My trend following strategy and experience

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skeptic42
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Re: My trend following strategy and experience

Post by skeptic42 » Sat May 25, 2019 5:27 am

Obviously, a market timer expects that his endeavor will produce better results than just holding the market, more return for less risk than the market. Sure, betting on trends seem to allow that outperformance in the past. But there is a real risk that it will not work in the future and there is a, admittedly unlikely, possibility to experience a larger maximum drawdown with trend following than with buy and hold. If one is really concerned about maximum drawdowns, then I find it erroneous to be not concerned about a possibly larger maximum drawdown by failed market timing.
IMO the only guaranteed way to reduce maximum drawdowns is to hold less of risky assets BEFORE the downturn happens.

At least professional trend followers seem to be concerned about the effectiveness of trend following going forward:
https://www.winton.com/davids-views/jul ... g-risk-net

abc132
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Re: My trend following strategy and experience

Post by abc132 » Sat May 25, 2019 6:02 am

skeptic42 wrote:
Sat May 25, 2019 5:27 am
Obviously, a market timer expects that his endeavor will produce better results than just holding the market, more return for less risk than the market. Sure, betting on trends seem to allow that outperformance in the past. But there is a real risk that it will not work in the future and there is a, admittedly unlikely, possibility to experience a larger maximum drawdown with trend following than with buy and hold. If one is really concerned about maximum drawdowns, then I find it erroneous to be not concerned about a possibly larger maximum drawdown by failed market timing.
IMO the only guaranteed way to reduce maximum drawdowns is to hold less of risky assets BEFORE the downturn happens.

At least professional trend followers seem to be concerned about the effectiveness of trend following going forward:
https://www.winton.com/davids-views/jul ... g-risk-net
I agree with all of this.

This is also why bonds are so important, and why I know my portfolio is less risky than the one proposed here.

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Forester
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Re: My trend following strategy and experience

Post by Forester » Sat May 25, 2019 6:17 am

skeptic42 wrote:
Sat May 25, 2019 5:27 am
Obviously, a market timer expects that his endeavor will produce better results than just holding the market, more return for less risk than the market. Sure, betting on trends seem to allow that outperformance in the past. But there is a real risk that it will not work in the future and there is a, admittedly unlikely, possibility to experience a larger maximum drawdown with trend following than with buy and hold. If one is really concerned about maximum drawdowns, then I find it erroneous to be not concerned about a possibly larger maximum drawdown by failed market timing.
IMO the only guaranteed way to reduce maximum drawdowns is to hold less of risky assets BEFORE the downturn happens.
Trend following would likely keep up with bonds in a choppy market. The 2010s have been difficult for simple trend models and the return on S&P500 is over double that of intermediate treasuries.

The thread author is heavily on 100% invested in trend following, but for everyone else, it's hard to imagine that their portfolios wouldn't be enhanced by making room for a TF strategy, assuming they had the time & discipline to enact it.
At least professional trend followers seem to be concerned about the effectiveness of trend following going forward:
https://www.winton.com/davids-views/jul ... g-risk-net
Zero sum game trading live hog futures or betting on what oil will do is different to long term trend following an equity index.

LittleD
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Re: My trend following strategy and experience

Post by LittleD » Sat May 25, 2019 6:38 am

My portfolio is 17% ahead of the OP due to buy and hold in the last 1.5 years. That crystal ball is going to have to be very clear indeed to ever catch up, and as I continue to move into safe assets, there is little risk that recessions in general are something to fear.

I would encourage others to join me in preserving gains with safe assets, instead of relying on market timing. Timing risk and diversification risk are additional risks that are just not needed with a healthy plan.

Those that think they have crystal balls will not be able to properly incorporate risks because they think they are taking no/little ks.
So, I usually don't expose my investment results or my strategy on this site due to most really having an aversion to trend following and intermittent trading. I will just the one time. Here are my results on my strategy copied just this morning:
YTD: 10.45%
1yr: 10.85%
3yr: 16.28%
5yr: 10.91%
10yr: 10.02%

Yes, we haven't had a full recession since 2008-2009 so I have that going for me. Will we have one in the next 18 months??? I'm prepared to act should one appear on the horizon. The Economy (LEI) and the SPX (stock market) will let me know if I need to run for the hills and hide.

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Forester
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Re: My trend following strategy and experience

Post by Forester » Sat May 25, 2019 7:29 am

LittleD wrote:
Sat May 25, 2019 6:38 am
Yes, we haven't had a full recession since 2008-2009 so I have that going for me. Will we have one in the next 18 months??? I'm prepared to act should one appear on the horizon. The Economy (LEI) and the SPX (stock market) will let me know if I need to run for the hills and hide.
What % of your money will you move, and is it to cash?

thx1138
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Re: My trend following strategy and experience

Post by thx1138 » Sat May 25, 2019 8:03 am

Some folks seem to be deviating into straw men. The portfolio for comparison as far as risk goes is 85/15. If you are done with accumulation and transitioning to 50/50 or some such well no joke your portfolio is less risky. Honestly at 85/15 you are going to get hammered in a major downturn - that is a risky portfolio by almost any definition. That 15% of bonds is doing very little to preserve anything.

If someone wanted to TF with a lower risk overall AA then they would permanently hold a portion of their portfolio in bonds and then only TF with the portion allocated to equities. For example someone looking for similar risk to 50/50 would hold 40% permanently in safe assets and then TF with the remaining 60% of the portfolio.

If you take a moment to remember what the reference AA is then all the “OMG the risk you are taking on with TF” posts seem a bit over the top. What you are left with is what has already been discussed ad nauseum - whipsaws reduce overall performance and the reduction in whipsaws is limited by making the trading signal too weak to miss the actual downturns. And the future unknown of will the trading signal behave similarly in the future which is akin to the BH question of will markets recover like they have in the future or follow the Japanese path instead.

