Search found 417 matches

by Hydromod
Sun Sep 20, 2020 1:53 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6420
Views: 594233

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

So you are saying that if doing quarterly-rebalancing, it's better to do it exactly at the beginning/end of each calendar quarter... as opposed to every 3 months from when you started if that is different? I last rebalanced my TMF/TQQQ on 9th July (which was my roughly 3months) so the next one wasn...
by Hydromod
Sat Sep 19, 2020 1:25 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6420
Views: 594233

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

In terms of backtesting, it seems quarterly rebalancing outperformed monthly or semi-annually or annually rebalancing. Can someone test bi-monthly and every 4 months rebalancing and see how they compare to quarterly rebalancing? I did a bunch of backtesting in this thread . The conclusion on quarte...
by Hydromod
Fri Sep 11, 2020 2:49 pm
Forum: Investing - Theory, News & General
Topic: Any interest in concise guide to HEDGEFUNDIE 3x Leveraged ETF Excellent Adventure?
Replies: 128
Views: 11681

Re: Any interest in concise guide to HEDGEFUNDIE 3x Leveraged ETF Excellent Adventure?

Kruger25 wrote: Fri Sep 11, 2020 2:24 pm How would this strategy work in a stagflationary enviroment where equities and bonds fall in tandem?
poorly
by Hydromod
Tue Sep 08, 2020 3:20 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6420
Views: 594233

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Anyone have a graph for how well regular HFEA does in backtesting vs inverse volatility / minimum variance? Or maybe a Monte Carlo sim with those would even be better. I have a bunch of backtesting comparisons here . You might browse back and forth; some explanation above that point, lots of figure...
by Hydromod
Fri Sep 04, 2020 1:44 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6420
Views: 594233

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

danyboy7 wrote: Fri Sep 04, 2020 12:48 pm Thanks a lot,how do I upload them on PV ? Is it required the Pro-version ?
You used to be able to freely upload data, but now it requires the subscription.
by Hydromod
Fri Sep 04, 2020 12:12 pm
Forum: Investing - Theory, News & General
Topic: Tiaa Traditional: PreTax or Roth?
Replies: 14
Views: 518

Re: Tiaa Traditional: PreTax or Roth?

The one complication that I became aware of was when I started contributing to a Roth 403b. From what I understand, TIAA keeps track of deferred versus Roth, even with contributions of both types to the same fund, but doesn't report the split between the two. I decided to do the split by funding TIE...
by Hydromod
Wed Sep 02, 2020 8:37 pm
Forum: Investing - Theory, News & General
Topic: What is your age and asset allocation ?
Replies: 246
Views: 15031

Re: What is your age and asset allocation ?

60/54 spouse

Effectively 74/39 with 3x component

53 S&P
5 International
4 REIT
31 Bonds/TIAA trad/cash
7 TQQQ/UPRO/TMF

On track for 7-10 more years before (semi?) retirement.
by Hydromod
Thu Aug 20, 2020 10:10 am
Forum: Investing - Theory, News & General
Topic: Correlated Fat Tails Formula
Replies: 3
Views: 329

Re: Correlated Fat Tails Formula

You might want to check out the Laplace distribution. A google search for "Laplace distribution stock" will point you to some references.
by Hydromod
Mon Aug 10, 2020 9:32 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6420
Views: 594233

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Hi Hydromod, thanks for the data. I'll note that the choices of weightings you chose was a neighborhood of 50/50 (i.e. if you simulated 100% UPRO you'd find a pretty different average CAGR). Because of the "quadratic effect" of local optima, this gives me some confidence that 50/50 is indeed around...
by Hydromod
Sun Aug 09, 2020 4:51 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6420
Views: 594233

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

The backtesting I’ve done suggests that rebalancing near the Jan 1 quarters has performed noticeably better than quarterly strategies away from these dates. Maybe something to do with end of quarter actions. Much much more likely that it's because of backtesting overfit. If end of quarter actions c...
by Hydromod
Sun Aug 09, 2020 2:32 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6420
Views: 594233

