Tactical Asset Allocation + HBPP an intriguing combo

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

Post by thisisallen » Thu Jan 17, 2019 6:03 pm

This is Gary Anonacci’ rebuttal to the GEM analysis kink posted by Kbg previously in this thread
(https://blog.thinknewfound.com/2019/01/ ... entum-gem/)


https://www.dualmomentum.net/2019/01/wh ... m-gem.html
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Kbg
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by Kbg » Thu Jan 17, 2019 6:49 pm

Most interesting point...does use multiple in his proprietary models.

For me an important point...taxes. Performance going forward is unknown year to year. Taxes are not.
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ochotona
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Fri Jan 18, 2019 5:18 am

thisisallen wrote:
Thu Jan 17, 2019 6:03 pm
This is Gary Anonacci’ rebuttal to the GEM analysis kink posted by Kbg previously in this thread
(https://blog.thinknewfound.com/2019/01/ ... entum-gem/)

https://www.dualmomentum.net/2019/01/wh ... m-gem.html
Gary makes a compelling defense. I just learned that Novell's model is already just about ready to go back to equities based on a weekly close above the 13 week EMA. That's way too quick for me. That's short-termism, whipsaw city. 200 day MA, ok... 13 week EMA? Huh?

I like his compilation if economic data. But I wonder if I could just use the Ned Davis recession indicator (free for Schwab customers), or get the data myself for free, in combination with GEM, in order to trade GEM even less. We shall see, as a recession inevitably approaches someday.

Ned Davis and Novell are not signaling recession risk. Kind of makes the end of December equity exit look unnecessary. I could have used Ned Davis to sell down to 40% (their recent equity allocation) then just wait for a recession signal to confirm the momentum signal. At 40% equity you can tough out a correction. That's Golden Butterfly style.

Fewer good trades, not more. That's my goal.

But I like Novell's EM model. Reason enough to get Economic Pulse. Investors must have a way to play EM without getting crushed. Gary has EM in his proprietary model, but I'm not going to send my portfolio away out of my control and pay 1% to do so. I hate paying thousands I fees every quarter. It makes me ill.
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ochotona
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Fri Jan 18, 2019 5:30 am

It's not a burden to be 12% gold, 13% cash, 70% T-Bills, 5% stocks right now. It's like a vacation.
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buddtholomew
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by buddtholomew » Fri Jan 18, 2019 7:47 am

ochotona wrote:
Fri Jan 18, 2019 5:30 am
It's not a burden to be 12% gold, 13% cash, 70% T-Bills, 5% stocks right now. It's like a vacation.
Ouch...missed a huge rally...
thisisallen
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by thisisallen » Fri Jan 18, 2019 8:10 am

https://www.dualmomentum.net/2019/01/wh ... m-gem.html
[/quote]

Gary makes a compelling defense. I just learned that Novell's model is already just about ready to go back to equities based on a weekly close above the 13 week EMA. That's way too quick for me. That's short-termism, whipsaw city. 200 day MA, ok... 13 week EMA? Huh?

I like his compilation if economic data. But I wonder if I could just use the Ned Davis recession indicator (free for Schwab customers), or get the data myself for free, in combination with GEM, in order to trade GEM even less. We shall see, as a recession inevitably approaches someday.

Ned Davis and Novell are not signaling recession risk. Kind of makes the end of December equity exit look unnecessary. I could have used Ned Davis to sell down to 40% (their recent equity allocation) then just wait for a recession signal to confirm the momentum signal. At 40% equity you can tough out a correction. That's Golden Butterfly style.

Fewer good trades, not more. That's my goal.

But I like Novell's EM model. Reason enough to get Economic Pulse. Investors must have a way to play EM without getting crushed. Gary has EM in his proprietary model, but I'm not going to send my portfolio away out of my control and pay 1% to do so. I hate paying thousands I fees every quarter. It makes me ill.
[/quote]

Does NEd Davis Research have a good track record of accurate predictions?
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ochotona
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Fri Jan 18, 2019 11:07 am

buddtholomew wrote:
Fri Jan 18, 2019 7:47 am
ochotona wrote:
Fri Jan 18, 2019 5:30 am
It's not a burden to be 12% gold, 13% cash, 70% T-Bills, 5% stocks right now. It's like a vacation.
Ouch...missed a huge rally...
Not if it's a bear market rally! They are often rippin'

