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

Viewing 15 posts - 31 through 45 (of 63 total)
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  • #39688

    StFrons
    Participant

    Being new to the LI methods and the forum I am wondering if anyone are using any particular execution strategies? From what I can see there is not a lot of talk about this, apart from the general idea of rebalancing being done within one or two days after receiving the signals. This seems a rather large window with a fair bit of fluctuation(?). Is it worthwhile trying to optimize execution with these fluctuations in mind, or will the risk of not being filled within the given time frame be to big?

    #39689

    Alexander Horn
    Keymaster

    Hello StFrons, welcome to the Logical Invest family!

    Several subscriber have a deferred retirement account without margin, where transactions are only settled after 3 or more days. This is mostly the biggest topic of discussion and concern.

    Other than that we do recommend to trade at open after the trading signals are received. But this is more to create a monthly habit, our backtests do not show a significant (>0.5%) deviation in returns if traded within 2 days.

    Execution is a big topic, it is important to use limit orders – or adaptive algos like Interactive Brokers offer – to reduce slippage and get good fills. But again, timing is rather on hour or day level, not minutes.

    Hope this answers, happy to further elaborate,
    Alex

    #39947

    rio chang
    Participant

    Hi all,

    I am very new here as I have just subscribed to LI only a month ago.
    My current meta strategies consists of NASDAQ100, MYRS, UIS 3X, GLD-USD.
    I understand the concept behind rebalancing once every month, but do we want to set stop loss for each stock/etf just in case if something unexpected and really bad happens before the next signal becomes available?
    Thanks!

    #39951

    Frank Grossmann
    Participant

    I studied all possible ways of stop loss limits, and the conclusion is, that whatever you do, it lowers the return of the strategies. The simple reason is, that you have a lot of up and down spikes during each month. Most of them can be considered as pure noise. They have nothing to do with the general trend of these ETFs, however they are strong enough to trigger the stop loss limits.
    But once you sold, what can you do then? Reinvest in the ETF which is best at this moment?
    If you do this, most of the time you realize a loss by selling low and you buy back high. This is the typical “sell low, buy high” strategy which many inexperienced investors are using.
    The use of stop loss limits may be good for trading highly volatile single stocks, but it is the worst thing to use, if you trade ETFs which follow longer lasting economic cycles.

    #39978

    rio chang
    Participant

    Thank you for your prompt reply and explanations!

    #41448

    luke
    Participant

    Hi all,
    Im having a look at your interesting services and I have a few questions concerning your strategies

    1) I really dont get the logic behind “monthly rebalance”.
    I think it should be better to rebalance “when needed”, eg. according to momentum, etc (weekly RSI, weekly MACD crossover, ..)

    2) Many of your strategies are diverging from backtest historic performance since live. Overfitting?

    3) Any advice on tax impact on BRS for a swiss investor (I see that Mr Grossman lives next door to me)

    4) Any chance to have the Excel portfolio builder compatible with LibreOffice?

    KR

    #41456

    Frank Grossmann
    Participant

    Grüezi KR
    1)Rebalancing “when needed” is used mainly for old style investing. You wait for example until some asset crosses the 200day moving average and then you sell the whole asset. This way to invest is not really good because you always wait until something gets bad and then you realize loss. Our strategies will rebalance even if the owned ETF is still doing quite well if there is another ETF which is doing better. Also we change allocations gradually when the market changes and this has to be done in regular intervals.
    2)The main reason is the up and down of the market 2015/2016. Each time the strategies go to risk off mode and then have to go back if the market recovers. This is in general bad for such strategies. If however once you are not lucky and don’t have an immediate recovery, then you are safe with a strategy which switched in risk off mode.
    3)Unfortunately you lose 1/3 of dividends due to the US witholding tax which adds up to 1-2% per year.
    4)No, we need special Excel formulas and macros

    #41468

    luke
    Participant

    Grüezi Frank )

    > 1)Rebalancing “when needed” is used mainly for old style investing. You wait for example until some asset
    > crosses the 200day moving average and then you sell the whole asset. This way to invest is not really good
    > because you always wait until something gets bad and then you realize loss.

    Well, we can switch ETF when the current one is leaving weekly RSI overbought area or similar rule.
    The point is not the rule but the choice to rebalance at every month last date and not, for example, once a month but on the “””best””” date according to strategy rules.

    > Our strategies will rebalance even if the owned ETF is still doing quite well if there is another ETF which is doing better.

    Good. Same point. Why not doing this once a month but on the date ETFB surpasses ETFA performances?

    > 2)The main reason is the up and down of the market 2015/2016. Each time the strategies go to risk off mode and
    > then have to go back if the market recovers. This is in general bad for such strategies.

    Well, 2010-2017 has been a quite long uptrend in the market.
    Would your strategies survive to a 2003-2006 period?

    Kind Regards
    Luke

    #41469

    John McLean
    Participant

    I am using Google Sheets with just minor modifications for the Spreadsheet. You just have to change the formulas for retrieving price data. Otherwise seems to work just fine.

    #43340

    rio chang
    Participant

    Would it be ok to change the meta strategy each time we do rebalance based on how good or bad each strategies does for the previous month?
    for example, if this month I am running a combination of 25% nasqad100 / 25% 3xUIS / 25% MYRS / 25% BRS for my meta strategy, however since Tesla got a big hit and lost 14% this month, should I change the nasqad100 % allocation or even swap to other strategy next month based on the performance?

    Or should I keep exactly the same strategy and allocation to avoid “buy high sell low” situation?

    Thanks!

    #43838

    rio chang
    Participant

    Would it be ok to change the meta strategy each time we do rebalance based on how good or bad each strategies does for the previous month?
    for example, if this month I am running a combination of 25% nasqad100 / 25% 3xUIS / 25% MYRS / 25% BRS for my meta strategy, however since Tesla got a big hit and lost 14% this month, should I change the nasqad100 % allocation or even swap to other strategy next month based on the performance?

    Or should I keep exactly the same strategy and allocation to avoid “buy high sell low” situation?

    Thanks!

    #43913

    Frank Grossmann
    Participant

    No, I don’t think it makes sense to change the meta strategy allocation each month. The problem is that if you would for example change from the Nasdaq 100 strategy to a safer strategy like Bond Rotation, then you profit only half if there is a recovery. It’s like selling half of your Nasdaq100 allocation and go to cash. This means that you realize a loss with no chance to recovery. The Nasdaq 100 strategy had a lot of such one month draw downs but it had even more really big monthly gains with single stocks surging 20% or more.
    However due to the high valuation of the Nasdaq100 and the normally underperforming summer period I would not invest too much in the Nasdaq100.

    #43947

    rio chang
    Participant

    Thank you for your clarification and advise!

    #44668

    Alexander Horn
    Keymaster
    #44669

    Alexander Horn
    Keymaster

    You can now use the “consolidated signals” functionality of QuantTrader to calculate number of shares. See: https://logical-invest.com/forums/topic/quanttrader-software-updates/

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