Search found 27 matches

by kerstverlichting
Thu Oct 15, 2020 6:37 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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 kerstverlichting
Wed Sep 16, 2020 3:49 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

Thank you folks. May be it is just me but I keep getting a message that the file is corrupt from the hazy.cc and gofile.io websites when I try to download. However, the filehosting.org is asking for my email ID. I am not sure if it is safe to proceed with an email. Any suggestions? Yes this is also...
by kerstverlichting
Tue Sep 15, 2020 9:41 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

Hi everyone, I updated my file ( v4.0 now) to include some new features: 🎈 Added a warning to indicate a refresh of the data is required 🎈 Option to include/exclude latest day's data This is very useful if one wants to calculate the reallocation and perform the reallocation on the same day. I've not...
by kerstverlichting
Fri Sep 11, 2020 12:42 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

If you get a daily AAA reading and it says allocate 35% to UPRO and you want to execute the order the next day. Let’s say it’s a highly volatile period and UPRO gaps down over 5% at the open. I personally like to have the AAA close to real-time so I can execute my order accordingly This makes a lot...
by kerstverlichting
Thu Sep 10, 2020 11:19 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

Mickelous wrote: Thu Sep 10, 2020 11:11 am
kerstverlichting wrote: Thu Sep 10, 2020 11:05 amx.
I've been in a modified HFEA for 4 months now so this is just a tweak.
Nice, how is it doing thus far?
by kerstverlichting
Thu Sep 10, 2020 11:05 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

[...] My sheet indeed only goes up to 100 days. But also, it uses this range (that you can choose) for both correlation and volatility. From what I understand now, I should adjust it so that the correlation and volatility ranges can be defined separately. Eg. You could set the correlation range to ...
by kerstverlichting
Thu Sep 10, 2020 5:48 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

[...] My sheet indeed only goes up to 100 days. But also, it uses this range (that you can choose) for both correlation and volatility. From what I understand now, I should adjust it so that the correlation and volatility ranges can be defined separately. Eg. You could set the correlation range to ...
by kerstverlichting
Thu Sep 10, 2020 1:27 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

Here is the original AAA strategy proposed by smartly based on the white paper: Strategy rules tested: - At the close on the last trading day of the month, calculate the 6-month (126-day) return for each of the following 10 asset classes: US equities (represented by SPY), European equities (EZU), J...
by kerstverlichting
Wed Sep 09, 2020 2:06 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

Hi guys, I updated the file a little to allow for some more tickers, also added a few other features, like setting a custom range. The default is 1 month, as this was suggested to be optimal, but you can go up to 100 trading days (~4.75 mos). Unfortunately that's the max of what I can load using Ya...
by kerstverlichting
Wed Sep 09, 2020 10:36 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

Hi guys, I updated the file a little to allow for some more tickers, also added a few other features, like setting a custom range. The default is 1 month, as this was suggested to be optimal, but you can go up to 100 trading days (~4.75 mos). Unfortunately that's the max of what I can load using Yah...
by kerstverlichting
Tue Sep 08, 2020 3:52 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

https://i.imgur.com/jJw28Lb.png Thank you so much for doing this, it is truly amazing. One quick question: Does the AAA Minimum variance include 6 months of momentum, or just MV in the AA? Hi, no problem, it was literally 10 minutes of work. As for your question, I just took the calculations @perfe...
by kerstverlichting
Tue Sep 08, 2020 5:12 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

Alright, thanks for the explanation. I can only load 100 days of data anyway using the Yahoo connection. I will try to add the following things though: - Option for 3-way TMF/UPRO/TQQQ, need to be able to set the UPRO/TQQQ split % - Option for quarterly rebalancing, using 63 days of data to calculat...
by kerstverlichting
Mon Sep 07, 2020 1:58 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

btw, what's with the talk about using 6 mos worth of data - Weight the 2 assets according to minimum variance optimization, using a “weighted” covariance matrix calculated based on 6 month correlation and 1 month (21 trading day) volatility. It's not used in this calculation. Should it be added? Th...
by kerstverlichting
Mon Sep 07, 2020 9:24 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