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

HFEA is rebalanced quarterly, not monthly. I missed that little gold nugget, thanks. That makes a big difference. For what it's worth, a 65/35 TV model outperforms a 65/35 HFEA, and its CAGR outperforms classic 55/45 HFEA (but the drawdown and sharpe are worse - though not unpalatable). I realize I...
by Hydromod
Sat Aug 08, 2020 11:36 pm
Forum: Investing - Theory, News & General
Topic: Bogleheads blog: a new rebalancing study
Replies: 143
Views: 10988

Re: Bogleheads blog: a new rebalancing study

When I was exploring hedgefundie’s method I did some sweeps for fixed durations starting every possible day. One thing I noticed is that there was a consistent bias for favorable returns when rebalancing around the start/end of quarters. There was a similar but smaller bias for start/end of months w...
by Hydromod
Thu Jul 30, 2020 10:17 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6420
Views: 594233

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

I know very little about shorting (and have no practical experience), much less shorting an inverse leveraged ETF :oops: The first basic thing I think I’m lost on is how could shorting SQQQ give better return than long TQQQ? On a daily basis, if QQQ is up 1% then TQQQ would be up roughly 3%. Wouldn...
by Hydromod
Thu Jul 30, 2020 10:12 am
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 191
Views: 26922

Re: Refinements to Hedgefundie's excellent approach

Hydromod,could I ask to provide an accessible PV link to all of us :confused ? Your previous and only link is not consultabile due to "private dataset" and honestly I'm having a hard time to analyze this strategy based on 1 screenshot. "So what to do with an environment with long-term rising intere...
by Hydromod
Wed Jul 29, 2020 1:37 pm
Forum: Investing - Theory, News & General
Topic: All Weather leveraged stomps Hedgefundie and other portfolios !
Replies: 129
Views: 9174

Re: All Weather leveraged stomps Hedgefundie and other portfolios !

It's not a big difference of CAGR and that difference is widely compensated with less volatility,much better ulcer index,less USA market correlation. I agree that mine has a double ter cost,more expensive for sure But I would like to remind you that Hedgefundie would be DONE in a rising scenario in...
by Hydromod
Mon Jul 27, 2020 1:48 pm
Forum: Investing - Theory, News & General
Topic: Any interest in concise guide to HEDGEFUNDIE 3x Leveraged ETF Excellent Adventure?
Replies: 128
Views: 11681

Re: Any interest in concise guide to HEDGEFUNDIE 3x Leveraged ETF Excellent Adventure?

It's not useful to me. HEDGEFUNDIE has already summarized the information twice in the original posts of both his/her threads. I don't feel that this will provide value. Thanks for the honest feedback. I appreciate it. I'm genuinely curious and perhaps you'll share your thoughts : 1) If the summary...
by Hydromod
Mon Jul 20, 2020 7:02 pm
Forum: Investing - Theory, News & General
Topic: Adaptive Asset Allocation Spreadsheet
Replies: 9
Views: 772

Re: Adaptive Asset Allocation Spreadsheet

I've tried a Matlab-based version with various strategies and various asset classes. I abandoned looking at the strategies a while back when it became clear that there was a whole lot of tuning needed without much basis, and even then many funds were inherently losers when adaptive allocation was in...
by Hydromod
Tue Jul 14, 2020 2:30 pm
Forum: Investing - Theory, News & General
Topic: Are Roth IRAs “Pay taxes once and never again” really best?”
Replies: 131
Views: 11024

Re: Are Roth IRAs “Pay taxes once and never again” really best?”

The one thing that swings it to maximal Roth contributions for me even within a decade of retirement is that there is a certainty of increased taxes if one spouse dies because of RMDs. I calculated the probability distribution of mortality for both of us, and in my case the expected value is 10 year...
by Hydromod
Sun Jul 12, 2020 1:26 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6420
Views: 594233

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Is it a good idea to use the Excellent Adventure outside of a tax-advantaged account? I heard some mention that the capital gains tax from rebalancing would cause a significant drag on performance. One strategy that I've seen for tactical allocations is to break the portfolio into parts (say 5 part...
by Hydromod
Sat Jul 11, 2020 3:10 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6420
Views: 594233