Personally I don’t see value to the trading scheme myself as I could care less about drawdowns and as I stated in an earlier post I feel the drawdown metric used in the article is flawed such that it overstates the real world benefit of avoiding a “drawdown”. But a few of the posters in this thread need to take a moment to stop the conversation they appear to be having with themselves and remember what the actual reference BH portfolio is before they claim that reference 85/15 is somehow way safer than the TF portfolio described.
Last edited by thx1138 on Sat May 25, 2019 8:14 am, edited 1 time in total.

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tadamsmar
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Re: My trend following strategy and experience

Post by tadamsmar » Sat May 25, 2019 8:12 am

skeptic42 wrote:
Sat May 25, 2019 5:27 am
At least professional trend followers seem to be concerned about the effectiveness of trend following going forward:
https://www.winton.com/davids-views/jul ... g-risk-net
That link is interesting, David Harding's view is that there is not an immutable law that says that momentum will keep working. It just worked for a while and now he sees evidence that space is getting crowded.

But overall, he does not believe in the EMH. He thinks that he can find another inefficiency to exploit.

Seems that he thinks that market dynamics work relatively slowly to remove inefficiencies. Therefore it is possible to find inefficiencies and exploit them for a while.

The is the same as hedge-fund manager and strategist Ed Thorpe's view. He had a system for continuous monitoring of the inefficiencies that he was exploiting. He assumed that the inefficiency would eventually dry up and he would need to detect it. He used something similar to a Shewhart chart.

David Harding sees the February whipsaw as more than a routine event. He sees it as evidence that the trend-following inefficiency has run it's course." Societe Generale’s index of trend-following hedge funds posted a 6% loss, its second worst since inception in 2000."

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willthrill81
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Re: My trend following strategy and experience

Post by willthrill81 » Sat May 25, 2019 9:27 am

HomerJ wrote:
Sat May 25, 2019 2:25 am
willthrill81 wrote:
Thu May 23, 2019 8:05 pm
That anyone would believe that my strategy is riskier than a buy-and-hold strategy of 100% stock is beyond incredible to me
Your strategy might indeed be riskier than buy-an-hold. Why is that thought incredible?

So far, buy and hold has worked because the U.S. markets have always bounced back and gone higher.

You seem fixated on maximum drawdown, but it doesn't matter in accumulation phase if the market recovers and goes higher in the long run.

Remember, the 10% long-term return from the U.S. stock market INCLUDES the crashes.

I don't see why you're so excited about getting out early. Following the market all the way down and back up again has been a winning strategy.

Now, you're following a trend following strategy that ALSO has worked in the past. So far.

But which is riskier? Which thought has the most risk of being wrong in the FUTURE?

The thought that the U.S. stock market goes up in the long run?

Or the thought that the next big crash will be slow enough and/or preceded by unemployment numbers in time for you to get out in a timely manner AND the recovery will be slow enough and/or unemployment numbers will rebound fast enough in time for you to get back in quick enough to make some good money AND that when that happens it will be a big enough gain to overcome all the small losses from all the preceding whipsaws?

Which thought is riskier?

Is it really incredible to you to think that the first thought is less risky? Or at least the two thoughts are the same risk level? Do you really think your plan is so obviously inherently less risky, that it's incredible that anyone would think just buy and holding is the less risky plan?
We don't have to look very far to find stock markets that did well for a while and then stagnated for a long time (e.g. decades). It could happen to the U.S. The mere fact that it hasn't yet doesn't mean that it can't.

And even if the market does eventually recover, there are no guarantees that it will recover over your investment horizon.

Yes, it's certainly possible for my chosen strategy to underperform over the long-term, but I personally view the likelihood of that as being significantly smaller than either of the above scenarios. But it's just speculation all around.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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willthrill81
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Re: My trend following strategy and experience

Post by willthrill81 » Sat May 25, 2019 9:38 am

I will kindly say yet again that comparing the performance of any TF strategy to that of BAH over a short-term period, even a decade, is simply erroneous. It would be like a gold bug in 2009 declaring that gold, with annualized returns over the prior decade of 11.10%, was far superior to stocks or bonds, which had real returns over the prior decade of -2.73% and 3.44%.

I've said over and over and over that TF should be expected to underperform BAH during the good times. The 10 MMA strategy underperformed BAH during the 1990s by over 5% annually and did so again from 2010-current, yet matched BAH's returns from 1990-current and with a two-thirds smaller maximum drawdown. The future may look very different, I've said so repeatedly, and I've never advocated TF to anyone. But make no mistake that BAH has risks as well.

All roads carry risk.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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BlueEars
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Re: My trend following strategy and experience

Post by BlueEars » Sat May 25, 2019 9:46 am

Will, you are a very patient guy with all these repeated posts that carry misconceptions.

I hope those who disagree with the approach will spend some time looking over the huge number of arguments before presenting their contrary view.

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Re: My trend following strategy and experience

Post by Dottie57 » Sat May 25, 2019 10:08 am

OP,

All I can say is I wish you well in your endeavors.

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willthrill81
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Re: My trend following strategy and experience

Post by willthrill81 » Sat May 25, 2019 11:43 am

BlueEars wrote:
Sat May 25, 2019 9:46 am
Will, you are a very patient guy with all these repeated posts that carry misconceptions.

I hope those who disagree with the approach will spend some time looking over the huge number of arguments before presenting their contrary view.
Thank you for the kind words. I find it both interesting and amusing that many are quick to point out the potential downside of TF, but they look the other way when it comes to things like sticking with BAH through the Great Depression, the Japanese stock market, etc. As I say frequently, all roads carry risk.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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privatefarmer
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Re: My trend following strategy and experience

Post by privatefarmer » Sat May 25, 2019 12:29 pm

willthrill81 wrote:
Fri Jan 18, 2019 2:25 pm
sergeant wrote:
Fri Jan 18, 2019 1:09 pm
I look forward to updates. The biggest hurdle for me would be being completely out of the market as it climbs, like the past couple days. Much easier for me to be in with at least part of my portfolio. Good luck.
This is where knowledge of the market's history can help. Historically, the biggest 'up' days have occurred during bear markets. The problem is that they tend to be clustered with the biggest 'down' days, with the net result being very little growth. Avoiding both, if possible, would have historically led to better returns.

