Gyroscopic Investing

Och,

If you have not done so I highly recommend a segmented DM lookback approach vs 12mo lookback. I’m pretty convinced it’s a better method.

Kbg wrote: ↑Wed Jan 01, 2020 11:34 am Och,

If you have not done so I highly recommend a segmented DM lookback approach vs 12mo lookback. I’m pretty convinced it’s a better method.

I'm using a 3, 6 and 12 month averaged lookback now... but still only one trading signal, on or off. Not using tranches. It's part of the Economic Pulse service. The 12 month lookback GEM reporting is just for the benefit of those readers who may be interested.

ochotona wrote: ↑Wed Jan 01, 2020 7:34 pm

Kbg wrote: ↑Wed Jan 01, 2020 11:34 am Och,

If you have not done so I highly recommend a segmented DM lookback approach vs 12mo lookback. I’m pretty convinced it’s a better method.

I'm using a 3, 6 and 12 month averaged lookback now... but still only one trading signal, on or off. Not using tranches. It's part of the Economic Pulse service. The 12 month lookback GEM reporting is just for the benefit of those readers who may be interested.

Mine it as follows:

Lookback starting at 63 market days and incrementing 21 market days up to 252 market days (3-12 mo LB) for a total of 10 independent lookbacks with each getting 10% of the DM portfolio. I like it MUCH better as it isn't so binary. Of interest it has actually had a small allocation to intl which is a first.

Kbg wrote: ↑Wed Jan 01, 2020 8:14 pm Mine is as follows:

Lookback starting at 63 market days and incrementing 21 market days up to 252 market days (3-12 mo LB) for a total of 10 independent lookbacks with each getting 10% of the DM portfolio. I like it MUCH better as it isn't so binary. Of interest it has actually had a small allocation to intl which is a first.

Lots of little moves... very well thought out. Congratulations. I ran into a trading problem at Schwab yesterday because of my order size, I wonder if tranching is in my future.

Order too large - a really, really, really good problem to have. Definitely first-world Asian / Causasoid problem.

ochotona wrote: ↑Fri Jan 03, 2020 8:15 am

Kbg wrote: ↑Wed Jan 01, 2020 8:14 pm Mine is as follows:

Lookback starting at 63 market days and incrementing 21 market days up to 252 market days (3-12 mo LB) for a total of 10 independent lookbacks with each getting 10% of the DM portfolio. I like it MUCH better as it isn't so binary. Of interest it has actually had a small allocation to intl which is a first.

Lots of little moves... very well thought out. Congratulations. I ran into a trading problem at Schwab yesterday because of my order size, I wonder if tranching is in my future.

Order too large - a really, really, really good problem to have. Definitely first-world Asian / Causasoid problem.

That IS a good problem to have...and if I were you I would be thinking about changing brokers to something like Interactive Brokers. In any event, I would be paying a huge amount of attention to execution issues which is hands down your biggest problem now if you are rolling bones that large. IIRC they (Schwab) also has a number to call for trading large orders...really, you can get creamed/screwed royally in costs that you are unaware of when trading large size. In all likelihood you are losing far more money in execution than even a pretty hefty commission. Order sophistication is a worthwhile topic to get up to speed on if you are not already.

On the incrementing...would love to say it was my idea, but I got it from Newfound who did a research report on it using GEM specifically...it definitely caught Antonacci's attention as I think he was pretty much compelled to respond which he did on his blog.

Also...incrementing isn't tranching. Subtle but key difference. Tranching is using the same system parameters traded on different dates. Incrementing is not being beholden to a specific lookback time period. The net effect of incrementing is that you get the mid point of a range of different lookbacks and greatly reduce your end result's association to pure timing luck.

I took a look at Interactive Brokers but it was a bit confusing ... will look at it again.

5 min later... IBKR has a flat rate plan of $0.005 per share. Well, using Schwab and MOC orders, I got exactly the closing price of the ETF, though I had to pay $25 for 6000 shares, or $0.00416 per share. Eh... it's all the same.

If you are doing MOC, you are likely OK. At least you get an actual market price vs. computer algos dueling it out.

The GEM portfolio is in US Equities for February 2020 (SPY, IVV, VOO, SCHX). I don't think anything will happen tomorrow that could change that in the next 18.5 hours.

[deleted]

The GEM portfolio is in US Equities for March 2020 (SPY, IVV, VOO, SCHX).

Obviously, huge changes are underway. If the S&P 500 closes down another roughly 4% or so by the end of March, GEM will be in bonds.

Compared to some other strategies, GEM is a slow reactor. That's why people like it and dislike at the same time. We just went a year with no trades, right? Nice and easy. But now GEM is still invested while some other strategies have gone to safe-haven assets already. The waiting can be agonizing.

You just have to decide ahead of time what kind of strategy you want, and then stick to it. You have to be able to sleep at night. No one can answer that for you, you have to answer it for yourself.

I see HPBB is down about 5% from Feb 19, that's super. I'm very happy for all of the HBPP investors.

By now I don't think it's a violation of IP to say that Paul Novell's newsletter got me out of equities at the end of February. Every TAA strategy is out or will be out at their next trading date. I was only 55% equities to begin with the moment the dam broke, so I am down 3.3% right now. I think that's a huge win.

