GEM Backtest Extended to 1950

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Kbg
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GEM Backtest Extended to 1950

Post by Kbg » Wed Oct 17, 2018 12:25 pm

A great post. It also has a very clear message that there are periods of under performance if your benchmark is the S&P 500. I think the message is clear...GEM under performs most of the time unless there are one of two conditions: 1) Extended foreign out performance 2) US Bear Market.

https://www.dualmomentum.net/2018/10/ex ... ities.html
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ochotona
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Re: GEM Backtest Extended to 1950

Post by ochotona » Wed Oct 17, 2018 4:25 pm

I will HAPPILY accept underperformance during bulls and much smaller drawdowns during bears. Ideally, I'd like my CAGR to the the same every year! What's not to like about his GEM growth of $10,000 chart, 1950-2018?

You can't have it both ways... the full unencumbered S&P 500 during bulls and the GEM or HBPP during bears.

GEM 60% and HBPP 40%. The ideal pairing for scaredy-cats who want some growth.
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Re: GEM Backtest Extended to 1950

Post by Kbg » Wed Oct 17, 2018 5:26 pm

I think a better choice might be his Composite Dual Momentum plus a cash allocation...of course this assumes momentum remains a good investment mechanism. PP has the advantage of being as "untiming" as you can get.
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ochotona
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Re: GEM Backtest Extended to 1950

Post by ochotona » Thu Oct 18, 2018 1:15 pm

Another -6% on the S&P 500 by Halloween and GEM will be out of equities. Another ten full trading days. "Interesting times".
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Re: GEM Backtest Extended to 1950

Post by InsuranceGuy » Sat Oct 20, 2018 9:35 am

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ochotona
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Re: GEM Backtest Extended to 1950

Post by ochotona » Sat Oct 20, 2018 9:52 am

InsuranceGuy wrote:
Sat Oct 20, 2018 9:35 am
ochotona wrote:
Thu Oct 18, 2018 1:15 pm
Another -6% on the S&P 500 by Halloween and GEM will be out of equities. Another ten full trading days. "Interesting times".
If you use volatility as an additional filter it is likely you would be holding less than 100% come Halloween just using current levels.
I think I'm doing that manually already. I folded up some positions what weren't working, they went below the 200 day MA, and I sold. I've been lightening up since February. Not driven by an algo, but selling down to my "sleep well at night" point.

What I'd really like Santa Claus to bring me is a back-tested trend-following algorithm that tries to minimize whipsaws and reduce the number of trades even below Antonacci's proclaimed 1.4 trades per year over the long term. I'd give up some CAGR and Sharpe Ratio for trade minimization.
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Re: GEM Backtest Extended to 1950

Post by InsuranceGuy » Sun Oct 21, 2018 4:57 pm

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ochotona
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Re: GEM Backtest Extended to 1950

Post by ochotona » Sun Oct 21, 2018 7:05 pm

Such a method would probably be very non robust
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Re: GEM Backtest Extended to 1950

Post by Kbg » Sun Oct 21, 2018 8:49 pm

I have a fairly robust back test capability and I can opine there are absolutely no freebies in this realm. It’s solely a matter of trade offs. If you want fewer annual trades then extend your look back period length. You can go out to about the two year point and still have the benefits of trend following. The trade off will be higher drawdowns. Whipsaw is also reduced at greater length periods as are tax events. Shorter periods drive up taxable events and tend to stay more in tune with the market and are particularly good when coming off bear bottoms...strikingly so. However, if the shorter look back length is out of phase with the markets action whipsaw can be brutal.

What look back periods work best going forward is absolutely unknowable and will be a function of market behavior. My personal approach is to assume I have no clue and I use two look back lengths and apply them separately to 50% of the portfolio. This way I’m guaranteed not to achieve the optimal possible but I will not get the worst possible either.
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Re: GEM Backtest Extended to 1950

Post by ochotona » Wed Oct 24, 2018 12:42 pm

I'm wondering if we will be selling on Nov 1... another 3% down from today's close and I'm out. I will keep my wife's stuff invested, her allocation is "coach potato" 50% equities, and a small portion of the family portfolio.
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Re: GEM Backtest Extended to 1950