Also, this is the problem with the 'if you missed the best X days in the market, you're return would have been Y' argument. They neglect to say what your return would have been had you missed the worst X days in the market.

If we define an 'upward' or 'downward' trending market by the popular 200 day moving average approach, the market has historically returned around 2% when it was in a downward trend and volatility was much higher than when it was in an upward trend. I personally have no interest in holding stocks when the expected return is 2% and volatility is very high.
I am sure this has been stated multiple times in the forum already, but if you could predict, when ANY kind of probability, that the market was only going to return 2% for the intermediate future, don’t you think the big boys (hedge funds, institutional investors, warren buffet, etc) would be able to do so And do so more efficiently?? I believe the back tests are accurate however I also believe that every single prominent back test has now been PRICED IN to the CURRENT price. In other words, now that we “know” how markets have behaved when X indicator says Y, this has now been accounted for in the current price and you nor I will be able to effectively and reliably take advantage of it going forward.

abc132
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Re: My trend following strategy and experience

Post by abc132 » Sat May 25, 2019 12:30 pm

willthrill81 wrote:
Sat May 25, 2019 11:43 am
BlueEars wrote:
Sat May 25, 2019 9:46 am
Will, you are a very patient guy with all these repeated posts that carry misconceptions.

I hope those who disagree with the approach will spend some time looking over the huge number of arguments before presenting their contrary view.
Thank you for the kind words. I find it both interesting and amusing that many are quick to point out the potential downside of TF, but they look the other way when it comes to things like sticking with BAH through the Great Depression, the Japanese stock market, etc. As I say frequently, all roads carry risk.
Bogle told us that using course correction was appropriate.
We have also learned that market timing and non-diversification are generally poor choices.

All roads do not carry equal risk, and misinterpreting other people's opinions so that you can disagree with them is entirely inappropriate. More listening would be helpful. Moving gains to safe assets, having an emergency fund, etc, is how you predictably get through something like the Great Depression. Trying to time the market while disregarding safe asssets is a risky strategy. Most of us would have to reduce expectations/lifestyle after the Great Depression, and that is how we would get through it. We get through the Japanese market through diversification, something apparently missing from your plan.

Your road has additional timing/diversification risks that you have yet to acknowledge and/or declare non existent. So far you have ignored them. If this is not true or inaccurate, feel free to clarify for those reading if you think you are taking on these additional risks.

In the gold thread you said you don't care about the purchase price of gold, because like stocks, it's only the price 40 years later that matters. I'm curious why that is true in the gold thread, but not here. I am asking for a clarification of your opinion/logic.

abc132
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Re: My trend following strategy and experience

Post by abc132 » Sat May 25, 2019 12:47 pm

willthrill81 wrote:
Sat May 25, 2019 9:38 am
I will kindly say yet again that comparing the performance of any TF strategy to that of BAH over a short-term period, even a decade, is simply erroneous. It would be like a gold bug in 2009 declaring that gold, with annualized returns over the prior decade of 11.10%, was far superior to stocks or bonds, which had real returns over the prior decade of -2.73% and 3.44%.

All roads carry risk.
That's why we have been talking about things like jumping in and out of the market, and being very non-diversified. You frequently reference past results, so using recent past results to point out risks that have revealed themselves is entirely appropriate. They are not being used to predict future performance. Your strategy could outperform buy and hold, it would just do so with more risks, and a bigger possible downturn.

You are misstating what others have been saying, and what logic they are using.

All roads do not carry equal risks, and equating all risks would certainly be one sign of an inability to understand risk. Please don't do this, as it weakens your argument.
Last edited by abc132 on Sat May 25, 2019 12:49 pm, edited 1 time in total.

LittleD
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Re: My trend following strategy and experience

Post by LittleD » Sat May 25, 2019 12:49 pm

Forester wrote:
Sat May 25, 2019 7:29 am
LittleD wrote:
Sat May 25, 2019 6:38 am
Yes, we haven't had a full recession since 2008-2009 so I have that going for me. Will we have one in the next 18 months??? I'm prepared to act should one appear on the horizon. The Economy (LEI) and the SPX (stock market) will let me know if I need to run for the hills and hide.
What % of your money will you move, and is it to cash?
Cash would only be a very short term place holder before I would move to either a short or long term bond ETF. Because my portfolio is substantial, I might pick two or three. I'm not much for holding cash with interest rates so low but, if I must.

LittleD
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Re: My trend following strategy and experience

Post by LittleD » Sat May 25, 2019 12:59 pm

abc132 wrote:
Sat May 25, 2019 12:47 pm
willthrill81 wrote:
Sat May 25, 2019 9:38 am
I will kindly say yet again that comparing the performance of any TF strategy to that of BAH over a short-term period, even a decade, is simply erroneous. It would be like a gold bug in 2009 declaring that gold, with annualized returns over the prior decade of 11.10%, was far superior to stocks or bonds, which had real returns over the prior decade of -2.73% and 3.44%.

All roads carry risk.
That's why we have been talking about things like jumping in and out of the market, and being very non-diversified. You frequently reference past results, so using recent past results to point out risks that have revealed themselves is entirely appropriate. They are not being used to predict future performance. Your strategy could outperform buy and hold, it would just do so with more risks, and a bigger possible downturn.

You are misstating what others have been saying, and what logic they are using.

All roads do not carry equal risks, and equating all risks would certainly be one sign of an inability to understand risk. Please don't do this, as it weakens your argument.
You must do the right analysis if you want to compare the risk profile of B&H to TC. The proper comparison is to look at the combined, weighted B&H sortino ratio to the single ()relative momentum) asset of the TC strategy. My guess, since you are exposed to more downside than TC over long periods of time, his strategy might come out the winner. TC mitigates downside risk and the sortino would identify that.

