DoesMIWork’s Activity

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DoesMIWork replied to the Mechanical Investing board. 2 hours ago

Re: Variable Hedging in ETF Rotation

Rayvt,

A lot of the hi beta ETF use a "secret recipe", which may be just garbage, but I think RSP does hold some water. Here's a backtest for a do-it-yourself RSP, quarterly rebalancing:

[more]

Fri Jan 30

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DoesMIWork replied to the Mechanical Investing board. 12:35 PM

Re: Variable Hedging in ETF Rotation

I've been sitting, thinking ETF rotations for a while and here are my thoughts:

1) Rotational screens based on ETFs have short backtesting periods because ETFs are relatively new. Any five year tests like the Seeking Alpha article have to be [more]

Sun Jan 25

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DoesMIWork replied to the Mechanical Investing board. 10:33 PM

Re: ETF rotation system with zero trading costs

Rana,

Sorry, I did not know it was a Growth AND Income fund. I tried a capital appreciation fund, FDCAX, but it actually made the backtest worse. If you or anyone else can find another fund that goes back that far, please feel free to [more]

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DoesMIWork replied to the Mechanical Investing board. 7:01 PM

Re: ETF rotation system with zero trading costs

Rana,

I pulled the backtest further back by substituting (as best I could) the following:

VUG---->FGRIX (growth)
DBC---->VGPMX (commodity)
VNQ---->FRESX (REIT)
VGK---->FIEUX (Europe)
TLT---->VUSTX (LT [more]

Fri Jan 23

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Boards Post

DoesMIWork replied to the Mechanical Investing board. 1:03 PM

Re: Who succeeds in MI, and who fails.

" 3rd – I think the successful people stick with the same screens, even if they have a bad year or so."

I still think that you have to be open to change, a possibility that you might be wrong, or you overlooked [more]

Thu Jan 22

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DoesMIWork replied to the Mechanical Investing board. 3:41 PM

Re: Who succeeds in MI, and who fails.

heink, MI,

Wasn't there a 4% rule from Martin Zweig, that was based on an equal weight index (Value Line)? We could plug kwealth's RSP approximations into the data and get a timing model, similar to Zwieg's?

DoesMIWork

Mon Jan 19

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DoesMIWork replied to the Mechanical Investing board. 11:02 PM

Re: Who succeeds in MI, and who fails.

"The top #1 thing is discipline."

Nothing is absolute. Not all that simple. I created a few rotational models which backtested well with crazy CAGRs. Then I put some real money into it and it was sinking and sinking fast! I [more]

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DoesMIWork replied to the Mechanical Investing board. 9:51 AM

Re: Stop Loss?

FC,

Finally I agree with you on something!

In addition, we cannot ask Robbie, Keelix, Gritton, or any other backtester to do this. They are already putting their free time, efforts and resources into all this. We should be grateful [more]

Sun Jan 18

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DoesMIWork replied to the Mechanical Investing board. 10:44 PM

Re: Stop Loss?

"Geez...the thing that bothers me about this thread is how loose folks are with backtesting results. Backtests characterize history. That's it. We hope the future resembles the past. "

I'll bet that you are using screens based on [more]

Sat Jan 17

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DoesMIWork replied to the Mechanical Investing board. 11:13 AM

Re: Stop Loss?

"If you are going to go with a rule-based mechanical method, then you must FOLLOW YOUR RULES at all times. And note that the rules need to be mechanical and *tested*, and based on empirical data, without reference to fear or other [more]

Fri Jan 9

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DoesMIWork replied to the Mechanical Investing board. 11:43 AM

Re: Calculating Actual ROI the Right Way

"we should always compare screen performance relative to an index"

Actually, there one thing that matters:

Did it make money post-discovery?

and maybe: Did it beat the simpler alternatives, like buy-and-hold [more]

Thu Jan 8

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DoesMIWork replied to the Mechanical Investing board. 7:08 PM

Re: Calculating Actual ROI the Right Way

"Why anyone would throw out two years of backtest data, because the S&P performed very well in one of them, is beyond me."

I wouldn't throw it out, but would take it with salt. A lot of screens did 100-200% in 2003, skewing the [more]

Tue Jan 6

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DoesMIWork replied to the Mechanical Investing board. 2:06 PM

Re: Blending at a Whole New Level -- 2014 Update

ww4321,

It makes me feel less incompetent.

What happened to seasonality? Nov-Dec-Jan, being the best months of the year?

What about the 3rd year in a presidential election cycle? Isn't it supposed to be the best [more]

Sat Dec 13

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DoesMIWork replied to the Mechanical Investing board. 6:35 PM

Re: OT: How Millionaires Invest

Bryan,

I just bought the internet stocks with the biggest names - YHOO, AOL,INSP, NSOL, etc.

Although I was not an MIer at the time, I did use something mechanical to diversify:

IBD had printed a list on the second Tuesday [more]

Fri Dec 12

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DoesMIWork replied to the Mechanical Investing board. 12:44 PM

Re: OT: How Millionaires Invest

Vez,

"If you have made lots and lots (lots*lots, perhaps) of money
in your portfolio, then you probably have much,
much more than will ever be needed by yourself or your
heirs.

So why should you abandon the path [more]

Tue Dec 9

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DoesMIWork replied to the Mechanical Investing board. 4:34 PM

Re: simple asset allocation SPY and TLT

That means CASH.

DoesMIWork

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DoesMIWork replied to the Mechanical Investing board. 12:49 PM

Re: simple asset allocation SPY and TLT

I know I keep asking this, but if TLT will suck, SPY is overvalued, GLD has its doubters, Cash has negative yield, then where is that marginal dollar of new IRA money going??? And no, productive farm, going on a cruise does not [more]

Mon Dec 1

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DoesMIWork replied to the Mechanical Investing board. 12:47 PM

Re: A problem for MI Screens

At least I now know that I am not alone in that my screens stunk this year. Misery now has company!

DoesMIWork

Wed Nov 26

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Boards Post

DoesMIWork replied to the Mechanical Investing board. 9:28 AM

Re: Another disciple of Permanent Portfolio

"the ability to handle large amounts of capital"

JeanDavid,

I don't have trillions either, but the point I was trying to make is the big macroeconomic picture. The marginal capital has to be allocated somewhere. If the [more]

Mon Nov 24

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DoesMIWork replied to the Mechanical Investing board. 7:05 PM

Re: Another disciple of Permanent Portfolio

Jim,

In an asset allocation strategy, the money has to go SOMEWHERE- and that pool has to be large enough to handle a lot of money, like trillions of dollars. JeanDavid, msg 253777, a few days ago referred to "productive farm" as [more]

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