Tactical Asset Allocation + HBPP an intriguing combo

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

Post by ochotona » Sat Dec 29, 2018 5:53 pm

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

Post by pugchief » 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....
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ochotona
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Sat Dec 29, 2018 7:23 pm

pugchief 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.
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