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

I went through a 55/45 TQQQ-TMF starting Jan 1st this year and went through the crisis with it based on your work on quarterly rebalancing being the most optimal. I'm up 82.09% as of yesterday. I have you and your quant analysis to thank for that man. :sharebeer A case of do as I say, not as I do, ...
by Hydromod
Thu Jul 09, 2020 10:57 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6420
Views: 594233

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

A good chunk of performance was in the spring last year. I started in the beginning of June. I let the original allocation go for a few months, then started getting into adaptive allocation ideas and began shifting into TQQQ as my confidence went up. It was up 62% at the peak in the middle of Februa...
by Hydromod
Tue Jun 16, 2020 8:55 am
Forum: Investing - Theory, News & General
Topic: Datasets [Looking for TQQQ historical data]
Replies: 1
Views: 174

Re: Datasets [Looking for TQQQ historical data]

You might want to mimic the NASDAQ-100 index ^NDX. Daily values (including adjusted close, which accounts for dividends and splits) back to 10/1/1985 can be downloaded from Yahoo finance . Just multiply the daily change in adjusted close by the leverage factor 3 and subtract the ER and borrowing cos...
by Hydromod
Fri Jun 12, 2020 2:00 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6420
Views: 594233

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

About volatility decay. I recently realized that there is a monthly rebalanced S&P 500 2x fund called DXSLX. And here's the comparison between DXSLX v.s. daily rebalanced 2x fund SSO: https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2020&la...
by Hydromod
Sat May 30, 2020 10:22 am
Forum: Investing - Theory, News & General
Topic: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com
Replies: 133
Views: 15043

Re: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com

If it truly works (I'm 50/50 on this), I suspect it may only work if traded in real-time - i.e. shortly before the close. The issue of trading time is considered in the recent Allocate Smartly post Adding a 1-day lag when executing taa strategies . They looked at the effect of a one-day lag between...
by Hydromod
Wed May 27, 2020 10:39 pm
Forum: Investing - Theory, News & General
Topic: Golden Butterfly March 2020
Replies: 6
Views: 1210

Re: Golden Butterfly March 2020

jolmscheid wrote: Wed May 27, 2020 9:37 pm How does one enter Golden Butterfly into Portfolio Visualizer?
Here's a discussion of several variants of the butterfly with suggested funds that you could enter into PV.
by Hydromod
Wed May 20, 2020 12:42 pm
Forum: Investing - Theory, News & General
Topic: If you have access to TIAA-Traditional, should you own *any* bonds right now?
Replies: 18
Views: 1404

Re: If you have access to TIAA-Traditional, should you own *any* bonds right now?

Thanks for all of the replies so far. They are quite helpful. This is not a practical question for most people because it implies you have enough balance in a TIAA employer contract to cover 100% of your bond requirements. If you don't and roll money in from IRAs, you are likely looking at a 1% rat...
by Hydromod
Sun May 17, 2020 10:33 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6420
Views: 594233

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

I'm about to implement this strategy and wanted to clarify the intended rebalancing — I believe it's quarterly, but are there any other rebalance conditions e.g. 5/25 rebalancing? I believe quarterly works best in backtests and in live data, but I don't want to take my eye off 5/25. I don't have ac...
by Hydromod
Tue May 12, 2020 6:40 pm
Forum: Investing - Theory, News & General
Topic: Contributing, Market Timing, and Never Selling?
Replies: 15
Views: 994

Re: Contributing, Market Timing, and Never Selling?

M1 has a single free window each day at 9 am cst and another in the afternoon for subscription. The market price is whatever is current at the time. You can choose whether or not to buy up to the window. It automatically allocates to the underweight fund. But the only decision I make is the size and...
by Hydromod
Tue May 12, 2020 6:14 pm
Forum: Investing - Theory, News & General
Topic: Contributing, Market Timing, and Never Selling?
Replies: 15
Views: 994

Re: Contributing, Market Timing, and Never Selling?