Zerohedge, Charlie McElligott
What this means, somewhat ironically, is that while everyone was blaming the algos for the December meltdown, even though nobody has "accused" the algos of creating the ongoing meltup, investors and traders know very well that the move higher is not organic, but is purely the result of systematic, algo and various other quant traders forcibly buying as a result of key technical market levels being hit. Unfortunately for the few humans left trading stocks, this is not a buying signal, which likely means that just like in January of 2018 when retail investors finally capitulation and rushed into stocks just ahead of the February 2018 correction, so this time too it is likely that the algos will keep buying until everyone else jumps into the pool... at which point the market will once again take the elevator down.
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buddtholomew
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by buddtholomew » Fri Jan 18, 2019 1:28 pm

ochotona wrote:
Fri Jan 18, 2019 11:07 am
buddtholomew wrote:
Fri Jan 18, 2019 7:47 am
ochotona wrote:
Fri Jan 18, 2019 5:30 am
It's not a burden to be 12% gold, 13% cash, 70% T-Bills, 5% stocks right now. It's like a vacation.
Ouch...missed a huge rally...
Not if it's a bear market rally! They are often rippin'

Zerohedge, Charlie McElligott
What this means, somewhat ironically, is that while everyone was blaming the algos for the December meltdown, even though nobody has "accused" the algos of creating the ongoing meltup, investors and traders know very well that the move higher is not organic, but is purely the result of systematic, algo and various other quant traders forcibly buying as a result of key technical market levels being hit. Unfortunately for the few humans left trading stocks, this is not a buying signal, which likely means that just like in January of 2018 when retail investors finally capitulation and rushed into stocks just ahead of the February 2018 correction, so this time too it is likely that the algos will keep buying until everyone else jumps into the pool... at which point the market will once again take the elevator down.
Sorry to laugh but how can you possibly put your financial future at risk listening to commentary on Zerohedge. Ocho, I like you a lot but please don’t follow this nonsense as if it were gospel. Trying to avoid the next decline is hopeless; I prefer buying into the decline when it occurs rather than running from it. I implore you to check % for lost opportunity rather than repeat the mistake of all in/all out again.
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ochotona
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Fri Jan 18, 2019 1:42 pm

You don't understand, Budd.

McElligott is with Nomura Securities.. not ZH. He had an hour long podcast on macrovoices.com this week. I heard it yesterday. He called the Feb 18 sell off event, he says more is to come. I just cut and pasted from ZH because they had conveniently transcripted his audio.
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buddtholomew
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by buddtholomew » Fri Jan 18, 2019 2:07 pm

ochotona wrote:
Fri Jan 18, 2019 1:42 pm
You don't understand, Budd.

McElligott is with Nomura Securities.. not ZH. He had an hour long podcast on macrovoices.com this week. I heard it yesterday. He called the Feb 18 sell off event, he says more is to come. I just cut and pasted from ZH because they had conveniently transcripted his audio.
Got it. Good luck to you.
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ochotona
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Fri Jan 18, 2019 10:48 pm

GEM history since 1992:

April 1994 - November 1994: a cluster of whipsaws, GEM was down -0.6%, and buy & hold was up +3.6%. Oh damn, I'm an idiot!

GEM avoided most of two back to back bear markets... Tech Bubble 2000-2003, and Great Financial Crisis 2008-2009, each down -50%

October 2015 - March 2016: whipsaws, GEM was down -5.8%, buy &hold was up +8.3%. Oh, damn, I'm an idiot.

Every few years you have the pay the "Oh Damn, I'm an idiot" tax, but it's for your own good.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by InsuranceGuy » Fri Jan 18, 2019 10:58 pm

ochotona wrote:
Fri Jan 18, 2019 10:48 pm
GEM history since 1992:

April 1994 - November 1994: a cluster of whipsaws, GEM was down -0.6%, and buy & hold was up +3.6%. Oh damn, I'm an idiot!

GEM avoided most of two back to back bear markets... Tech Bubble 2000-2003, and Great Financial Crisis 2008-2009, each down -50%

October 2015 - March 2016: whipsaws, GEM was down -5.8%, buy &hold was up +8.3%. Oh, damn, I'm an idiot.

Every few years you have the pay the "Oh Damn, I'm an idiot" tax, but it's for your own good.
Great post, very true to momentum based systems.

My addition, which I believe you have stated in the past as well, is that this creates a less volatile and less rollercoaster-like ride. Come retirement it also reduces the risk of ruin and increases the safe withdrawal rate.
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