KBGlenn’s Activity

Mon Jan 19

NL

Boards Post

KBGlenn replied to the Mechanical Investing board. 11:57 AM

Re: Stop Loss?

With regard to backtesting, I would say my most frequent mistake is goofing up on the exit conditions. It is very easy to slip up here if you aren't careful. As a general backtesting rule, I always test something I think promising using next day open [more]

Sun Jan 18

NL

Boards Post

KBGlenn replied to the Mechanical Investing board. 10:06 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.

What we know for sure is the [more]

Fri Jan 16

NL

Boards Post

KBGlenn replied to the Mechanical Investing board. 8:09 PM

Re: Stop Loss?

Pretty much every study I've ever read, and every backtest I've ever ran = don't do stop losses. If you look at the data what you will find is that over large sample sizes, generally, a loser is a loser. What most people don't pay as much attention [more]

Tue Dec 30

NL

Boards Post

KBGlenn replied to the Mechanical Investing board. 11:07 PM

Re: folio versus ib

I use both and I like both but I think they cater to two entirely different types of investor. Honestly if I were just trading stocks and all I wanted to do was buy and sell stock I would definitely go folio. It is much easier, more convenient and [more]

Mon Dec 22

NL

Boards Post

KBGlenn replied to the Mechanical Investing board. 2:14 PM

Re: "keep it simple" screen challenge:

But I'm not sure searching for a "best" screen over a 12-year period, with a requirement that you start with tr(1,252) top 80%, is the best way to find a reasonable way to invest going forward.

I agree, why not just three [more]

Wed Dec 17

NL

Boards Post

KBGlenn replied to the Mechanical Investing board. 5:15 PM

Re: simple asset allocation SPY and TLT

I actually got more concerned about the "Echoing a recent disturbing conclusion in the medical literature" statement...

Tue Dec 16

NL

Boards Post

KBGlenn replied to the Mechanical Investing board. 10:06 PM

Re: simple asset allocation SPY and TLT

I struggle with the rotation between stocks/bonds/commodities when I can't see how such a screen would behave pre-1980s. I dunno, maybe I'm way off here.

CXO Advisors and ssrn.com my friend. CXO for the [more]

Mon Dec 15

NL

Boards Post

KBGlenn replied to the Mechanical Investing board. 10:41 PM

Re: simple asset allocation SPY and TLT

Currently both the long bond and the equity markets are at or near all-
time highs. I'm not convinced they won't both fall together as well. These
asset rotation screens are all backtested through a relentless multi-
decade bond bull
[more]

Sun Dec 14

NL

Boards Post

KBGlenn replied to the Mechanical Investing board. 5:55 PM

Re: simple asset allocation SPY and TLT

What is it exactly that everyone is trying to accomplish with these asset rotation screens that can't be accomplished with regular stock screens? Is it a liquidity issue? Less trading? Because the results don't seem to be an improvement on most of [more]

Wed Dec 10

NL

Boards Post

KBGlenn replied to the Mechanical Investing board. 7:21 PM

Re: simple asset allocation SPY and TLT

There is really very little in common between the All-Weather / Permanent Portfolios and the methods of Faber and Antonacci. The former focus primarily on the asset class selection and the latter focus primarily on the continual rotation of your [more]

NL

Boards Post

KBGlenn replied to the Mechanical Investing board. 3:17 PM

Re: simple asset allocation SPY and TLT

One issue I think should get more discussion in TAA portfolios is the construction of them. At least to me, you need to be thinking about two broad items. The first is the momentum effect you are expecting to capitalize on and what should go into [more]

Tue Dec 9

NL

Boards Post

KBGlenn replied to the Mechanical Investing board. 8:24 PM

Re: simple asset allocation SPY and TLT

I would not argue with anyone who has posted about TLT and the potential for it not being a real great asset going forward. In a tactical approach, I wouldn't be so quick to dismiss it. In a mix with stocks it in fact remains one of the cheapest [more]

Sun Dec 7

NL

Boards Post

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

Re: IRA options question

Highly recommend IB...if it is legal it is doable there, and cheap.

NL

Boards Post

KBGlenn replied to the Mechanical Investing board. 4:30 PM

Re: OT: Crickets

Creativity is an interesting thing and hard to sustain. I think there is a ton of quant like things that could be discussed here and then apply the standard MI rules to them. However, historically the board has not been super welcoming/entertaining [more]

Sat Nov 22

NL

Boards Post

KBGlenn replied to the Mechanical Investing board. 5:45 PM

Re: Another disciple of Permanent Portfolio

Personally for me (and I will pull out certified MI old guy privileges on this one) PP meets all the requirements of MI.

Backtestable to 1972 - Check

Repeatable and defined rule set - Check

System is based on observed [more]

Thu Nov 20

NL

Boards Post

KBGlenn replied to the Mechanical Investing board. 8:44 PM

Re: Another disciple of Permanent Portfolio

May I offer a few observations/suggestions.

There is an epic thread on the Bogleheads Wiki that slices/dices and debates the PP in more ways than you can imagine. There are a couple of websites crawlingroad and gyroscopicinvesting dot com [more]

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Big red star, 1000 posts Old School Fool
Board Posts 1800
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Very First Post Re: Workshop Rankings (4/3/1999)
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