LittleD
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Re: My trend following strategy and experience

Post by LittleD » Sat May 25, 2019 1:09 pm

privatefarmer wrote:
Sat May 25, 2019 12:29 pm
willthrill81 wrote:
Fri Jan 18, 2019 2:25 pm
sergeant wrote:
Fri Jan 18, 2019 1:09 pm
I look forward to updates. The biggest hurdle for me would be being completely out of the market as it climbs, like the past couple days. Much easier for me to be in with at least part of my portfolio. Good luck.
This is where knowledge of the market's history can help. Historically, the biggest 'up' days have occurred during bear markets. The problem is that they tend to be clustered with the biggest 'down' days, with the net result being very little growth. Avoiding both, if possible, would have historically led to better returns.

Also, this is the problem with the 'if you missed the best X days in the market, you're return would have been Y' argument. They neglect to say what your return would have been had you missed the worst X days in the market.

If we define an 'upward' or 'downward' trending market by the popular 200 day moving average approach, the market has historically returned around 2% when it was in a downward trend and volatility was much higher than when it was in an upward trend. I personally have no interest in holding stocks when the expected return is 2% and volatility is very high.
I am sure this has been stated multiple times in the forum already, but if you could predict, when ANY kind of probability, that the market was only going to return 2% for the intermediate future, don’t you think the big boys (hedge funds, institutional investors, warren buffet, etc) would be able to do so And do so more efficiently?? I believe the back tests are accurate however I also believe that every single prominent back test has now been PRICED IN to the CURRENT price. In other words, now that we “know” how markets have behaved when X indicator says Y, this has now been accounted for in the current price and you nor I will be able to effectively and reliably take advantage of it going forward.

I can't predict what the future holds and I can't predict when the next recession will be realized but, it will happen and in some ways I long for that day. If the mother of all recessions comes, I will be safe on the sidelines while the buy and hold guys are quaking. I would just love it if the SPX goes all the way back to 500 because I will be able to double or triple my nestegg over the next decade if that happens. Will the guys that B&H??? Not in a decade they won't.

abc132
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Re: My trend following strategy and experience

Post by abc132 » Sat May 25, 2019 2:06 pm

LittleD wrote:
Sat May 25, 2019 12:59 pm
abc132 wrote:
Sat May 25, 2019 12:47 pm
willthrill81 wrote:
Sat May 25, 2019 9:38 am
I will kindly say yet again that comparing the performance of any TF strategy to that of BAH over a short-term period, even a decade, is simply erroneous. It would be like a gold bug in 2009 declaring that gold, with annualized returns over the prior decade of 11.10%, was far superior to stocks or bonds, which had real returns over the prior decade of -2.73% and 3.44%.

All roads carry risk.
That's why we have been talking about things like jumping in and out of the market, and being very non-diversified. You frequently reference past results, so using recent past results to point out risks that have revealed themselves is entirely appropriate. They are not being used to predict future performance. Your strategy could outperform buy and hold, it would just do so with more risks, and a bigger possible downturn.

You are misstating what others have been saying, and what logic they are using.

All roads do not carry equal risks, and equating all risks would certainly be one sign of an inability to understand risk. Please don't do this, as it weakens your argument.
You must do the right analysis if you want to compare the risk profile of B&H to TC. The proper comparison is to look at the combined, weighted B&H sortino ratio to the single ()relative momentum) asset of the TC strategy. My guess, since you are exposed to more downside than TC over long periods of time, his strategy might come out the winner. TC mitigates downside risk and the sortino would identify that.
We agree that
1. Some analysis of risks should happen

The question is if there is enough interest in talking to other people and listening to other people to have an actionable conversation about risks.

Please let me know if you have such an interest - your comments so far indicate that you seem to be reasonable enough to do so.

Lee_WSP
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Re: My trend following strategy and experience

Post by Lee_WSP » Sat May 25, 2019 2:08 pm

willthrill81 wrote:
Sat May 25, 2019 11:43 am
BlueEars wrote:
Sat May 25, 2019 9:46 am
Will, you are a very patient guy with all these repeated posts that carry misconceptions.

I hope those who disagree with the approach will spend some time looking over the huge number of arguments before presenting their contrary view.
Thank you for the kind words. I find it both interesting and amusing that many are quick to point out the potential downside of TF, but they look the other way when it comes to things like sticking with BAH through the Great Depression, the Japanese stock market, etc. As I say frequently, all roads carry risk.
The boglehead strategy requires both dogmatic belief and adherence to the strategy.

Belief that one cannot beat the market over the long term and that the market will continue to go up. I think it by extension also requires belief in the efficient markets hypothesis.

abc132
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Re: My trend following strategy and experience

Post by abc132 » Sat May 25, 2019 2:26 pm

Lee_WSP wrote:
Sat May 25, 2019 2:08 pm
willthrill81 wrote:
Sat May 25, 2019 11:43 am
BlueEars wrote:
Sat May 25, 2019 9:46 am
Will, you are a very patient guy with all these repeated posts that carry misconceptions.

I hope those who disagree with the approach will spend some time looking over the huge number of arguments before presenting their contrary view.
Thank you for the kind words. I find it both interesting and amusing that many are quick to point out the potential downside of TF, but they look the other way when it comes to things like sticking with BAH through the Great Depression, the Japanese stock market, etc. As I say frequently, all roads carry risk.
The boglehead strategy requires both dogmatic belief and adherence to the strategy.

Belief that one cannot beat the market over the long term and that the market will continue to go up. I think it by extension also requires belief in the efficient markets hypothesis.
These opinions seem to be contrary to evidence. Bogle showed us that the chances and costs of trying to beat the market generally do not not beat the rewards of just taking what the market can give you. He showed us what percentage of funds did beat the market, and whether than past trend was significant moving forward. The answer was generally not.

