Comments on: Quant Approach to Tactical Asset Allocation Updates http://www.mebanefaber.com/2009/10/30/quant-approach-to-tactical-asset-allocation-updates/ Stock Market and Investing Blog of Mebane Faber Tue, 11 Oct 2011 15:24:53 +0000 hourly 1 http://wordpress.org/?v=3.2.1 By: salvadorveiga http://www.mebanefaber.com/2009/10/30/quant-approach-to-tactical-asset-allocation-updates/comment-page-1/#comment-4456 salvadorveiga Mon, 17 May 2010 02:59:42 +0000 http://www.mebanefaber.com/?p=1912#comment-4456 The drawdown on the slope MA on the 2000-2003 bear market was of 3% while on the Meb's 10 SMA was of -28%, this was due to the fact that the Dow Jones Industrial on that bear market was very "whipsawy The drawdown on the slope MA on the 2000-2003 bear market was of 3% while on the Meb's 10 SMA was of -28%, this was due to the fact that the Dow Jones Industrial on that bear market was very “whipsawy

]]> By: salvadorveiga http://www.mebanefaber.com/2009/10/30/quant-approach-to-tactical-asset-allocation-updates/comment-page-1/#comment-4457 salvadorveiga Mon, 17 May 2010 02:49:51 +0000 http://www.mebanefaber.com/?p=1912#comment-4457 if you use the same thing for the DOW JONES, it has a bigger sample of around 80 trades.<br><br>The results comply with what i posted previously on S&P.<br><br>The Meb's 10-SMA gives back 71 trades, where 36% were profitable... the average winner/average losing ratio is of 5.9 and is 64% of time on the market. It gives back 335k from an initial of 10k ....<br><br>The slope MA approach gives back 430k with 59 trades, where 50% of them were profitable and a winner/loser ratio of 6.8 ... average time on losing trades were 3 months, while average time on winning ones wass of 18.5 months<br><br><a href="http://rt2.t.prorealtime.com/ProRealTimeNew/tmp/img_12740462958341.gif" rel="nofollow">http://rt2.t.prorealtime.com/ProRealTimeNew/tmp...</a> if you use the same thing for the DOW JONES, it has a bigger sample of around 80 trades.

The results comply with what i posted previously on S&P.

The Meb's 10-SMA gives back 71 trades, where 36% were profitable… the average winner/average losing ratio is of 5.9 and is 64% of time on the market. It gives back 335k from an initial of 10k ….

The slope MA approach gives back 430k with 59 trades, where 50% of them were profitable and a winner/loser ratio of 6.8 … average time on losing trades were 3 months, while average time on winning ones wass of 18.5 months

http://rt2.t.prorealtime.com/ProRealTimeNew/tmp…

]]> By: salvadorveiga http://www.mebanefaber.com/2009/10/30/quant-approach-to-tactical-asset-allocation-updates/comment-page-1/#comment-4458 salvadorveiga Mon, 17 May 2010 02:43:53 +0000 http://www.mebanefaber.com/?p=1912#comment-4458 That's fairly easy to test and i actualy use it on my system.<br><br>Check here for S&P: <a href="http://rt2.t.prorealtime.com/ProRealTimeNew/tmp/img_12740460538834.gif" rel="nofollow">http://rt2.t.prorealtime.com/ProRealTimeNew/tmp...</a><br><br>It outperforms by almost 50%, atlhough of course the statistical value may be of little value since it benefits from the major bull market from the 80's to 2000...<br><br>The 10-SMA from Meb gives back 22 trades, while by buying only when the slope of the MA is rising gives back 15 trades.<br><br>You can also create volatility bands above and under the MA so it takes the whipsaw a little... That's fairly easy to test and i actualy use it on my system.

Check here for S&P: http://rt2.t.prorealtime.com/ProRealTimeNew/tmp…

It outperforms by almost 50%, atlhough of course the statistical value may be of little value since it benefits from the major bull market from the 80's to 2000…

The 10-SMA from Meb gives back 22 trades, while by buying only when the slope of the MA is rising gives back 15 trades.

You can also create volatility bands above and under the MA so it takes the whipsaw a little…

]]> By: salvadorveiga http://www.mebanefaber.com/2009/10/30/quant-approach-to-tactical-asset-allocation-updates/comment-page-1/#comment-4455 salvadorveiga Mon, 17 May 2010 02:24:57 +0000 http://www.mebanefaber.com/?p=1912#comment-4455 why not hedge against it ? it doesn't take much... if you have a 100k portfolio you can hedge nowadays that 100k with 500-1000 dollars depending on the broker... you would sell in that case 100k short of dollars in order to protect your portfolio of currency fluctuations... why not hedge against it ? it doesn't take much… if you have a 100k portfolio you can hedge nowadays that 100k with 500-1000 dollars depending on the broker… you would sell in that case 100k short of dollars in order to protect your portfolio of currency fluctuations…

]]> By: salvadorveiga http://www.mebanefaber.com/2009/10/30/quant-approach-to-tactical-asset-allocation-updates/comment-page-1/#comment-4058 salvadorveiga Sun, 16 May 2010 21:59:42 +0000 http://www.mebanefaber.com/?p=1912#comment-4058 The drawdown on the slope MA on the 2000-2003 bear market was of 3% while on the Meb's 10 SMA was of -28%, this was due to the fact that the Dow Jones Industrial on that bear market was very "whipsawy The drawdown on the slope MA on the 2000-2003 bear market was of 3% while on the Meb's 10 SMA was of -28%, this was due to the fact that the Dow Jones Industrial on that bear market was very “whipsawy

