Tactical Asset Allocation + HBPP an intriguing combo

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pmward
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by pmward » Tue Apr 14, 2020 10:46 am

Another thing to think about... a 60/40 with the 40 being PP, the 60 being stocks using a simple 12 week and 26 week EMA crossover to decide if in stocks or cash, and tilting stocks to the factor that had the most long term momentum (large cap growth, so using QQQ). Mind you, the ETF's limit the data to start at 2005, but still, that's not too shabby at all...
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https://www.portfoliovisualizer.com/tes ... odWeight=0
Last edited by pmward on Tue Apr 14, 2020 11:07 am, edited 2 times in total.
pmward
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by pmward » Tue Apr 14, 2020 10:51 am

And if you did no tilting and just went with SPY all around, still great. Less alpha, but still outperformed buy and hold stocks, only a 12% max drawdown which is lower than the PP alone, and a HIGHER Sharpe than the PP alone.
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ochotona
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Paul Novell's flagship strategy: SPY-COMP

Post by ochotona » Thu Apr 23, 2020 2:41 pm

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shekels
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Re: Paul Novell's flagship strategy: SPY-COMP

Post by shekels » Thu Apr 23, 2020 6:04 pm

Thanks..for the Link..
Following..
¯\_(ツ)_/¯
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Re: Paul Novell's flagship strategy: SPY-COMP

Post by HappyMan » Thu Apr 23, 2020 11:15 pm

Thanks for sharing!
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Re: Paul Novell's flagship strategy: SPY-COMP

Post by pmward » Fri Apr 24, 2020 11:42 am

Is there a place that shows what the 6 signals he follows are and the exact rules behind the system? I would be curious to see how the sausage is made.
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ochotona
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Re: Paul Novell's flagship strategy: SPY-COMP

Post by ochotona » Fri Apr 24, 2020 11:47 am

pmward wrote:
Fri Apr 24, 2020 11:42 am
Is there a place that shows what the 6 signals he follows are and the exact rules behind the system? I would be curious to see how the sausage is made.
He has some public blogs posts made before he paywalled the model.
https://investingforaliving.us/category ... ndicators/
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Re: Paul Novell's flagship strategy: SPY-COMP

Post by pmward » Fri Apr 24, 2020 12:11 pm

ochotona wrote:
Fri Apr 24, 2020 11:47 am
pmward wrote:
Fri Apr 24, 2020 11:42 am
Is there a place that shows what the 6 signals he follows are and the exact rules behind the system? I would be curious to see how the sausage is made.
He has some public blogs posts made before he paywalled the model.
https://investingforaliving.us/category ... ndicators/
So from what I can gather piecemeal, is that it's basically using these 6 economic indicators: https://investingforaliving.us/top-6-ec ... ndicators/

If one of those indicators flashes red, then it defers to the 200 day SMA. So to buy back, either stocks need to go above 200 day SMA or all 6 indicators need to go green?
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ochotona
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Re: Paul Novell's flagship strategy: SPY-COMP

Post by ochotona » Fri Apr 24, 2020 12:19 pm

pmward wrote:
Fri Apr 24, 2020 12:11 pm
So from what I can gather piecemeal, is that it's basically using these 6 economic indicators: https://investingforaliving.us/top-6-ec ... ndicators/
If one of those indicators flashes red, then it defers to the 200 day SMA. So to buy back, either stocks need to go above 200 day SMA or all 6 indicators need to go green?
Yes, to go risk-on you need above the SMA or all 6 economic indicators green. He has an error % on top of the SMA, so it would be slightly more than the SMA.
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Re: Paul Novell's flagship strategy: SPY-COMP

Post by HappyMan » Fri Apr 24, 2020 8:34 pm

ochotona wrote:
Fri Apr 24, 2020 12:19 pm
...

Yes, to go risk-on you need above the SMA or all 6 economic indicators green. He has an error % on top of the SMA, so it would be slightly more than the SMA.
Is this "secret sauce" on top of SMA your addition or his?
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ochotona
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Re: Paul Novell's flagship strategy: SPY-COMP

Post by ochotona » Fri Apr 24, 2020 8:53 pm

HappyMan wrote:
Fri Apr 24, 2020 8:34 pm
ochotona wrote:
Fri Apr 24, 2020 12:19 pm
...

Yes, to go risk-on you need above the SMA or all 6 economic indicators green. He has an error % on top of the SMA, so it would be slightly more than the SMA.
Is this "secret sauce" on top of SMA your addition or his?
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by decipede » Wed Apr 29, 2020 8:05 pm

ochotona wrote:
Sun Mar 15, 2020 4:35 pm
I got an email 30 min before market close advising me to sell. Emotionally very easy. Push the button, logoff.

But I knew it was coming based on the moving average Paul uses.
Ochotona, I was looking at Paul Novell's website after reading your posts and couldn't find some info.

The coronavirus decline began on Feb 19th and SPY dropped below 200MA on Feb 27th. So Paul's SPY-COMP would have signaled exiting the position, getting you out with minimal losses.

However, are his signals only at the end of the calendar month? What if the crash started on Feb 28th and bottomed out at the end of March? The portfolio would have taken a full 35% hit (much more than SPY-COMP's max drawdown till date). At least on the face of it, it seems like SPY-COMP has lucked out so far and may not be robust against drawdowns.

Does Paul address this concern and/or provide any way to mitigate that risk? And do you have any opinions on it?
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