Thanks for the input. I think I may be coming around to this. At first glance, lower ERs and no minimums make ETFs seem the better choice. But actually having to buy them is frankly terrible, and it introduces all sorts of behavioral risks. Will consider converting everything to mutual funds. Diffe...
by Hydromod
Tue May 12, 2020 6:07 pm
Forum: Investing - Theory, News & General
Topic: proportional withdrawal -> no sequence-of-returns risk
Replies: 30
Views: 1381

Re: proportional withdrawal -> no sequence-of-returns risk

It might seem pedantic, but it's helpful to remember that any "risk" has two components: a trigger, and an impact. The risk in "sequence of returns risk" isn't the chance that a particular sequence of returns will occur, per se , but rather is the chance that a particular sequence of returns will o...
by Hydromod
Wed May 06, 2020 4:57 pm
Forum: Investing - Theory, News & General
Topic: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com
Replies: 133
Views: 15043

Re: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com

There was an update yesterday for two assets plus cash, and this time he provided a google sheet with the example of TLT, SPY, and cash (3-month treasury). Basically the idea is to do the two-asset approach with each pair of assets individually, then use the lowest of the nonzero percentages for eac...
by Hydromod
Tue May 05, 2020 10:27 pm
Forum: Investing - Theory, News & General
Topic: 401k down a lot yesterday?
Replies: 8
Views: 790

Re: 401k down a lot yesterday?

Any hints in the pinned thread called why did my fund suddenly drop in value?
by Hydromod
Sun May 03, 2020 1:02 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6420
Views: 594233

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

I also saw some performance gain with more frequent rebalancing, such as daily or every two days, but that outperformance died off quickly as the rebalancing period increased. I conceptually love the idea of daily rebalancing. Especially with an adaptive allocation risk parity strategy, I think thi...
by Hydromod
Sun May 03, 2020 11:29 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6420
Views: 594233

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Maybe this has been posted, but there are a lot of pages and despite the shelter-in-place, I really have better things to do. Is there a way to back test to determine what are the historically best days/months/etc. to contribute & re-balance a portfolio ? Would be curious what impact that would hav...
by Hydromod
Sun Apr 26, 2020 12:49 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6420
Views: 594233

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

My impression is that the use of VIIX or VXX would be better used as a tactical approach, perhaps swapping it for some TMF when VIX starts rising and swapping back when things calm down. These are implemented using VIX futures, so unlike VIX itself the long-term return is fairly negative. Therefore ...
by Hydromod
Wed Apr 22, 2020 7:33 pm
Forum: Investing - Theory, News & General
Topic: Tool to do personalized backtest w/ specific contribution schedule?
Replies: 10
Views: 471

Re: Tool to do personalized backtest w/ specific contribution schedule?

I thought you wanted to model a standardized contribution. If you want to vary it month by month, you probably should just set up a spreadsheet. It would be a lot of work, since you would also have to enter the month by month returns of each investment. It might not be too bad in google sheets, if ...
by Hydromod
Sun Apr 19, 2020 9:34 pm
Forum: Investing - Theory, News & General
Topic: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com
Replies: 133
Views: 15043

Re: Fascinating take on a rebalanced Permanent Portfolio - BreakingTheMarket.com

I'm still not sure how to handle the weights with more than 2 assets. I'm hoping that BTW will give guidance one day on his blog. I have also determined, through brute force, the optimal allocation of a portfolio using all 3 assets. I'll defer the answer for a little bit. I was hoping Jim, BTW, or ...
by Hydromod
Mon Apr 13, 2020 7:09 pm
Forum: Investing - Theory, News & General
Topic: Help me figure out the Target Volatility formula
Replies: 96
Views: 6769

Re: Help me figure out the Target Volatility formula

Interesting googledoc. I see that the sheet (and thread) are using daily returns as a substitute for daily volatility. How confident are you all in making that assumption for inverse or target volatility weighting? Would it be possible to use googlefinance to pull down enough info to actually calcu...
by Hydromod
Mon Apr 06, 2020 10:41 am
Forum: US Chapters
Topic: Bogleheads community discussion - Coronavirus
Replies: 1653
Views: 77111

Re: Bogleheads community discussion - Coronavirus

I tried a straight logistic fit before seeing your post ( L / 1 + exp(-k(t-t0)) ). (edit: your formula -> -b as t->inf) Where it gets informative is when you plot the derivative, which shows the peak more clearly (but it's much noisier). I find that using a log scale and a moving average of the log...
by Hydromod
Sun Apr 05, 2020 8:59 pm
Forum: US Chapters
Topic: Bogleheads community discussion - Coronavirus
Replies: 1653
Views: 77111

