Gyroscopic Investing

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.

With you, ochotona.

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Would be cool to continue comparing them. Keep 'em coming, IG.

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.

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?

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.

[deleted]

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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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.

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.

Pity of it was I was thinking about trading mid and end month, but laziness took over.

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.

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!

TREASURIES-U.S. 10-year yield hits 10-month lows amid Wall St volatility
https://www.reuters.com/article/usa-bon ... SL1N1YX139

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.

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.

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.

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.

I traded from bonds to US equities in April 16, at some point the model switched to international, then back again, and out on Monday 12-31-18.

Four trades in three years. Commission free ETFs. Trading losses due to bid/ask spread? Unavoidable but it doesn't keep me up at night. I am more conscious of that now, using bigger more liquid ETFs.

MangoMan wrote: ↑Sat Dec 29, 2018 6:41 pm

ochotona wrote: ↑Sat Dec 29, 2018 4:44 pm
GEM will out-perform on a full market cycle basis, and reduce risk between now and retirement day.

So will the PP....

Exactly so, which is why blending the two strategies makes so much sense.

Dual Momentum GEM has issued a SELL signal today. I sold today, only have a 5.5% equity allocation now, will keep these.

Alpharchitect current allocations

Zero exposure to domestic equities.
Zero exposure to international equities.
Zero exposure to REITs.
Zero exposure to commodities
Half exposure to long-term bonds.

From Allocate Smartly:
(The site analyzes tactical asset allocation strategies)

“TAA’s performance to start the new year is likely to be extreme (either extremely good or extremely mediocre). As we show in the data dump below, TAA is now postured very defensively. The average allocation to defensive asset classes stands at 88%. Those are levels not seen since the 2008-09 Global Financial Crisis. If we see a strong market recovery to start the year, TAA is going to be left underperforming on the sidelines. But if recent market weakness continues, TAA is going to be riding high and dry. This remains a “hero or zero” moment for TAA.”