perform on a full market cycle basis, and reduce risk between now and retirement day.
Thanks! I thought that was the answer but was unsure. How many trades did you make? Any whipsaws?
Also tax and commissions pay a part.
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