Misc

This topic contains 62 replies, has 22 voices, and was last updated by  Mark Vincent 5 months, 1 week ago.

Viewing 15 posts - 1 through 15 (of 63 total)
  • Author
    Posts
  • #35700

    Alexander Horn
    Keymaster

    will bundle misc topics here for housekeeping

    #25398

    gselsidi
    Participant

    I posted this in the UIS 3X leveraged, before i found the forum.

    1. Can we back-test a strategy where instead of going long treasuries we go short the SPY?
    So either something like UPRO for 3x long S&P and SPXU for 3X short S&P.

    2. A Physical rotation strategy, is it possible to develop a strategy where you are physically buying/selling a commodity for example such as gold, silver, oil?

    The reason for strategy one is at one point in time the world will lose faith in the United States, and there might come a time where both equities and bonds both go down together. We can see turbulence in the bond market starting now.

    The reason for strategy 2, would be a loss of confidence in the worlds financial system. This does not have to be a doomsday scenario where the world never sets up a global financial system again, because they will. It’s for a scenario where a total temporary collapse occurs, and your assets may be completely lost or confiscated as we have seen in Cyprus and soon to be many other countries.

    A physical only type of system, would remove the risk of having your accounts in someone Else’s hands, for if a worst case scenario happens.

    Thanks,
    Elsid

    #27588

    Deshan Woods
    Participant

    I would like to see an aggressive MYRS using XIV. I would assume it would be like a 2x or 3x leverage version like the UIS strategy using SPXL.

    #27594

    Alexander Horn
    Keymaster

    Gselsidi, thanks for the proposals, appreciated!

    We are doing some work on a commodity strategy, specifically precious metals as you mention. However so far our analysis shows this would rather be used to complement an existing portfolio with a smaller percentage, than being a main driver of growth. Reason is that the equity lines from our tests do not show a reliable smooth growth path, but rather “years of opportunity” which then fade again, thus making it more feasible as an opportunistic mix rather than a constant adder. This is also the reason we have not published anything in this respect so far. Another issue is that some commodity markets suffer from roll-effects created by the underlying future markets, for example the oil market since prices went south last year, so it’s harder for our momentum algos to detect the underlying long lasting trends.

    On your proposal to use a short SP500 instead of bonds, this is a bit tricky to implement. Recall that our “crash protection method” relies fundamentally on the “save havens” which receive the money flow in crisis time. A strategy where you go long SPY when risky assets show a positive tendency and shift into short SPY when things go down might make sense as a rotation concept (inverting momentum), but does not offer any crash protection as itself. Another argument against shorting risky assets is that long term markets go up, thus by betting on falling prices you always loose – longer term.

    I really appreciate your ideas and not arguing against them – just trying to show some of the results from similar tests so far. Hopefully we can discuss further and come over these hurdles jointly in our discussion.

    #27596

    Alexander Horn
    Keymaster

    Deshan, compared to ZIV, the 4-7m inverted volatility, XIV, first month inverted volatility is drastically more volatile with some rather erratic price movements within a month timeframe, see below. This makes it little useful for “lazy” monthly or bi-monthly rotation strategies like we normally use. There are other blogs offering highly aggressive Volatility strategies on weekly or even daily mode, have a look at our blogroll.. Also keep in mind that we’re using inverse volatility more for harvesting the “frear premium” from the contango, than for the VIX price swings, and this effect is much stronger on the right half of the VIX term curve, e.g. ZIV.

    zivxiv

    #29869

    Is there a statistical way to measure objectively the degree of curve fitting of any model? Can one grade from 0-10, objectively, how curve fitted a model is? I understand that the more historical data the better; the more variables introduced into the model, the more curve-fitted. But I have yet to read about an objective statistical way to measure curve fitting. In the case of all your models, which show great simulated historical results, to what degree can we know that those results will hold in the future?
    Thanks,
    Michel

    #29985

    Jeroen
    Participant

    How about a “Go With The Flow” Strategy?

    Looking at the ETF Fund Flows reports at http://www.etf.com/etfanalytics/etf-fund-flows-tool I saw that their ETF Fund Flows data is available (see http://www.etf.com/etfanalytics/etfcom-data-products ). I wondered if the analysis of the flow of investors money into and out of different ETF classes might be an interesting ‘external’ source of information to build a strategy from. By external I mean not based on the actual price/performance, which all of your existing strategies are if I am correct.

