Search found 12 matches

by Perfect Uncertainty
Tue Sep 22, 2020 7:07 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6596
Views: 623668

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

For the 21 day inverse volatility model, I had a question regarding the timing of AA. When do you change the AA? End of the month? The confusion is, for example, on PV the sept allocation for this model is 44/56 tqqq/tmf. Then i see a signal date on 9/18 that has a new allocation 23/77 tqqq/tmf. Is...
by Perfect Uncertainty
Sun Sep 20, 2020 4:21 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6596
Views: 623668

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

dru808 wrote: Sun Sep 20, 2020 2:52 pm Why isn’t the op updating the performance of this strategy?
He isn’t here any longer. Such a pity.
by Perfect Uncertainty
Sun Sep 13, 2020 11:29 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6596
Views: 623668

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

What is the most aggressive option to use? I am currently using my brokerage for Schwab, and have been reading through this thread. If I’m understanding correctly, I can use the excel spreadsheet to plug in my account value and it will then tell me where to put my allocations of assets? The 'most a...
by Perfect Uncertainty
Thu Sep 10, 2020 2:59 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6596
Views: 623668

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
by Perfect Uncertainty
Thu Sep 10, 2020 11:32 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6596
Views: 623668

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

I put that link up because others wanted 6 months of volatility.

I don’t agree with 6 months of volatility or correlation coefficient usage for AAA. The nature of AAA is to rebalance every month so keeping 21 days is my recommendation. Otherwise set the trading frequency to 6 months too.
by Perfect Uncertainty
Thu Sep 10, 2020 11:13 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6596
Views: 623668

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

:moneybag You checked the results from the back tests? Yes, I did - to do a fairer comparison to HFEA or TV you need to remove TQQQ from the backtest or add it to HFEA's and TV's backtest - TQQQ makes any 10 year backtest look amazing. As far as I can tell, an AA model with UPRO & TMF significantly ...
by Perfect Uncertainty
Thu Sep 10, 2020 10:16 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6596
Views: 623668

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

It seems like the discussion has swung from a conversation around a higher stock to bond ratio (80/20) to the opposite. As I understand it, holding bonds in excess of 45% runs contrary to the risk profile of this entire strategy and its offshoots. Maybe Uncorrelated can weigh in on this - it might ...
by Perfect Uncertainty
Wed Sep 09, 2020 8:21 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6596
Views: 623668

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

For those of you wanting a 6-month volatility version for AAA here is an updated version. I also added an additional AAA Inverse-Volatility Calculation that allows one to combine UPRO, TQQQ and UPRO and allocate accordingly. To duplicate this in PV here are the parameters and the backtest AAA-6-Mo ...
by Perfect Uncertainty
Mon Sep 07, 2020 10:43 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6596
Views: 623668

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

Here is a spreadsheet I created that shows AAA between UPRO and TMF for both Inverse Volatility and Minimum Variance. AAA Sample Nice work. I quickly created an automated variant for convenience. It pulls the latest data from Yahoo and should auto refresh upon opening the file (if not, go to Data>R...
by Perfect Uncertainty
Mon Sep 07, 2020 10:03 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6596
Views: 623668

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

You could use a 6 month covariance - it depends on which AAA sub model you are using on PV and which inputs.
by Perfect Uncertainty
Mon Sep 07, 2020 9:54 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 6596
Views: 623668

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...