]]> By: salvadorveiga http://www.mebanefaber.com/2009/10/30/quant-approach-to-tactical-asset-allocation-updates/comment-page-1/#comment-4057 salvadorveiga Sun, 16 May 2010 21:49:51 +0000 http://www.mebanefaber.com/?p=1912#comment-4057 if you use the same thing for the DOW JONES, it has a bigger sample of around 80 trades.<br><br>The results comply with what i posted previously on S&P.<br><br>The Meb's 10-SMA gives back 71 trades, where 36% were profitable... the average winner/average losing ratio is of 5.9 and is 64% of time on the market. It gives back 335k from an initial of 10k ....<br><br>The slope MA approach gives back 430k with 59 trades, where 50% of them were profitable and a winner/loser ratio of 6.8 ... average time on losing trades were 3 months, while average time on winning ones wass of 18.5 months<br><br><a href="http://rt2.t.prorealtime.com/ProRealTimeNew/tmp/img_12740462958341.gif" rel="nofollow">http://rt2.t.prorealtime.com/ProRealTimeNew/tmp...</a> if you use the same thing for the DOW JONES, it has a bigger sample of around 80 trades.

The results comply with what i posted previously on S&P.

The Meb's 10-SMA gives back 71 trades, where 36% were profitable… the average winner/average losing ratio is of 5.9 and is 64% of time on the market. It gives back 335k from an initial of 10k ….

The slope MA approach gives back 430k with 59 trades, where 50% of them were profitable and a winner/loser ratio of 6.8 … average time on losing trades were 3 months, while average time on winning ones wass of 18.5 months

http://rt2.t.prorealtime.com/ProRealTimeNew/tmp…

]]> By: salvadorveiga http://www.mebanefaber.com/2009/10/30/quant-approach-to-tactical-asset-allocation-updates/comment-page-1/#comment-4056 salvadorveiga Sun, 16 May 2010 21:43:53 +0000 http://www.mebanefaber.com/?p=1912#comment-4056 That's fairly easy to test and i actualy use it on my system.<br><br>Check here for S&P: <a href="http://rt2.t.prorealtime.com/ProRealTimeNew/tmp/img_12740460538834.gif" rel="nofollow">http://rt2.t.prorealtime.com/ProRealTimeNew/tmp...</a><br><br>It outperforms by almost 50%, atlhough of course the statistical value may be of little value since it benefits from the major bull market from the 80's to 2000...<br><br>The 10-SMA from Meb gives back 22 trades, while by buying only when the slope of the MA is rising gives back 15 trades.<br><br>You can also create volatility bands above and under the MA so it takes the whipsaw a little... That's fairly easy to test and i actualy use it on my system.

Check here for S&P: http://rt2.t.prorealtime.com/ProRealTimeNew/tmp…

It outperforms by almost 50%, atlhough of course the statistical value may be of little value since it benefits from the major bull market from the 80's to 2000…

The 10-SMA from Meb gives back 22 trades, while by buying only when the slope of the MA is rising gives back 15 trades.

You can also create volatility bands above and under the MA so it takes the whipsaw a little…

]]> By: salvadorveiga http://www.mebanefaber.com/2009/10/30/quant-approach-to-tactical-asset-allocation-updates/comment-page-1/#comment-4055 salvadorveiga Sun, 16 May 2010 21:24:57 +0000 http://www.mebanefaber.com/?p=1912#comment-4055 why not hedge against it ? it doesn't take much... if you have a 100k portfolio you can hedge nowadays that 100k with 500-1000 dollars depending on the broker... you would sell in that case 100k short of dollars in order to protect your portfolio of currency fluctuations... why not hedge against it ? it doesn't take much… if you have a 100k portfolio you can hedge nowadays that 100k with 500-1000 dollars depending on the broker… you would sell in that case 100k short of dollars in order to protect your portfolio of currency fluctuations…

]]> By: aaCharley http://www.mebanefaber.com/2009/10/30/quant-approach-to-tactical-asset-allocation-updates/comment-page-1/#comment-3428 aaCharley Fri, 18 Dec 2009 18:02:57 +0000 http://www.mebanefaber.com/?p=1912#comment-3428 I would like to see something presented which shows a chart of the rolling 12 month returns presented on a monthly basis. This is not a cumulative gain chart but a plot of the absolute return achieved over the previous 12 month period. I hope the information will show that the likelyhood of a positive return is very high. I would like to see something presented which shows a chart of the rolling 12 month returns presented on a monthly basis. This is not a cumulative gain chart but a plot of the absolute return achieved over the previous 12 month period. I hope the information will show that the likelyhood of a positive return is very high.

]]> By: rikhiggins http://www.mebanefaber.com/2009/10/30/quant-approach-to-tactical-asset-allocation-updates/comment-page-1/#comment-3424 rikhiggins Fri, 18 Dec 2009 04:03:48 +0000 http://www.mebanefaber.com/?p=1912#comment-3424 Can you add an aggressive model that buys an inverse ETF instead of moving to cash? Can you add an aggressive model that buys an inverse ETF instead of moving to cash?

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