Post by Kbg » Wed Oct 24, 2018 10:47 pm

I have several accounts and rotate through one each week...can’t imagine I won’t be going to bonds on my shorter lookback and I’m curious to see as well if the longer lookback will go as well. If I can remember to post I will this weekend. At min I expect to be 50% bonds in one account by Monday.
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Re: GEM Backtest Extended to 1950

Post by ochotona » Sat Oct 27, 2018 9:53 am

S&P500 down 10% from the peak, I'm down 3.8%. Seriously, if I get "GEM stopped-out" of stocks at less than a 5% loss from the all-time portfolio high, that would be pretty nice, particularly if we stay in fixed-income for a few months at least.
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Re: GEM Backtest Extended to 1950

Post by Kbg » Sat Oct 27, 2018 5:46 pm

I’m 100% bonds in the account I trade on Monday. Cash is exceeding both look back periods.
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Re: GEM Backtest Extended to 1950

Post by ochotona » Sat Oct 27, 2018 8:21 pm

You know what is working out to be a great momentum indicator? Whether I have a job. I'm not joking. I was laid-off from the oil industry (Schlumberger) in March 2015, and in late August 2015 the GEM hopped into fixed income. I was laid off again from the oil industry (Emerson) on September 21, a few weeks ago, and now GEM is hopping back into fixed income. I don't think that's a coincidence. I think where I sit in the oil industry is sensitive to basic economic flows, especially China.

Fortunately, I am working again as of November 1, and Halliburton might make me an offer next year, we had a great discussion yesterday.
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Re: GEM Backtest Extended to 1950

Post by ochotona » Sat Oct 27, 2018 8:28 pm

Kbg wrote:
Sat Oct 27, 2018 5:46 pm
I’m 100% bonds in the account I trade on Monday. Cash is exceeding both look back periods.
Autumn turns into Winter..
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ochotona
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Re: GEM Backtest Extended to 1950

Post by ochotona » Mon Oct 29, 2018 2:41 pm

Really looking poor now
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Re: GEM Backtest Extended to 1950

Post by Kbg » Mon Oct 29, 2018 9:20 pm

ochotona wrote:
Mon Oct 29, 2018 2:41 pm
Really looking poor now
GEM is a LT system. If I were trading short term I think the odds of a pretty solid snap back are good.
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Re: GEM Backtest Extended to 1950

Post by ochotona » Tue Oct 30, 2018 3:16 pm

If we hold on tomorrow, we stay invested
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Re: GEM Backtest Extended to 1950

Post by Kbg » Tue Oct 30, 2018 5:58 pm

Is that the 12m signal?
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ochotona
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Re: GEM Backtest Extended to 1950

Post by ochotona » Tue Oct 30, 2018 6:27 pm

Kbg wrote:
Tue Oct 30, 2018 5:58 pm
Is that the 12m signal?
I need the 12m total return to exceed 2.33%, the 90-day T-Bill rate.
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Re: GEM Backtest Extended to 1950

Post by dualstow » Wed Oct 31, 2018 12:08 pm

I'm not sure what thread to put this in, Ocho, but since you like momentum and moving averages, this is pretty neat.

( A SMALL CHART WITHIN A SINGLE CELL USING THE SPARKLINE FUNCTION )

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RIP Marcello Gandini
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Re: GEM Backtest Extended to 1950

Post by Kbg » Sat Nov 03, 2018 4:26 pm

ochotona wrote:
Tue Oct 30, 2018 6:27 pm
Kbg wrote:
Tue Oct 30, 2018 5:58 pm
Is that the 12m signal?
I need the 12m total return to exceed 2.33%, the 90-day T-Bill rate.
Second account rotated out to bonds...though it pains me to do as I'm relatively sure at least a temp snap back is going to happen.
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ochotona
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Re: GEM Backtest Extended to 1950

Post by ochotona » Sat Nov 03, 2018 4:29 pm

If we go sideways from here my portfolio could go to bonds in Dec or Jan...
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Re: GEM Backtest Extended to 1950

Post by Kbg » Sat Nov 03, 2018 4:41 pm

I think I'm going to tweak my "algo" at the first of the year. As mentioned I have a ST and LT DM lookback which I think is a better way to go over the long haul. In backtests it is very clear that they compliment each other as ST does way better at times and LT does way better at other times. I'm good with the average of the two and I like the time period diversification/not having all one's rocks in a single lookback basket.
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