Search found 29 matches

by ocrtech
Wed Sep 18, 2019 9:00 pm
Forum: Personal Consumer Issues
Topic: How to build hardware for a product protoype ?
Replies: 21
Views: 1242

Re: How to build hardware for a product protoype ?

How much does filing a patent cost nowadays? $5,000? $10,000? What are the annual fees to maintain it? It depends on the complexity of your patent and the size of your company. For a individual inventor, with a pretty straight forward and obviously patentable idea, you can file for around $1,500. T...
by ocrtech
Wed Sep 18, 2019 8:45 pm
Forum: Personal Consumer Issues
Topic: How to build hardware for a product protoype ?
Replies: 21
Views: 1242

Re: How to build hardware for a product protoype ?

I have built a couple of different prototypes. Most of the "secret sauce" for mine were in the software. The hardware and sensors were nothing more then a mechanism to generate the data. For my latest prototype, I'm utilizing an older android cell phone with its embedded accelerometer, gyroscope, an...
by ocrtech
Tue Aug 27, 2019 10:42 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 929
Views: 53163

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

coingaroo wrote:
Tue Aug 27, 2019 6:12 am

What tool are you using to plot these numbers?
I used Excel to plot the graphs. To generate the data, I'm using some code I wrote in VBA and C#.
by ocrtech
Thu Aug 22, 2019 7:57 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 929
Views: 53163

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

Hydromod wrote:
Thu Aug 22, 2019 6:35 pm

I was more thinking along the lines of two clusters, 3x and 1x. These are risk balanced internally, balancing volatility. Then sliding between the two clusters according to the amount of leverage you want. We need to check it out.
Interesting approach! Are you planning on backtesting it?
by ocrtech
Thu Aug 22, 2019 5:47 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 929
Views: 53163

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

Another possible strategy would be to keep a constant stocks/long term treasuries ratio and adjust the leverage ratio depending on volatility. The range would depend on your chosen stocks/long term treasuries ratio, say between 1x and 1.6x for 80/20. I know people in this thread have talked about a...
by ocrtech
Thu Aug 22, 2019 3:47 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 929
Views: 53163

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

Another possible strategy would be to keep a constant stocks/long term treasuries ratio and adjust the leverage ratio depending on volatility. The range would depend on your chosen stocks/long term treasuries ratio, say between 1x and 1.6x for 80/20. I know people in this thread have talked about a...
by ocrtech
Mon Aug 19, 2019 7:18 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 161
Views: 13923

Re: Refinements to Hedgefundie's excellent approach

Have you done any work on using alternate approaches to calculating volatility? From the papers I've read, the traditional approach of annualizing the standard deviations of logarithmic returns only preserves around 30% of the information around volatility clusters. I've looked at a couple GARCH va...
by ocrtech
Sat Aug 17, 2019 5:13 pm
Forum: Investing - Theory, News & General
Topic: Refinements to Hedgefundie's excellent approach
Replies: 161
Views: 13923

Re: Refinements to Hedgefundie's excellent approach

Have you done any work on using alternate approaches to calculating volatility? From the papers I've read, the traditional approach of annualizing the standard deviations of logarithmic returns only preserves around 30% of the information around volatility clusters. I've looked at a couple GARCH var...
by ocrtech
Thu Aug 15, 2019 11:16 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 929
Views: 53163

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

These are not two portfolios held separately then added together, they are means of simulating each assets contribution to the portfolio as a whole. If one of them goes up 10x and the other 3x, then the total growth was 30x, not 13x. Let me try to explain the hand-wavy math I used (but... be warned...
by ocrtech
Wed Aug 14, 2019 9:32 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 929
Views: 53163

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

These are not two portfolios held separately then added together, they are means of simulating each assets contribution to the portfolio as a whole. If one of them goes up 10x and the other 3x, then the total growth was 30x, not 13x. Let me try to explain the hand-wavy math I used (but... be warned...
by ocrtech
Tue Aug 13, 2019 7:03 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 929
Views: 53163

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Using your first example, are you saying that the difference between making an initial investment of 55/45 and not rebalancing it in anyway compared to rebalancing it on a periodic basis (like monthly) nets you around 0.5 CAGR in a best case scenario? I think he's saying that doing the 55/45 UPRO/T...
by ocrtech
Tue Aug 13, 2019 6:44 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 929
Views: 53163

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Using your first example, are you saying that the difference between making an initial investment of 55/45 and not rebalancing it in anyway compared to rebalancing it on a periodic basis (like monthly) nets you around 0.5 CAGR in a best case scenario? I think he's saying that doing the 55/45 UPRO/T...
by ocrtech
Tue Aug 13, 2019 5:17 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 929
Views: 53163

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

The apparently counter-intuitive thing here is that TMF has generated great returns... during 1987-2018. That's the most important part of what makes the backtest with a full TMF allocation so amazing. The "stock market tanks" anti -correlation-based rebalancing effects are also a factor, but a sec...
by ocrtech
Tue Aug 13, 2019 11:22 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 929
Views: 53163

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

physixfan wrote:
Tue Aug 13, 2019 11:03 am
What tool do you use to calculate this? Thanks!
I use data downloaded from Yahoo and use excel to do the calculations. However, minus the exponential weighting, you can get the same information from Portfolio Visualizer.
by ocrtech
Tue Aug 13, 2019 10:18 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 929
Views: 53163