Bogleheads are generally conservative investors and often plan for worst case scenarios where the market does not go up.

The market does not have to go up to apply Boglehead strategies.

Sticking to a strategy is not different than what the OP has suggested.

There are aspects of self-reinforcement and dogmatism here, which is why each of us need to be able to accept critical comments if we are going to engage in actionable conversations. Talking about our own opinions is generally better than talking about other people's, especially when that other person is right there and perfectly able to present their opinion in a much more accurate and unbiased manner.

Lee_WSP
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Re: My trend following strategy and experience

Post by Lee_WSP » Sat May 25, 2019 2:31 pm

Fact : b&h has historically been a great strategy.
Fact : no one can accurately predict the future.
Belief : b&h will continue to be the best strategy.

abc132
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Re: My trend following strategy and experience

Post by abc132 » Sat May 25, 2019 2:49 pm

Lee_WSP wrote:
Sat May 25, 2019 2:31 pm
Fact : b&h has historically been a great strategy.
Fact : no one can accurately predict the future.
Belief : b&h will continue to be the best strategy.
Absolutely false.

The chances that B&H will outperform every other strategy are almost zero.

The belief would be that our best odds are taking what the market can give us in a low cost diversified fund, appropriate to our risk tolerance.

There will certainly be better strategies, but which of them will only be known after the fact.

Lee_WSP
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Re: My trend following strategy and experience

Post by Lee_WSP » Sat May 25, 2019 2:51 pm

Like I said, best strategy. Best does not mean highest return to everyone.

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tadamsmar
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Re: My trend following strategy and experience

Post by tadamsmar » Sat May 25, 2019 2:58 pm

willthrill81 wrote:
Sat May 25, 2019 11:43 am
I find it both interesting and amusing that many are quick to point out the potential downside of TF, but they look the other way when it comes to things like sticking with BAH through the Great Depression, the Japanese stock market, etc. As I say frequently, all roads carry risk.
As you have pointed out, Boglehead investing is not BAH since is includes rebalancing. Rebalancing did just fine through the Great Depression. You'd have to cherry pick the start and end dates to make it look bad. But of course, TF looks bad if you cherry pick the dates.

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Re: My trend following strategy and experience

Post by willthrill81 » Sat May 25, 2019 3:03 pm

tadamsmar wrote:
Sat May 25, 2019 2:58 pm
willthrill81 wrote:
Sat May 25, 2019 11:43 am
I find it both interesting and amusing that many are quick to point out the potential downside of TF, but they look the other way when it comes to things like sticking with BAH through the Great Depression, the Japanese stock market, etc. As I say frequently, all roads carry risk.
As you have pointed out, Boglehead investing is not BAH since is includes rebalancing. Rebalancing did just fine through the Great Depression. You'd have to cherry pick the start and end dates to make it look bad. But of course, TF looks bad if you cherry pick the dates.
I would seriously question anyone who says that they would sell their 'safe' bonds to buy stocks that plummeted in value all the way down to an 89% maximum drawdown. Some probably would, but I doubt that the typical Boglehead could stomach it. There were many die-hard Bogleheads here who didn't rebalance into stocks a decade ago when stocks were down 50% because they felt that doing so would have been akin to 'trying to catch a falling knife', and I don't blame them. Even people like Taylor Larimore were talking about 'plan B' back then, and the Great Depression was far worse.

And yes, if we cherry pick dates, we can make almost any strategy look good. It's my view that we should only evaluate a strategy's long-term performance before we can really get a good idea as to how plausible it is, with the big caveat that the future could look very different from the past.

In seeing how TF has functioned over time, geography, and asset classes, I'm convinced that it's appropriate for me for the reasons I've reiterated in this thread multiple times. I can certainly see why many here are very skeptical of this approach, and that's fine. That being said, I do find some of the recent antagonism unwarranted. I'm not a missionary for TF strategies trying to convert people from whatever they're doing now to it; for instance, I've repeatedly pointed out that TF strategies have generally had poor performance relative to buy-and-hold of U.S. stocks over the past decade. I've also stated that TF may not function in the future as it has in the past. That's a risk I'm willing to take on.
Last edited by willthrill81 on Sat May 25, 2019 3:09 pm, edited 1 time in total.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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Re: My trend following strategy and experience

Post by LittleD » Sat May 25, 2019 3:05 pm

We agree that
1. Some analysis of risks should happen

The question is if there is enough interest in talking to other people and listening to other people to have an actionable conversation about risks.

Please let me know if you have such an interest - your comments so far indicate that you seem to be reasonable enough to do so.
I am totally agreeable that B&H is a useful strategy for most (I said most) people. They want to set it and forget it for many years if possible. Not one thing wrong with that in my book. In my own family, most of them want to just get the investment process done, automated, and out of mind so they can just live their lives...I get that. I spend Friday nights and Saturday mornings looking at relative strengths of very inexpensive ETF and Index mutual funds that I might switch into at the end of each month. I do this because I love spending time managing my portfolio garden. I have to keep my garden free of weeds and watered when necessary. I track the economy and the Fed with zeal so that the boogie man doesn't slip up and slit my throat. Recently, I have spent much time studying the low volatility funds available for no fees at Schwab. I'm almost fully invested in SPLV an USMV since late December. I have a small percentage in SPYG which is a large high-growth ETF. I let the market speak to me and I have a pretty big list of choices I can use to select from. Relative momentum separates the current wheat from the chaff so to speak for me. My current investments have lower SD than the SPY so I'm happy as long as my sell trigger isn't pulled.

Look, I'm not trying to sell or convince anyone that my strategy will work for them. It would never work for those that just want to set it and forget it.

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Re: My trend following strategy and experience

Post by abc132 » Sat May 25, 2019 3:07 pm

Lee_WSP wrote:
Sat May 25, 2019 2:51 pm
Like I said, best strategy. Best does not mean highest return to everyone.
If you can tell us the specific strategy that is better, and why, and accept critical conversation about that strategy, I'm all ears.

