Tactical Asset Allocation + HBPP an intriguing combo

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Kbg
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by Kbg » Tue Jan 29, 2019 9:35 am

Ref 2 3 vs 1 3...you want distinct time differentiation. That’s kinda the point if you are trying to diversify.

You could go 2 4 8 12 16 or whatever, but if you are seeking to mitigate the unknown then be distinct. Something like 3 4 or 11 12 isn’t doing much diversification.
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ochotona
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Tue Jan 29, 2019 3:50 pm

Kbg wrote:
Tue Jan 29, 2019 9:35 am
Ref 2 3 vs 1 3...you want distinct time differentiation. That’s kinda the point if you are trying to diversify.

You could go 2 4 8 12 16 or whatever, but if you are seeking to mitigate the unknown then be distinct. Something like 3 4 or 11 12 isn’t doing much diversification.
OK, but interesting thing, if you do 3 lookbacks, 11 12 13 months, you end up with CAGR / Drawdown / Sharpe results like a 12 month lookback, not surprising, but 20% fewer trades. You suppress the short-term noisiness of the signal by using the 1 month +/- dither. Less noise = less whipsaws.
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by Kbg » Tue Jan 29, 2019 5:50 pm

ochotona wrote:
Tue Jan 29, 2019 3:50 pm
Kbg wrote:
Tue Jan 29, 2019 9:35 am
Ref 2 3 vs 1 3...you want distinct time differentiation. That’s kinda the point if you are trying to diversify.

You could go 2 4 8 12 16 or whatever, but if you are seeking to mitigate the unknown then be distinct. Something like 3 4 or 11 12 isn’t doing much diversification.
OK, but interesting thing, if you do 3 lookbacks, 11 12 13 months, you end up with results like a 12 month lookback, not surprising, but many fewer trades. You clobber the noisiness of the signal by the 1 month +/- dither.
Valid...in this case you are doing something very similar to a 3 period moving average so you are getting some smoothing and reducing the odds for one off daily/monthly return spikes that throw a signal. The cost is a bit of lag.
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ochotona
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Tue Jan 29, 2019 6:50 pm

Not sure I agree any longer with Antonacci's assertion that you don't need stop-losses with GEM. The way I see it, an -7% stop-loss would have stemmed the bleeding somewhat in December, and would on average only fire off every five years on average. Any the investor doesn't have to do anything other than put the order. Hindsight is truly 20-20 !
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by Kbg » Tue Jan 29, 2019 7:58 pm

Stop losses always hurt system performance...and never use them on a LT system without equally clear reentry rules.
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Wed Jan 30, 2019 8:30 pm

After lots of fussing, I find I like GEM 3 6 9 12. I'm going to use it. The link is here. Fortunately, I'm 100% compliant with it right now... nothing to do.
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Thu Jan 31, 2019 8:09 pm

The regular GEM and 3-6-9-12 month (annualized performance scores) GEM are still both in bonds for February 2019.
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by HappyMan » Thu Jan 31, 2019 10:18 pm

ochotona wrote:
Thu Jan 31, 2019 8:09 pm
The regular GEM and 3-6-9-12 month (annualized performance scores) GEM are still both in bonds for February 2019.
Thanks for letting us know!

Trying to figure out how you conclude from the link to the Visualised Portfolio whether GEM 3-6-9-12 month needs to change?
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Fri Feb 01, 2019 5:09 am

HappyMan wrote:
Thu Jan 31, 2019 10:18 pm
ochotona wrote:
Thu Jan 31, 2019 8:09 pm
The regular GEM and 3-6-9-12 month (annualized performance scores) GEM are still both in bonds for February 2019.
Thanks for letting us know!

Trying to figure out how you conclude from the link to the Visualised Portfolio whether GEM 3-6-9-12 month needs to change?
You go to the "timing periods" tab, but it posts the next day. I also checked it by hand last night using PerfChart on Stock charts.com. I multiply the 3 mo score by 4, 6 mo by 2, and 9 mo by 1.3333 then divide the sum by 4.
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Sun Feb 03, 2019 8:56 am

By the way the DAA risk filter was

100% cash October November
50% cash December January
100% risk-on February

Weird.
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ochotona
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Sun Feb 03, 2019 7:13 pm

ochotona wrote:
Sun Feb 03, 2019 8:56 am
By the way the DAA risk filter was

100% cash October November
50% cash December January
100% risk-on February

Weird.
Ignore what I wrote. I think the DAA risk filter is complete BS. The time series makes zero sense.
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Wed Feb 06, 2019 7:01 am

ochotona wrote:
Wed Jan 30, 2019 8:30 pm
After lots of fussing, I find I like GEM 3 6 9 12. I'm going to use it. Fortunately, I'm 100% compliant with it right now... nothing to do.
More fussing, and going back to Occam's Razor. The GEM with 4 6 8 10 12 month lookbacks, "normalized" (annualized) weights works great, but didn't catch December 2018. But to catch December 2018 you have to heavily-weight 4 months, which to me seems like over-tuning the model to solve just one problem, which might break something else.
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