mikernorton

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  • in reply to: The S3 "Super Simple Strategy" #71965
    mikernorton
    Participant

    Tom, I really like your thought process here with the S3, I’m also trying to implement a simple strategy that avoids leveraged ETFs. However, I was curious why you would include inverse ETFs like TBF, as they tend to present similar risks as leveraged ETFs in terms of potential liquidity events and operational risk with the process of using derivatives to try to match daily moves. What happens to the numbers if you remove TBF?

    Mike

    in reply to: Strategy: Universal Investment Strategy #17695
    mikernorton
    Participant

    Thanks for the clarification Alexander. Just to make sure I fully understand,is the walk-forward testing completed annually (i.e. once per year at year-end), or do you conduct a new walk-forward test each rebalancing period using a rolling 12-month period for look back omtimzation? I’m just trying to understand how often the strategies change/update the look back period and f factor (i.e. once a year, each rebalance period, etc.) Thx.

    mike

    in reply to: Strategy: Universal Investment Strategy #17649
    mikernorton
    Participant

    You mention that the look back period is “optimized” usually 50-80 days. Can you be more specific? Do all of your strategies have an “optimized” look back period that is dynamically changing?

    in reply to: Strategy: Maximum Yield Strategy #17208
    mikernorton
    Participant

    Frank,

    While looking at historical price volatility of ZIV, I noticed that on December 30, 2014, ZIV declined by roughly 50% then subsequently bounced back 100% the next day (see chart below). I was wondering if you could shed any light on what happened to ZIV during this short time period. Also, wouldn’t this rapid decline and bounce-back significantly distort the modified Share Ratio calculation, since it would be captured in the look-back period?

    Thanks,

    Mike

    ZIV price drop

Viewing 4 posts - 1 through 4 (of 4 total)