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Re: My trend following strategy and experience

Post by willthrill81 » Sat May 25, 2019 3:12 pm

Lee_WSP wrote:
Sat May 25, 2019 2:51 pm
Like I said, best strategy. Best does not mean highest return to everyone.
I believe that you mean that Bogleheads view buy-and-hold of something like the 3-fund portfolio, with very low cost index funds, to be the best a priori strategy, fully acknowledging that some other strategy will certainly outperform it, but that they cannot know which strategy that will be in advance. If so, I agree that this seems to be the common perception around here.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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Re: My trend following strategy and experience

Post by Lee_WSP » Sat May 25, 2019 3:16 pm

abc132 wrote:
Sat May 25, 2019 3:07 pm
Lee_WSP wrote:
Sat May 25, 2019 2:51 pm
Like I said, best strategy. Best does not mean highest return to everyone.
If you can tell us the specific strategy that is better, and why, and accept critical conversation about that strategy, I'm all ears.
You see, I've never actually disagreed that given the prior evidence b&h isn't the best strategy for most people or even myself. Currently I do not see a more easily implemented strategy that would potentially net greater returns without more work or risk.

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Re: My trend following strategy and experience

Post by tadamsmar » Sat May 25, 2019 3:21 pm

willthrill81 wrote:
Sat May 25, 2019 3:03 pm
tadamsmar wrote:
Sat May 25, 2019 2:58 pm
willthrill81 wrote:
Sat May 25, 2019 11:43 am
I find it both interesting and amusing that many are quick to point out the potential downside of TF, but they look the other way when it comes to things like sticking with BAH through the Great Depression, the Japanese stock market, etc. As I say frequently, all roads carry risk.
As you have pointed out, Boglehead investing is not BAH since is includes rebalancing. Rebalancing did just fine through the Great Depression. You'd have to cherry pick the start and end dates to make it look bad. But of course, TF looks bad if you cherry pick the dates.
I would seriously question anyone who says that they would sell their 'safe' bonds to buy stocks that plummeted in value all the way down to an 89% maximum drawdown. Some probably would, but I doubt that the typical Boglehead could stomach it.
So now you have abandoned your first claim and you are making a new claim.

Your new claim is the Bogleheads cannot sustain their strategy.

The Wellington Fund (a blended mutual fund similar to Boghead investing) survived 1929, so a good many investors must have stuck with it.

Paul Merriman was an advocate of 100% TF investing decades ago and he has abandoned it. Retirement investing typically needs to be sustained for five or more decades. Is there any evidence that a large percentage of 100% TF investors stick with it?

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Re: My trend following strategy and experience

Post by LittleD » Sat May 25, 2019 3:22 pm

abc132 wrote:
Sat May 25, 2019 3:07 pm
Lee_WSP wrote:
Sat May 25, 2019 2:51 pm
Like I said, best strategy. Best does not mean highest return to everyone.
If you can tell us the specific strategy that is better, and why, and accept critical conversation about that strategy, I'm all ears.
No one... and I mean no one can tell anyone what or which strategy will be best in the future. Every person has to answer that question for
themselves since they have to live with those future outcomes. Also, each person has to decide for themselves how much time and effort they
are willing to expend in order to achieve some future goal. If all some individuals want is to supplement SS in retirement, then B&H for an investment
lifetime will surely do that for most anyone.

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Re: My trend following strategy and experience

Post by abc132 » Sat May 25, 2019 3:25 pm

LittleD wrote:
Sat May 25, 2019 3:05 pm
We agree that
1. Some analysis of risks should happen

The question is if there is enough interest in talking to other people and listening to other people to have an actionable conversation about risks.

Please let me know if you have such an interest - your comments so far indicate that you seem to be reasonable enough to do so.
I am totally agreeable that B&H is a useful strategy for most (I said most) people. They want to set it and forget it for many years if possible. Not one thing wrong with that in my book. In my own family, most of them want to just get the investment process done, automated, and out of mind so they can just live their lives...I get that. I spend Friday nights and Saturday mornings looking at relative strengths of very inexpensive ETF and Index mutual funds that I might switch into at the end of each month. I do this because I love spending time managing my portfolio garden. I have to keep my garden free of weeds and watered when necessary. I track the economy and the Fed with zeal so that the boogie man doesn't slip up and slit my throat. Recently, I have spent much time studying the low volatility funds available for no fees at Schwab. I'm almost fully invested in SPLV an USMV since late December. I have a small percentage in SPYG which is a large high-growth ETF. I let the market speak to me and I have a pretty big list of choices I can use to select from. Relative momentum separates the current wheat from the chaff so to speak for me. My current investments have lower SD than the SPY so I'm happy as long as my sell trigger isn't pulled.

Look, I'm not trying to sell or convince anyone that my strategy will work for them. It would never work for those that just want to set it and forget it.
Feel free to do whatever you wish, without concern for my opinion. I wish you the best.

I make no judgment about one individual can choose to do, but I do make judgments if they present misleading arguments about their own method to others.

If you wish to discuss the risk of the method in this thread, I've said I'm perfectly willing to do so, but I haven't heard a similar response.

I feel that opt-outs like "all investments have risk", or an attempt to only talk about the risk of B&H, are an attempt to avoid a look at the actual risk of their own portfolio. If the OP believes the typical Boglehead is in too risky of a portfolio, we could take the average Boglehead portfolio (something like 60/40) and see if it has more risk than a 100% stock portfolio using market timing. If it does not, we would know that the this strategy is not addressing risk properly. People could make improved decisions based on the analysis, regardless of the final result.

