- 11/05/2015 at 1:56 pm #30488
Is there anyway to check how the strategy would have performed during the Nasdaq collapse during the dot-com bust in 2000 and during the credit crisis during 2008?11/11/2015 at 4:22 pm #30565
Just to expand on my question above. I see the back test is from 2009 during a period when QQQ was clearly out performing SPY. I was wanting your take on how the strategy would have behaved during 2000 to 2003 when QQQ was underperforming SPY and also during 2003 to 2009 when it was pretty much flat compared to S&P.
How do we protect during bear markets in this strategy – will it continue suggesting to buy the 4 top NASDAQ 100 stocks? Or will the strategy just suggest TLT/TMF only? My concern is continuing to buy NASDAQ stocks during a bear market will produce a significant drawdown..
Thank You for all the great information on the site…
Nikesh11/21/2015 at 1:16 pm #30647
I commend the team for building market timing, position sizing and stock picks into an integrated strategy, and striking the balance between trend and short-term mean rev.
However, could you talk about what out-of-sample testing has been done on this strategy? What’s the methodology for o-o-s testing and what is the performance of o-o-s vs in-sample backtests?
Most strategies i’ve seen (including most on Logical-Invest) underperform after the publish date (which reflects the out-of-sample regime).
– Which of the Logical-invest strategies have outperformed the benchmark after it was last edited? I’m looking to subscribe, but most listed strategies seem to have underperformed in 2015 (after they were published).11/23/2015 at 3:30 am #30652
The Nasdaq100 strategy had a maximum drawdown of 25% during the 2008 correction. As long as treasuries work as a save harbour asset, the strategy will allocate most of the money in long duration treasuries during a correction. It will also most probably switch to the low volatility Nasdaq 100 sub strategy.11/23/2015 at 4:12 am #30653
During bear markets, the strategy will most probably allocate a major part in long term treasuries if they continue to work as a safe haven asset. Most probably it will also switch to the low volatility Nasdaq 100 strategy. However if US equity enters a bear market, then it can well be that other strategies are a better choice. With the Nasdaq 100 strategy you depend only from the US market while other strategies like Global Market Rotation can then switch to foreign markets which have much lower valuations and may outperform the US market for some time.
So, it is always good to switch to strategies which did well in the near past. At the moment the Nasdaq 100 strategy is going very well. Strategies with which invest in foreign ETFs have problems because of the strong US$11/23/2015 at 4:58 am #30654
Our QuantTrader software allows to backtest with out of sampling lookback and volatility factor. We did this also for the Nasdaq 100 strategy. It means that the software always calculates the best lookback period and volatility factor based only on historical data. It will then use this settings to do the rankings for the next month investment. Every month the settings are recalculated using historical data. So the calculations never includes pricing data which would have been unknown when the end of the month allocations are calculated.
This year is a difficult year for momentum strategies. Markets go sideways without a clear momentum. This is a situation which we always had just before rates bagan to hike. Another problem is the bad performance of treasuries which is also due to the rate hike fear. Treasuries are a very important component to reduce risk and so a bad performance is bad for the whole strategy performance.
The third problem is the very strong US dollar which directly impacts the performance of unhedged foreign ETFs. Year to date the US$ surged 12% against the Euro. This means a loss of 12% for the Eurostox 50 ETF FEZ compared to the Euro denominated Eurostox 50 Index.
Historically the markets normalized some months after the first rate hike. These periods of uncertinity have always been quite short compared to markets with up (bull) or down (bear) momentum.01/02/2016 at 11:36 pm #31180
I just noticed that he NASDAQ 100 strategy email for January 2016 has one stock different than the consolidated strategy as an overview. The email contains MSFT, but the consolidated strategy overview contains ATVI.01/03/2016 at 5:41 am #31181
It is MSFT, we updated the consolidated overview signls as well. Thank you.02/01/2016 at 11:36 am #31816
Back in late November, you said that the Nasdaq 100 strategy was going to be added to the custom portfolio builder. Is there an update to this as I still do not see it in the custom portfolio builder?02/05/2016 at 7:52 am #31849
Update as of April 2016: We have included the Nasdaq 100 strategy in our Excel custom portfolio builder which is a free download for all-strategy subscribers.07/15/2016 at 11:40 am #34514
Congratulations on how well your NDX 100 META strategy has been working!
Have a question on the rolling returns chart at the top of this page in the strategy’s summary section. Are the historical return charts buggy? I ask because on a total return basis the benchmark (SPY) is up 7.26 YTD (01-04-2016 thru 07-11-2016) based on data from both Thomson/Reuters and Bloomberg. As of today (07-15-2016) your chart shows the strategy’s benchmark YTD return as up 13.78 over those exact same dates.
I have not checked other strategies, but perhaps you could shed some light on this discrepancy.
Gordon07/15/2016 at 6:58 pm #34530
There is a slight bug in the charts. When clicking on the YTD button, the chart starts from the 1st trading day of the current year and not the last day of the previous year. If you go below and to the left of the chart, you will see two date fields. If you just click on the first field(From: 12-31-2015) and hit enter, the correct date will be used as input and the chart should show the expected return.09/05/2016 at 8:27 pm #35390
I’m a new subscriber and I noticed that today 6th September 2016 you are showing a 5% gain in the stock CHTR , however , that stock gapped up on the open of 1st September the day of your signals publication, so I’m puzzled how you could have got into that trade at the pre-gap price on 31 August ?
Also, do you publish you entry and exit prices for each trade ? Are you basing your returns on the open or close of the entry/exit days ?
Ivan09/06/2016 at 9:39 am #35394
Hello Ivan. You are right. We benchmark strategies a little different. Here is an excerpt from our F.A.Q.:
Q: To determine which ETFs to invest in the next month it appears that you use adjusted closing prices to determine performance of the previous period (e.g. 29 Feb to 31 Mar if just looking at 1 month) Is this correct?
A: Yes, that is true. We use adjusted closing prices.
Q: However when using the service the actual performance would be from the first day of the previous month to the first day of the following month (e.g. 1 Mar to 1 Apr). There could be significant gaps open or down between the end of the month and the start of the month. So which figures do you use for actual performance?
A: What we use as a performance ‘benchark’ is the close of the last day of the month to the close of the next day of the month (ie, close on June 31st to close on July 31st). This is for convenience in order to simplify our monthly performance report.
Real performance is from day and time of entry to next day and time of exit/entry. This depends on each subscriber’s timing and fill price and will deviate more or less from the model. In the long run, unless an edge exists, these deviations should even out. Sometimes one may get a better fill, sometimes not. If this is not true and there is consistent under-performance of buying the first day versus the last of the month then there is a very simple strategy that can profit from this edge and someone will arbitrage it away.09/08/2016 at 4:14 am #35427
Thanks for the reply.
I can understand the simplicity of using the calendar month for benchmarking returns, but from my perspective ( especially as a new user) , when I see significant gaps ( in this case >5%) being included in the performance data then it’s a bit unsettling as that return cannot be achieved . Ideally I want to be able to login, say hit the YTD or a date range button and see that the result is pretty close to what I am experiencing
Could you not just roll the reporting data forward to the close of the signal day ? In this way, every subscriber can theoretically attain the signal day close price, but its impossible for anyone to trade at the close of the previous day
Just my thoughts , but overall I’m happy with teh service you provide
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