It's also how do you get the variables you need for the formula and an easy way to process the formula to figure out the weighing process for someone who isn't into advanced statistics. Somewhere in the 100+ pages there were a discussion and sample formula shown. This fairly easy to do for 2 assets...
by kerstverlichting
Mon Sep 07, 2020 8:52 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

btw, what's with the talk about using 6 mos worth of data
- Weight the 2 assets according to minimum variance optimization, using a “weighted” covariance matrix calculated based on 6 month correlation and 1 month (21 trading day) volatility.
It's not used in this calculation. Should it be added?
by kerstverlichting
Mon Sep 07, 2020 6:45 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

You can pull daily data from Yahoo finance and paste it into a spreadsheet. It's a slightly manual process, but if you're just pulling two tickers, it's not that much work to do each month. No need to pay for PV if you're only using it for the allocation. It's also how do you get the variables you ...
by kerstverlichting
Sun Aug 30, 2020 2:58 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

http://www.ddnum.com/articles/leveragedETFs.php http://www.ddnum.com/images/SCHWERTlargechart2.png what are people's thought on 27% UPRO 27% TQQQ 46% TMF vs. a 2x levered equivalent basket, given the above indicates 2x market returns are most optimal? I have considered 2x leverage, but from what I ...
by kerstverlichting
Thu Aug 27, 2020 8:02 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

^ he also used XLU (1x) instead of UTSL (3x). Calculations involving UTSL would have to be simulated manually though, since it only goes back to 2017.
by kerstverlichting
Tue Aug 11, 2020 4:52 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

After reading some of Breaking the Market's thoughts on rebalancing (only tangentially related), I made two changes on July 31st: 1. I am going to rebalance weekly. Side benefit is that this will hopefully encourage me to stop tinkering so much. 2. I am going from 55-45 to 40-15-45 (UPRO-USTL-TMF)....
by kerstverlichting
Wed Mar 18, 2020 6:13 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

Seems to me TYD has held up better than TMF recently, even though TMF is supposed to have better anticorrelation with stocks.
by kerstverlichting
Mon Mar 16, 2020 3:38 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

I am reviewing the strategy https://wantelbos.github.io/, in the rebalancing page it talks about rebalancing with less UPRO and more TMF when VIX volatility is over 22. How about for a brand new portfolio. I have a youngster who I am suggesting this. If someone is starting out today with UPRO beate...
by kerstverlichting
Thu Mar 12, 2020 9:56 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

Rumors... Immediately, unfounded theories emerged: a risk parity fund was deleveraging and blowing out of both bonds and stocks; oil exporters were dumping TSYs to obtain cash amid the price plunge in crude, bond vigilantes fuming at the upcoming coronavirus-driven budget deficit explosion, a fund ...
by kerstverlichting
Tue Mar 10, 2020 8:20 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

Fascinating thread and idea. It seems this can't be done as an European investor, because all of the 3x funds are US ETF's and therefore blocked. Any way around this? TMF is not available where I live. Would 3x leveraged 10Y US treasuries offer an alternative? If yes, what would be the suggested al...
by kerstverlichting
Mon Mar 09, 2020 2:41 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

30 year yield at 1.25% intra day today. (Down 0.29) Is there a floor for this? German 30y is at -0.3% Did anyone do a calculation for TMF vs 30y yield? 30y yield now 0.96% and overnight briefly dropped under 0.75%. Is anyone adding 3rd component like GLD X3 to UPRO and TMF? PS. I added Gold futures...
by kerstverlichting
Mon Mar 09, 2020 9:40 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

Given the current conditions, would it be logical to consider placing heavier weight on TMF (>50%)? Is this different from market timing? If not, all the same caveats apply. It isn't, but this strategy seems to be doing ok anywhere from 40/60 UPRO/TMF to 60/40 UPRO/TMF, so if it makes you sleep bet...
by kerstverlichting
Mon Mar 09, 2020 9:19 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

I was afraid to look at my portfolio today, but am actually still up in this crazy market. TMF is a behemoth covering for the UPRO losses, really incredible. I only just started my adventure with a couple grand and a few more on margin, and if it can survive these sorts of conditions, that makes me ...
by kerstverlichting
Fri Feb 21, 2020 4:13 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6580
Views: 620717

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

No that’s correct. I am trying to maintain a constant amount of leverage which means it’s a smaller percentage of my portfolio at the peaks and a larger percentage at the troughs, but a constant dollar amount peak-to-trough if that makes sense? It’d be the same if I just say borrowed $X solely on m...