If gold pukes down 25% like it did in 2008, I'm a buyer in the $1050 - $1250 range again.

Congrats!

Did the newsletter explicitly say "Get out!" or was it your calculations based on the information in the newsletter?

I got an email 30 min before market close advising me to sell. Emotionally very easy. Push the button, logoff.

But I knew it was coming based on the moving average Paul uses.

Impressive!

How often those e-mails come?

I guess I will just wait to the end of the month and switch to bonds...I probably will be switching at the exact time bonds crater and stocks take off. Sometimes mechanical investing sucks!

HappyMan wrote: ↑Sun Mar 15, 2020 9:49 pm Impressive!

How often those e-mails come?

Weekly. Last day of the month also Fridays. But not on Friday when the last week of the month is that week.

I think the real-world applicability of the original idea behind this thread has been proven. I was 55% equities when the storm hit, 13% gold, 12% cash, rest bonds mostly short and intermediate term US Treasuries (everyone here knows I'm allergic to TLT, though I do have a few shares). So half trend-following, the other half sort-of the other three HBPP components.

When the storm hit, the bonds and gold zoomed, the cash was just cash, and then on 2/28 I pulled the rip cord. And I have a rule for getting back in. And even if the author of the newsletter were to stop sending them, I know enough about the method to keep on improvising my way through. He's very transparent with his paid members. It's Dual Momentum with embellishments and many variations to fit all tastes. And no, I don't get kickbacks.

I can't call it fun - but it wasn't a disaster. The airbags went off. The bike helmet worked.

InsuranceGuy wrote: ↑Mon Feb 03, 2020 2:00 pm 25% Momentum switching between the Nasdaq 100 and Cash based on the Philosophical Economics GT timing using S&P 500 and the Unemployement.

Very much like Paul Novell's SPY-UI model. Use SPY 6 mo moving average and the 12 mo moving average of the unemployment rate as a risk-on, risk-off.

Ochotona,

What is your rule for getting back in?

Keep us posted on when the newsletter suggests getting out of cash.

HappyMan wrote: ↑Mon Mar 16, 2020 8:28 pm Ochotona,

What is your rule for getting back in?

Keep us posted on when the newsletter suggests getting out of cash.

I can't give signals away, it's not my intellectual property

ochotona wrote: ↑Thu Mar 19, 2020 2:29 pm

HappyMan wrote: ↑Mon Mar 16, 2020 8:28 pm Ochotona,

What is your rule for getting back in?

Keep us posted on when the newsletter suggests getting out of cash.

I can't give signals away, it's not my intellectual property

So it is indeed you on bogleheads.
Congratulations!

ochotona wrote: ↑Thu Mar 19, 2020 2:29 pm

HappyMan wrote: ↑Mon Mar 16, 2020 8:28 pm Ochotona,

What is your rule for getting back in?

Keep us posted on when the newsletter suggests getting out of cash.

I can't give signals away, it's not my intellectual property

No need. Very much like you did this time. Tell about a signal after enough time passed.

ochotona wrote: ↑Sat Mar 14, 2020 8:31 am By now I don't think it's a violation of IP to say that Paul Novell's newsletter got me out of equities at the end of February. Every TAA strategy is out or will be out at their next trading date. I was only 55% equities to begin with the moment the dam broke, so I am down 3.3% right now. I think that's a huge win.

If gold pukes down 25% like it did in 2008, I'm a buyer in the $1050 - $1250 range again.

I saw your post in the BH thread that tech linked to. Maybe I'll have to go re-read it, I thought you told them you sold 90% of your stocks. I do remember you saying it was a cool million that you saved from the debacle, so prost to you!

ochotona wrote: ↑Sat Mar 14, 2020 8:31 am I see HPBB is down about 5% from Feb 19, that's super. I'm very happy for all of the HBPP investors.

By now I don't think it's a violation of IP to say that Paul Novell's newsletter got me out of equities at the end of February. Every TAA strategy is out or will be out at their next trading date. I was only 55% equities to begin with the moment the dam broke, so I am down 3.3% right now. I think that's a huge win.

If gold pukes down 25% like it did in 2008, I'm a buyer in the $1050 - $1250 range again.

Neat. I was a bit over 55% equities and did not pull a rip cord at the end of February, and am down 17-18% from the peak.
Not the end of the world, but 3.3% would feel like Christmas morning.

dualstow wrote: ↑Fri Mar 20, 2020 7:16 am

ochotona wrote: ↑Sat Mar 14, 2020 8:31 am I see HPBB is down about 5% from Feb 19, that's super. I'm very happy for all of the HBPP investors.

By now I don't think it's a violation of IP to say that Paul Novell's newsletter got me out of equities at the end of February. Every TAA strategy is out or will be out at their next trading date. I was only 55% equities to begin with the moment the dam broke, so I am down 3.3% right now. I think that's a huge win.

If gold pukes down 25% like it did in 2008, I'm a buyer in the $1050 - $1250 range again.

Neat. I was a bit over 55% equities and did not pull a rip cord at the end of February, and am down 17-18% from the peak.
Not the end of the world, but 3.3% would feel like Christmas morning.

I haven't checked from the peak but as of a short time ago I'm up 14.5% in the last 12 months and 0.7% YTD.
Pretty good, considering.

Better than pretty good. Excellent.