Re: Bogleheads community discussion - Coronavirus

A suggestion... Since the curves are flattening, please refrain from predictions based on "if these rates continue." Instead make predictions based on "if the rates of decrease continue,"... Finding the best fit with a decreasing exponential component is more difficult. I'll think about it and see ...
by Hydromod
Sat Apr 04, 2020 12:10 pm
Forum: US Chapters
Topic: [Archived] Bogleheads community discussion - Coronavirus
Replies: 4963
Views: 196584

Re: Bogleheads community discussion - Coronavirus

I put a long entry here talking about Merkel's inverse logistic model from Aleph Blog. I should have put it here instead. It's an interesting approach that says as of yesterday NY has passed 70 to 80% of expected new cases and the US is just past the peak. This is consistent with the data showing ne...
by Hydromod
Thu Mar 19, 2020 8:02 pm
Forum: Investing - Theory, News & General
Topic: Portfoliovisualizer but with daily data?
Replies: 5
Views: 374

Re: Portfoliovisualizer but with daily data?

If you have any facility with google sheets you can get tables of daily returns. You would have to do the calculations yourself though.
by Hydromod
Thu Mar 19, 2020 2:18 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6420
Views: 594233

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Crushtheturtle wrote: Thu Mar 19, 2020 2:15 pm Maybe it's just because I'm paying close attention, but I'm noticing that UPRO is doing a miserable job today delivering 3x the price movement of SPY.

Hasn't come close at all.
Might this be because it is tracking daily movements, not hourly?
by Hydromod
Thu Mar 19, 2020 8:16 am
Forum: Investing - Theory, News & General
Topic: For 50-55 Year olds/ What Are you thinking?
Replies: 46
Views: 4786

Re: For 50-55 Year olds/ What Are you thinking?

I have about a ten-year horizon before target retirement. I reminded DW that all projections were that the market was going to be about flat for the next ten years anyway, so that we're better to take a haircut now, contribute at lower levels, and let the market take its time to get back. DW won't h...
by Hydromod
Tue Mar 17, 2020 11:07 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6420
Views: 594233

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

I'm not usually into trading like that, it's just that the market is so cyclical right now. It's like boats rocking in a chop, and the morning is often quite different from the afternoon and from the next day (and the M1 window is in prime overreaction mode). So it seems to me that in order to reba...
by Hydromod
Tue Mar 17, 2020 10:30 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6420
Views: 594233

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

The whole point of M1 Finance's restricted trading window is to discourage day trading and market timing. If you're upset that it prevents you from doing so, recognize that this is by design. Buy in, rebalance quarterly, and stay the course. M1 makes this easier than any other broker. Of course. Un...
by Hydromod
Tue Mar 17, 2020 7:02 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6420
Views: 594233

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

The whole point of M1 Finance's restricted trading window is to discourage day trading and market timing. If you're upset that it prevents you from doing so, recognize that this is by design. Buy in, rebalance quarterly, and stay the course. M1 makes this easier than any other broker. Of course. Un...
by Hydromod
Tue Mar 17, 2020 5:52 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6420
Views: 594233

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Yesterday I would very much have liked to have had the option to trade at the end of the day that M1 doesn't offer. I could see the familiar two-day pattern coming from a mile away, with the big increase in TMF/UPRO spread at close Monday followed by big decrease in spread Tuesday at close today. I ...
by Hydromod
Fri Mar 13, 2020 8:06 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6420
Views: 594233

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

I'm still monitoring a suite of 60 risk parity indicators for UPRO/TMF and TQQQ/TMF. These are combinations of Parity with volatility, variance, downward-only volatility, downward-only variance, and targeted volatility (25%) 12-, 8-, and 4-week lookback Symmetric or downward-only volatility/variance...
by Hydromod
Tue Mar 10, 2020 12:40 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6420
Views: 594233

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

I've been trying to figure out the mechanics of how to rebalance effectively constrained to M1 morning trades. I think I see that the market tends to over-react during the morning window during periods of volatility. For example, TMF was up 26% around the time of the window on Monday and it ended at...