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Re: My trend following strategy and experience

Post by Lee_WSP » Sat May 25, 2019 3:27 pm

willthrill81 wrote:
Sat May 25, 2019 3:12 pm
Lee_WSP wrote:
Sat May 25, 2019 2:51 pm
Like I said, best strategy. Best does not mean highest return to everyone.
I believe that you mean that Bogleheads view buy-and-hold of something like the 3-fund portfolio, with very low cost index funds, to be the best a priori strategy, fully acknowledging that some other strategy will certainly outperform it, but that they cannot know which strategy that will be in advance. If so, I agree that this seems to be the common perception around here.
No, I meant what I said. Best means different things to people. Highest return is one thing, highest return with x amount of risk is another measure, least amount of work is still another. Best is subjective to each person.

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Re: My trend following strategy and experience

Post by LittleD » Sat May 25, 2019 3:28 pm

Paul Merriman was an advocate of 100% TF investing decades ago and he has abandoned it. Retirement investing typically needs to be sustained for five or more decades. Is there any evidence that a large percentage of 100% TF investors stick with it?

You don't have Mr. Merriman's investment portfolio just right. He has 50% of his total portfolio in B&H using his Ultimate Portfolio strategy and 50% TF using something like a 100 SMA for the sell trigger. He has a portfolio manager at his old company do this for him since he has long since retired. I think he has said that he has a small part of his retirement fund in a hedge fund that he invested in decades ago. He even says this is because he was able to over-save in his lifetime and has plenty to live on and bequeath to his children and causes.

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Re: My trend following strategy and experience

Post by thx1138 » Sat May 25, 2019 3:49 pm

willthrill81 wrote:
Sat May 25, 2019 3:03 pm
I would seriously question anyone who says that they would sell their 'safe' bonds to buy stocks that plummeted in value all the way down to an 89% maximum drawdown. Some probably would, but I doubt that the typical Boglehead could stomach it. There were many die-hard Bogleheads here who didn't rebalance into stocks a decade ago when stocks were down 50% because they felt that doing so would have been akin to 'trying to catch a falling knife', and I don't blame them. Even people like Taylor Larimore were talking about 'plan B' back then, and the Great Depression was far worse.
But doesn’t TF require you to do exactly that to make up for the whipsaw losses? And in fact to go “all in” completely out of safe assets into equities while the world appears on fire?

Certainly if the exit trigger fired early enough you’ve got a lot more assets at that bottom than the BAH but again you need to have the stomach to sell all those comforting bonds for equities.

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Re: My trend following strategy and experience

Post by willthrill81 » Sat May 25, 2019 4:43 pm

tadamsmar wrote:
Sat May 25, 2019 3:21 pm
willthrill81 wrote:
Sat May 25, 2019 3:03 pm
tadamsmar wrote:
Sat May 25, 2019 2:58 pm
willthrill81 wrote:
Sat May 25, 2019 11:43 am
I find it both interesting and amusing that many are quick to point out the potential downside of TF, but they look the other way when it comes to things like sticking with BAH through the Great Depression, the Japanese stock market, etc. As I say frequently, all roads carry risk.
As you have pointed out, Boglehead investing is not BAH since is includes rebalancing. Rebalancing did just fine through the Great Depression. You'd have to cherry pick the start and end dates to make it look bad. But of course, TF looks bad if you cherry pick the dates.
I would seriously question anyone who says that they would sell their 'safe' bonds to buy stocks that plummeted in value all the way down to an 89% maximum drawdown. Some probably would, but I doubt that the typical Boglehead could stomach it.
So now you have abandoned your first claim and you are making a new claim.

Your new claim is the Bogleheads cannot sustain their strategy.

The Wellington Fund (a blended mutual fund similar to Boghead investing) survived 1929, so a good many investors must have stuck with it.

Paul Merriman was an advocate of 100% TF investing decades ago and he has abandoned it. Retirement investing typically needs to be sustained for five or more decades. Is there any evidence that a large percentage of 100% TF investors stick with it?
I've not abandoned anything, nor have I changed my 'claim'. I've said repeatedly in other threads that if Great Depression 2.0 hits, all bets are off when it comes to 'buy-and-hold' and 'stay the course'.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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Re: My trend following strategy and experience

Post by willthrill81 » Sat May 25, 2019 4:46 pm

thx1138 wrote:
Sat May 25, 2019 3:49 pm
willthrill81 wrote:
Sat May 25, 2019 3:03 pm
I would seriously question anyone who says that they would sell their 'safe' bonds to buy stocks that plummeted in value all the way down to an 89% maximum drawdown. Some probably would, but I doubt that the typical Boglehead could stomach it. There were many die-hard Bogleheads here who didn't rebalance into stocks a decade ago when stocks were down 50% because they felt that doing so would have been akin to 'trying to catch a falling knife', and I don't blame them. Even people like Taylor Larimore were talking about 'plan B' back then, and the Great Depression was far worse.
But doesn’t TF require you to do exactly that to make up for the whipsaw losses? And in fact to go “all in” completely out of safe assets into equities while the world appears on fire?
No. It requires me to move back into stocks when the UER is no longer above its 12 MMA or stocks have a higher relative strength over the prior 7 months than bonds, neither of which are a "world appears on fire" situation. TF does not try to get back in right at the bottom of a market trough because it's impossible to reliably do so; that's a common misconception among those who believe that you 'have to be right twice'.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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Re: My trend following strategy and experience

Post by abc132 » Sat May 25, 2019 5:57 pm

Lee_WSP wrote:
Sat May 25, 2019 3:27 pm
No, I meant what I said. Best means different things to people. Highest return is one thing, highest return with x amount of risk is another measure, least amount of work is still another. Best is subjective to each person.
Your point is taken that the preferred strategy on a Boglehead site will be the methods touted by Bogleheads. The same would be true for a reputable trend following site, or an options site, etc.

It doesn't in and of itself really say anything other than people go to sites to read about the things they are interested in.

Using the word best was confusing in your original statement.

