klouche’s Activity

Wed Apr 8

NL

Boards Post

klouche replied to the Mechanical Investing board. 2:18 PM

Re: Journal Communications (JRN)

Everybody on the board, estimate how much trading friction you incur in the average month. Send that dollar amount to the MI treasury, who will send it to Robbie as a gift. (Jamie has done a huge amount too, of course, but it's almost unfathomable [more]

Tue Mar 17

NL

Boards Post

klouche replied to the Mechanical Investing board. 6:13 PM

Re: Buffet's Pain

The asterisk is next to the row for the years 2008 to 2014 -- corresponding to the first row in your original table.

This goes to show that even if you have a backtest that kills the indexes over the long term, it can go through [more]

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klouche posted to the Mechanical Investing board. 1:52 PM

Buffet's Pain

Many (us and hedge fund managers)are beating themselves up for not keeping up with the S&P500 lately. Well, neither is Warren Buffet.

Business Insider pointed me to the annual letter, page 23. I took the data and isolated 2008 to 2014 [more]

Mon Mar 16

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Boards Post

klouche replied to the Mechanical Investing board. 12:32 PM

Re: Antonacci's Optimal Momentum in GTR1

Can you give a more specific detail as how you would make the additions to the universe? A more mechanical description?

Also what was your reasoning to have first 63 days look back then 210 days then 63 days look back? Wouldn't it make
[more]

Sun Mar 15

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klouche replied to the Mechanical Investing board. 1:06 PM

Re: Antonacci's Optimal Momentum in GTR1

Use Firefox. IE limits URL length.

NL

Boards Post

klouche replied to the Mechanical Investing board. 11:20 AM

Re: Antonacci's Optimal Momentum in GTR1

Here's a ~14 asset universe whittled down to 7 then to 5 then to 2. Using the bear catcher:

1990-2015
Avg
CAGR: 19.05
TR: 8,446.94
GSD(20: 17.89
DD(20): 10.14
MDD: (32.11)
UI(20): 6.82
Sharpe: 0.96 [more]

Sat Mar 14

NL

Boards Post

klouche replied to the Mechanical Investing board. 7:45 PM

Re: SectorSurfer

It looks like they have produced ETF based, asset class screens similar to what many of us have done in GTR1.

Nice dashboard, but I like a more basic tool where everything is based on controls that are visible.

Plus their standard [more]

Fri Mar 13

NL

Boards Post

klouche replied to the Mechanical Investing board. 4:07 PM

Re: Antonacci's Optimal Momentum in GTR1


^RUI System
CAGR: 12.7 8.0
TR: 85.6 49.4
GSD(20: 15.7 13.0
DD(20): 10.4 9.3
MDD: (20.3) (16.7)
UI(20): 4.8 4.8
Sharpe: 0.89 0.69
Beta(2: 1.0 0.6
TI(20): 12.7 14.8
AT: - 1.8 [more]

Thu Mar 12

NL

Boards Post

klouche replied to the Mechanical Investing board. 11:40 AM

Re: Way Way OT

Have you ever been to South Dakota? (Neither have I.)

Western South Dakota is interesting. Badlands, Mt. Rushmore, Black Hills, Deadwood (famous mining town), many large caves to explore.

However, it is a lonely place. From [more]

Sat Mar 7

NL

Boards Post

klouche replied to the Mechanical Investing board. 6:10 PM

Re: OT - Interesting retirement strategy

I agree with Ray and have played with his annual spreadsheet.

However, what if we don't replenish the cash side, if drawn from. After all, it is insurance for a catastrophe that may never happen, or happen only once in retirement. The cash [more]

Fri Feb 27

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Boards Post

klouche replied to the Mechanical Investing board. 6:05 PM

Re: Equal weighting VS Mcap weighting

Here's CW and EW for all 500 and then EW for the five 100 stock strata of the 500, from GTR1, since 1957.


CW500 EW500 1-100 101-200 201-300 301-400 401-500
CAGR: 10.4 12.6 10.1 11.3 13.2 13.0 14.8
TR: 31371 97222 26395 [more]

Wed Feb 25

NL

Boards Post

klouche replied to the Mechanical Investing board. 10:19 PM

Re: VFINX VS Equal weighted S&P 500

Yes, it would be very easy to do an SP500 EW at Foliofn. One could make five watch folios, each with 100 tickers, equally weighted at 1% each. Then have five equivalent folios in your main account with matching tickers. Every once in a while [more]

Tue Feb 24

NL

Boards Post

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

Re: VFINX VS Equal weighted S&P 500

Definitely the equal vs. market cap weight advantage. Plus Vanguard's fees are a drag.

Sun Feb 22

NL

Boards Post

klouche replied to the Mechanical Investing board. 7:50 PM

Re: hedge funds an utter disaster for years

Two Hedge Fund Managers walk into a bar:

http://www.fool.com/investing/general/2015/02/18/two-hedge-f...

A hilarious piece. [more]

Fri Feb 6

NL

Boards Post

klouche replied to the Mechanical Investing board. 3:34 PM

Re: ETF rotation system with zero trading costs

Sorry to hear about the rough start.

One of the take aways from the excellent "The Mathematics of Money Management: Risk Analysis Techniques for Traders" book is that you should start a new portfolio gradually. Over weeks and [more]

Thu Feb 5

NL

Boards Post

klouche replied to the Mechanical Investing board. 11:51 AM

Re: new index industry sector

All for it, but we've been using IYR and VNQ for years as holdings and for backtesting.

If the correlation has low correlation counterparts with other assets, then this is beneficial.

We've beat this horse pretty hard. Looks like [more]

Wed Feb 4

NL

Boards Post

klouche replied to the Mechanical Investing board. 1:22 PM

Re: Variable Hedging in ETF Rotation

Try this:

[more]

Tue Feb 3

NL

Boards Post

klouche replied to the Mechanical Investing board. 8:26 PM

Re: Variable Hedging in ETF Rotation

Much better, (returns 9+) using same universe:

[more]

Mon Jan 26

NL

Boards Post

klouche replied to the Mechanical Investing board. 5:26 PM

Re: ETF Rotation w/basic index funds

Older asset classes, recent performance, under performs newer ETFs, especially equal weighted.

Eight classes are:

US Stocks
REIT
exUS Stocks
Bonds
Energy
Tech
Gold
Emerging

Using for older asset [more]

Sun Jan 25

NL

Boards Post

klouche replied to the Mechanical Investing board. 1:30 PM

Re: ETF rotation system with zero trading costs

Other asset classes to consider:

EEM emerging markets, low correlation, boomed in the 2000s
GLD a pseudo currency play, an alternative to interest rates
QQQ where emerging business models are born

Also consider using RSP as [more]

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Big red star, 1000 posts Old School Fool
Board Posts 2013
Recs Received 5718
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Very First Post Re: 1997 Spark Five (10/12/1998)
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