SL7

[Clive]

?

[LNGTERMER]

You might consider combining this strategy with 10 month sma strategy you referred to in the past(I forget the name). In this way you can exclude those below their 10month sma and divide the proceeds amongst the others. I am thinking this might filter the ones in a bear periods and will let you enter them once they re-enter a bull phase.

Caution however, moving averages are excellent during trending periods only. During range bound markets you suffer greatly by the zigzags. Remember every time you sell or buy you loose. A sufficient month SMA (Does not have to be 10) with some minor enhancements(such as adding the 7% band of stop loss below the SMA, and perhaps another 2% band above for the buys) might tilt the odds of trend spotting towards your favor. Actually the stop loss entry band must be adjusted to the specif asset's volatility levels otherwise you maybe stopped out unnecessarily too soon.

I do not have the time these days but I will develop a system one of these days to test the SL7. I believe this might have a chance so long it retains the PP asset diversification.

[escafandro]

Clive, Im trying to understand your SL7 but its hard with my limits with the english. Can you please explain the method more graphical or with simple examples?

I would like to know your opinion too about the 5/12 months SMA that Jim Otar recomends.

[brajalle]

Clive, I've read about your SL7 for a year or so now (both Bogleheads and here) - thanks for sharing.  I think it's a valid upgrade to the PP strategy in that it takes one of the asset classes I've been most nervous about holding due to performance reasons (cash), and effectively utilizes it, while still holding it somewhat consistently with the PP. 

I think the SLX PP deserves some detailed coverage and expansion - I think this would be of great interest to many people if distilled properly. 

You recently mentioned you moved to a SL10, I was curious if you could expand on that decision, possible implications (and any backtesting you've run). 

Is increased volatility good for SLX?  Ie, EDV subbed for LT, SCV or EM subbed for SP500, and, hrm, I have no idea for gold.  Do those sort of substitutions allow for easier gain harvesting, or do they become a wash with simply less lengthy holds?  Also, while I understand the ER differences and active management issues with comparing funds vs. ETF's, any practical comments for a novice trader (I've always just B&H @ Vanguard) on which is easier/more practical to use for SLX?

Thanks.

[brajalle]

Well, disappointing for me, but a great opportunity for you.  Hope it works out.  In the meantime, guess I'll just self educate. 

In case it is a robust opportunity, here's hoping to a fund I can buy!

[stone]

Clive, is a serious issue that traders "run the stops" so as to get people to sell up stocks to them at a bargain price? The quote below is about the May2010 flash crash but more recently I thought the same thing happened with oil futures?

"Individuals like to place stop loss orders, as countless magazine articles have told them to do, and we saw that on May 6. The crash sent IVV about 24.75% below than its previous close, significantly different than the underlying S&P 500 or even other ETFs that track the index.
HFT firms saw the stop orders in IVV, and their goal is to execute any customer order. The investor sought protection with the stop loss order, while a high frequency trader saw it as a request to trade from the client. Computers drove the price lower, until as many orders as possible were cleared from the market.
That is what individual investors need to know about HFT. The specifics shouldn’t matter because individuals can’t afford the data access. You need to know that market structure has changed, and that stop orders are now likely to be executed in a steep decline. Check the close, and enter a sell order for the next morning if you need to."

[Storm]

Clive,

I find it unsettling that you've removed the vast majority of your wisdom from these forums.  Your posts were like Einstein sharing knowledge of the universe - I could rarely understand 100% of the concepts but I know that if I read them enough I would absorb some small percentage and be a wiser investor because of it.

That being said, I completely understand why you did it - your new job opportunity most likely is making you some serious money and alpha is a zero sum game.

Best of luck to you, and I hope someday you are in a position where you can once again share some pearls of investing wisdom with us.

[Reub]

Clive, I'll put up with your swirling avatar if you repost your writings!

[Storm]

I thought you said earlier that you had a consulting opportunity come up re: your SL7 strategy and could no longer share information with us about it.  If not, I'm mistaken, but I always thought it was a good idea to archive extremely well thought out posts like yours rather than lose that knowledge forever.  The analysis might have holes in it, but certainly nobody here would hold it against you.