Stock scream room

Discussion of the Stock portion of the Permanent Portfolio

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dualstow
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Re: Stock scream room

Post by dualstow » Fri May 17, 2019 1:52 pm

Kriegsspiel wrote:
Fri May 17, 2019 10:38 am
According to wikipedia, Paul Tudor Jones was attempting to buy up all the copies of that doc back in the day to prevent people from watching it. He didn't say why, but speculation is that it revealed too much of his methods.
Sounds like a ‘Monk’ episode...except, you know, he would’ve been covering up a murder.

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Re: Stock scream room

Post by mathjak107 » Fri May 17, 2019 3:36 pm

Kriegsspiel wrote:
Fri May 17, 2019 10:38 am
According to wikipedia, Paul Tudor Jones was attempting to buy up all the copies of that doc back in the day to prevent people from watching it. He didn't say why, but speculation is that it revealed too much of his methods.
my daughter inlaw worked for paul for many years up until last year as a matter of fact
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Kriegsspiel
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Re: Stock scream room

Post by Kriegsspiel » Fri May 17, 2019 9:43 pm

Oh yea? Small world. He seemed like a good dude in that doc.
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ochotona
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Re: Stock scream room

Post by ochotona » Fri May 24, 2019 12:14 pm

Sell in May Go Away reference:

https://stocktradersalmanac.com/Strategy.aspx

Seems well-paired to an HBPP philosophy. Rules-based, simple, infrequent actions, low cost. The ETF would be DIA, seems to work better with Dow than S&P 500. Backtested to 1950... I can't verify with PV.com

I just tested Sell in May on DIA and put it into the HBPP... for 2005-2019 data (admittedly a short period of time... GLD) you can run 61% Sell in May DIA and 13% all other assets, and get the same MaxDD but 94 extra basis points, which is pretty nice.

IT BEATS THE GOLDEN BUTTERFLY!

It's the kind of thing I could tell my daughter to implement for my wife and I when we've got drool coming out of our mouths.

Below is DIA vs DIA six best months... no other assets involved.

Image
D1984
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Re: Stock scream room

Post by D1984 » Sat May 25, 2019 2:00 am

ochotona wrote:
Fri May 24, 2019 12:14 pm
Sell in May Go Away reference:

https://stocktradersalmanac.com/Strategy.aspx

Seems well-paired to an HBPP philosophy. Rules-based, simple, infrequent actions, low cost. The ETF would be DIA, seems to work better with Dow than S&P 500. Backtested to 1950... I can't verify with PV.com

I just tested Sell in May on DIA and put it into the HBPP... for 2005-2019 data (admittedly a short period of time... GLD) you can run 61% Sell in May DIA and 13% all other assets, and get the same MaxDD but 94 extra basis points, which is pretty nice.

IT BEATS THE GOLDEN BUTTERFLY!

It's the kind of thing I could tell my daughter to implement for my wife and I when we've got drool coming out of our mouths.

Below is DIA vs DIA six best months... no other assets involved.

Image
Is there any reason to trust that "sell in May" will always continue to work, though? It worked great post 1950....but sucked before then; see:


https://www.cxoadvisory.com/calendar-ef ... -long-run/

https://www.forbes.com/sites/rickferri/ ... away-myth/

http://www.equityclock.com/2017/05/11/s ... y-12-2017/

So what exactly changed around 1949-50 to make it work? Will whatever it is continue into the future?
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Re: Stock scream room

Post by pmward » Sat May 25, 2019 8:05 am

Yeah just because something back tests doesn't mean it's not anything more than just random luck. In this case, a couple of the largest bear market drops happened to be between May and October, and a couple of the biggest rally's happened to be in the other months. These couple cases severely skew the data. If you take out those couple random outlier years you would come to a different conclusion. And, as last year showed, this isn't always the case. Sell in May and go away would have really burned someone last year.
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