[Greg]

HI LI; Greatly anticipating the MetaStrategy and targeted volatility calc. Regarding the portfolio optimizer that looks back to 2008. Several of the LI strategies (MYRS, GMRE) have changed from top picks to a sharpe optmized pair. Also the UIS strategy goes through the same variation with time with a sharpe optimization. I assume the archived data on the portfolio optimizer incorporates these changes over time ?
Cheers, Greg

[Greg]

Hi Stephen; I’ve been using the GMRE and MYRS strategies and have only applied the STORMM indicators in a broad way with the monthly picks from GMRE. Most times the leading picks from momentum based systems are in overbought territory technically. My indicators can discriminate if new highs are in store next when ETFs are in overbought conditions – or if substantial declines will develop. I’ve applied this decision process montly in 2014 to GMRE and it allowed me to avoid the negative impacts of ILF and FEZ which helped increase the yearly gain.

Lately I’ve been using the UIS strategy with great success (thank you LI!) and the STORMM indicators are much more reliable with large markets like the SP500. Lately there have been several sell or short signals for the SP500 from the STORMM system and I’ve used these signals to take an equivalent (or larger) position in SPXS to balance my SPXL investment via UIS This has helped avoid loses in SPXL regardless of the investment amount. Now that LI has published the backtest of the UIS strategy I need to go back in the STORMM system and list the sell periods. This overlay would be interesting to compare if LI is interested. The SP500 STORMM signals are presented daily on my blog.

Cheers,
Greg

[Greg]

Thank you Frank for the reply. I have two comments. Being from a scientific background I’d very much like to see the numbers of backtest I suggested since I don’t have access to your UIS sharpe optimized software. It would be very interesting to see how the two bond alternatives performed for UIS during 2013 especially.
Regarding your ETF selection for shorting I have to agree the momentum strategies I’ve also tested do very poorly with backward looking momentum picks. As you’re aware I’ve developed a forward looking, momentum based signaling system that generates both long and short signals. I’ve been using it to compliment the SPX part of the UIS strategy and for the last few months has improved the performance of that part of strategy. Details can be found on my blog of this system at: https://hgpolites3.wordpress.com/ Thank you for your reply and in advance for running the backtests. Cheers, Greg

[Greg]

Hello LI: Regarding UIS, I’ve tried other bond strategies and have seen that Cliff Smith’s bond hedging strategy actually works better than just TMF alone particularly in periods of rising rates (declining bond prices) and declining equity prices (ie mid 2013). The link for Cliff’s strategy on SA: http://seekingalpha.com/article/2390625-conventional-hedging-may-not-work-in-a-rising-rate-environment

My limitation with this substitution backtest via ETF reply is I couldn’t vary the equity:bond ratio to maximize the sharpe ratio or for minimum volatility. Could you test this TMF substitution using your software and let us know the results.

Thanks,
Greg Polites

[Greg]

Hello LI: with the UIS strategy have you seen conditions where both SPY and TLT are positively correlated and have decreasing values? How does the strategy adjust to that setup? Does it go to cash for both? Thanks, Greg

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