    A quick search on Google showed that Deutsche Bank has published some promising research last year (14 May 2014): https://etf.deutscheawm.com/ESP/SPA/Download/Research-Global/16bfe77d-5e4c-48ab-adf6-0b0c50a8b6d0/Special-ETF-Research.pdf
    In fact it appears that since then they have published monthly updates to their TAARSS rotational strategy, here is the latest (5 October 2015) update, which also contains additional details of their methodology:
    http://pull.db-gmresearch.com/cgi-bin/pull/DocPull/1537-486C/91714753/0900b8c08a3de0f1.pdf

    I would be very interested if you would add such a strategy.

    #30445

    gselsidi
    Participant

    Hi Alex,

    Yes I wasn’t saying this is right or not. Was just throwing some ideas out and if you guys could look into those suggestions, and see how they perform. Another idea with a commodity strategy might be something where it’s all physical all the time, never transferring into cash.

    An example, of something like this would be trading the Gold/Silver ratio against each-other, this of course wouldn’t be your whole portfolio unless you so desired, but a 5-20% allocation.

    Trading the ratio against eachother would help you double or even triple “returns” as you end up accumulating more of the metals overtime as gold or silver become overvalued or undervalued to each-other. This of course is clearly a long long term investment strategy, just something I think should be examined given the current climate.

    Look at what happened in current day Germany during WW1 1oz gold went from 170 Marks to 88 TRILLION Marks!!!!!! We don’t know who the next Zimbabwe, Argentina, Germany, will be, could be the whole world for all we know. Given recent world governments actions to just confiscate private assets from people to bail in institutions would make it worth-while for a successful strategy in something physical as a form of insurance.

    Just my thoughts on some ideas that have been running through my mind.

    Best,
    Elsid

    #30446

    gselsidi
    Participant

    Quick questions about the posted Annual strategy returns. Are these true returns? What I mean by this is.

    If I invest $100,000 and lost -20% now I’m at $80,000 and made 30% which brings me to $104,000.
    If we just go by the % you would think you are up 10% (-20%+30%), but in reality you are only up +4%.

    Apologize for the silly question just wanted to be sure about the returns shown.

    Best,
    Elsid

    #30575

    trr
    Participant

    I understand that trend following strategies are vulnerable to losing their effectiveness on account of too many market participants getting wise to them. (See for example articles on the “Price Action Lab Blog” or Jim Simmons’ March 2015 Ted interview.) How vulnerable do you see the various Logical Invest strategies to this problem?

    #30941

    sfreewell
    Participant

    Alexander

    I understand that next month you’ll introduce your currency-hedged Gold strategy that plays Gold against other major currencies.
    I’ve been interested in the same thing sort of thing as I’m a dollar based gold investor that has seen my investment struggle
    while non$ based investors in gold are having a better time of it.

    I’m considering holding a gold position in other currencies, and am looking forward to your strategy. In the meantime,
    I was wondering what the mechanics of such a trade would entail. I imagine that I’d put on a short fx position equal to my
    gold long position. But when I do that in Euros for example, I don’t get the same results when I compare the p&l with a
    chart of gold priced in euros. I don’t know if I’ve explained this well enough, but any suggestions on what I might be doing wrong
    would be greatly appreciated.

    #30942

    Frank Grossmann
    Participant

    In the strategy we will propose to use double leveraged forex positions. This works better because the volatility of these ETFs (EUO, CROC, YCS) matches about the GLD volatility.

    #31790

    Deshan Woods
    Participant

    The way oil has moved over the past few years has been incredible. It tends to trend very well in whatever direction it goes. Seems like this type of product could easily fit into LIs algorithms. Could UWTI or any other oil tracking ETF product be reviewed to take advantage of current market movements?

    #31798

    Frank Grossmann
    Participant

    The problem with investing in oil using ETFs is the strong contango of oil futures. Today it is at about 8$ per year. This means that even if the spot oil price goes up 25% during a year, the ETF is still flat or even slightly negative. In fact you could always make a lot of money by shorting oil ETFs, but not by going long oil. Oil is very volatile. Prices can make huge unpredictable jumps on political or terror events. I tried to backtest strategies with oil ETFs, but I was never able to achieve good results.

    #34479

    Jason
    Participant

    Are there any plans for API access to the strategy subscription? As I am trying to use 3-4 of the strategies it’s getting difficult and time-consuming to do the re-balancing work every month (or every 2 weeks in some strategies). API access would really make things easy so I can script the fetching of the strategy update, auto re-balance and perform the trade programatically. Tks.

Viewing 15 posts - 1 through 15 (of 63 total)

You must be logged in to reply to this topic.