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Anyone who changed their allocation yesterday with me was rewarded for it today. UPRO up 5% with TMF flat. I'm using Inverse Volatility with a 60 trading day lookback, exponentially weighted, and rebalance monthly. I rebalanced on Aug 1st to 54% UPRO / 46% TMF. Both the pullback yesterday as well a...
by ocrtech
Mon Aug 12, 2019 5:09 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 929
Views: 53163

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

I was curious how sensitive the cumulative results and drawdowns were to adjustments in the fixed AA allocation in OPs approach. I also wanted to compare that to the Inverse Volatility (Risk Parity) and Target Volatility approaches. The graphs below are based on the 1986-2019 simulated data supplem...
by ocrtech
Mon Aug 12, 2019 3:03 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 929
Views: 53163

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

I was curious how sensitive the cumulative results and drawdowns were to adjustments in the fixed AA allocation in OPs approach. I also wanted to compare that to the Inverse Volatility (Risk Parity) and Target Volatility approaches. The graphs below are based on the 1986-2019 simulated data suppleme...
by ocrtech
Wed Aug 07, 2019 9:33 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275428

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Excellent graphs on volatility rebalancing...these should be studied to let it sink in. To use an analogy...when you jump off the bridge do you want the parachute already on, or strap it on after the jump? So long as you get it on before hitting the ground you’ll be fine, if you don’t? And of cours...
by ocrtech
Wed Aug 07, 2019 8:21 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275428

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

I was really excited by Targeted Volatility when I originally ran the model without shifting dates. Unfortunately, that one run seems to be an extreme outlier towards the positive. I guess it is a good reminder that we really aren't dealing with sufficient data to truly model any of these approache...
by ocrtech
Tue Aug 06, 2019 8:10 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275428

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Strange that drawdown for 20% vol target is so much lower in PV...?
Good catch. That was 30% targeted volatility. Here is the one for 20%.

Image
by ocrtech
Tue Aug 06, 2019 5:03 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275428

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

When you do the comparisons, I'd suggest comparing against the OP strategy with exactly the same start dates and rebalance dates. At least this is an apples to apples comparison. I think you'll find that you will consistently get one or two percentage points higher with the targeted volatility when...
by ocrtech
Tue Aug 06, 2019 5:01 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275428

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

To be clear it still seems to beat the OP strategy, no? For raw returns, certainly. For risk adjusted returns, I'm not so sure. Take a look at the drawdown chart. It compares results from the original 60/40 approach, inverse volatility (66% cap), EWMA weighted inverse volatility (66% cap and 94% la...
by ocrtech
Tue Aug 06, 2019 3:10 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275428

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

I noticed when I was modeling the targeted volatility approach using the simulated data, the returns are very sensitive to start date. I ran the model 20 times pushing the start date forward by one day for each run. The graph below shows the results. The blue line at the very top of the graph is th...
by ocrtech
Tue Aug 06, 2019 2:54 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275428

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

I noticed when I was modeling the targeted volatility approach using the simulated data, the returns are very sensitive to start date. I ran the model 20 times pushing the start date forward by one day for each run. The graph below shows the results. The blue line at the very top of the graph is th...
by ocrtech
Tue Aug 06, 2019 2:42 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275428

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Absolutely will -- just wanted to make sure I was at least conceptually looking at it the correct way. Appreciate the feedback and guidance. I have a load of free trades with TDAmeritrade where I'm implementing this in my Roth so happy to go to the monthly rebalance based on target vol. if it is go...
by ocrtech
Tue Aug 06, 2019 2:34 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]
Replies: 3353
Views: 275428

Re: HEDGEFUNDIE's excellent adventure [risk parity strategy using 3x leveraged ETFs]

Absolutely will -- just wanted to make sure I was at least conceptually looking at it the correct way. Appreciate the feedback and guidance. I have a load of free trades with TDAmeritrade where I'm implementing this in my Roth so happy to go to the monthly rebalance based on target vol. if it is go...
by ocrtech
Sat Jul 27, 2019 6:48 pm
Forum: Personal Consumer Issues
Topic: Excel guru needed...
Replies: 8
Views: 1485

Re: Excel guru needed...

A while back I created a "macro" to automatically grab stock prices from a website and populate them into my excel spreadsheet. With some minor changes, you should be able to use the same approach. The link to the thread where I describe the macro is: https://www.bogleheads.org/forum/viewtopic.php?f...
by ocrtech
Fri Nov 10, 2017 2:13 pm
Forum: Investing - Theory, News & General
Topic: [Yahoo Finance no longer works - Alternatives to download securities quotes]
Replies: 289
Views: 58969

Re: How to Get Stock Quotes Into Excel

I created\adopted some VBA code to collect the last price, yield, and expenses information from Morningstar. Assuming you have the developer tab enabled in excel, you can add the below code to the default module for the spreadsheet. Once you have it copied, you use it in your spreadsheet by selectin...
by ocrtech
Tue Sep 13, 2016 8:45 am
Forum: Personal Finance (Not Investing)
Topic: Enterprise software sales process - PO, Quote, Invoice etc
Replies: 20
Views: 2131

Re: Enterprise software sales process - PO, Quote, Invoice etc

In many cases, the way a small business makes itself standout is through superior customer service. I suspect you will find very few customers where a response time of 1-2 days is considered superior. If you are trying to build a new business around this new software, I suggest you treat your first ...