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Re: My trend following strategy and experience

Post by abc132 » Sat May 25, 2019 5:58 pm

willthrill81 wrote:
Sat May 25, 2019 4:46 pm
thx1138 wrote:
Sat May 25, 2019 3:49 pm
willthrill81 wrote:
Sat May 25, 2019 3:03 pm
I would seriously question anyone who says that they would sell their 'safe' bonds to buy stocks that plummeted in value all the way down to an 89% maximum drawdown. Some probably would, but I doubt that the typical Boglehead could stomach it. There were many die-hard Bogleheads here who didn't rebalance into stocks a decade ago when stocks were down 50% because they felt that doing so would have been akin to 'trying to catch a falling knife', and I don't blame them. Even people like Taylor Larimore were talking about 'plan B' back then, and the Great Depression was far worse.
But doesn’t TF require you to do exactly that to make up for the whipsaw losses? And in fact to go “all in” completely out of safe assets into equities while the world appears on fire?
No. It requires me to move back into stocks when the UER is no longer above its 12 MMA or stocks have a higher relative strength over the prior 7 months than bonds, neither of which are a "world appears on fire" situation. TF does not try to get back in right at the bottom of a market trough because it's impossible to reliably do so; that's a common misconception among those who believe that you 'have to be right twice'.
At what point did this happen in the great depression, 2000 and 2008?

I have no disagreement here, but some numbers would be helpful for context of how your method performed.

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Re: My trend following strategy and experience

Post by willthrill81 » Sat May 25, 2019 7:42 pm

Read the links in the OP for a backtest of the main part of my strategy (i.e. when to move in to/out of stocks).
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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Re: My trend following strategy and experience

Post by Dottie57 » Sat May 25, 2019 7:58 pm

Willthrill81,

I enjoy your posts and hope your strategy works well for you. I’ll remain A Boglehead for simplicity and easy understanding. I was always a Boglehead with regards to my 401k because of the funds provided therein. Something I am grateful to my former employers.

With BAH, I know it is not always optimum but on average pretty good. One important benefit is that If hit by a bus I know those who would care for me can understand what I wish to be done.

Once again wishing you well in your endeavor .

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Re: My trend following strategy and experience

Post by willthrill81 » Sat May 25, 2019 8:05 pm

Dottie57 wrote:
Sat May 25, 2019 7:58 pm
Willthrill81,

I enjoy your posts and hope your strategy works well for you. I’ll remain A Boglehead for simplicity and easy understanding. I was always a Boglehead with regards to my 401k because of the funds provided therein. Something I am grateful to my former employers.

With BAH, I know it is not always optimum but on average pretty good. One important benefit is that If hit by a bus I know those who would care for me can understand what I wish to be done.

Once again wishing you well in your endeavor .
Thank you for the kind words. I have detailed plans left for my wife as to how to manage our portfolio in the event of my demise, and it's a BAH strategy of the 3-fund portfolio plus some SCV.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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Re: My trend following strategy and experience

Post by abc132 » Sat May 25, 2019 8:20 pm

willthrill81 wrote:
Sat May 25, 2019 7:42 pm
Read the links in the OP for a backtest of the main part of my strategy (i.e. when to move in to/out of stocks).
I understand your strategy, I was just curious if you ever tested your conclusion that you would not have to buy back at a difficult time.

I think you answered by not answering.

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Re: My trend following strategy and experience

Post by willthrill81 » Sat May 25, 2019 8:37 pm

abc132 wrote:
Sat May 25, 2019 8:20 pm
willthrill81 wrote:
Sat May 25, 2019 7:42 pm
Read the links in the OP for a backtest of the main part of my strategy (i.e. when to move in to/out of stocks).
I understand your strategy, I was just curious if you ever tested your conclusion that you would not have to buy back at a difficult time.

I think you answered by not answering.
I kindly ask you to refrain from putting words in my mouth.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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Re: My trend following strategy and experience

Post by abc132 » Sat May 25, 2019 9:00 pm

willthrill81 wrote:
Sat May 25, 2019 8:37 pm
abc132 wrote:
Sat May 25, 2019 8:20 pm
willthrill81 wrote:
Sat May 25, 2019 7:42 pm
Read the links in the OP for a backtest of the main part of my strategy (i.e. when to move in to/out of stocks).
I understand your strategy, I was just curious if you ever tested your conclusion that you would not have to buy back at a difficult time.

I think you answered by not answering.
I kindly ask you to refrain from putting words in my mouth.
I think I've learned what I can about how the method was formed, rational, backtesting etc.

I will be cheering you on.

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Re: My trend following strategy and experience

Post by Forester » Sun May 26, 2019 6:56 am

abc132 wrote:
Sat May 25, 2019 5:58 pm
willthrill81 wrote:
Sat May 25, 2019 4:46 pm
thx1138 wrote:
Sat May 25, 2019 3:49 pm
willthrill81 wrote:
Sat May 25, 2019 3:03 pm
I would seriously question anyone who says that they would sell their 'safe' bonds to buy stocks that plummeted in value all the way down to an 89% maximum drawdown. Some probably would, but I doubt that the typical Boglehead could stomach it. There were many die-hard Bogleheads here who didn't rebalance into stocks a decade ago when stocks were down 50% because they felt that doing so would have been akin to 'trying to catch a falling knife', and I don't blame them. Even people like Taylor Larimore were talking about 'plan B' back then, and the Great Depression was far worse.
But doesn’t TF require you to do exactly that to make up for the whipsaw losses? And in fact to go “all in” completely out of safe assets into equities while the world appears on fire?
No. It requires me to move back into stocks when the UER is no longer above its 12 MMA or stocks have a higher relative strength over the prior 7 months than bonds, neither of which are a "world appears on fire" situation. TF does not try to get back in right at the bottom of a market trough because it's impossible to reliably do so; that's a common misconception among those who believe that you 'have to be right twice'.
At what point did this happen in the great depression, 2000 and 2008?

I have no disagreement here, but some numbers would be helpful for context of how your method performed.
A list of all the whipsaws using his strategy over the last three decades. The UER filter has been very dependable.

Jan 2019
Nov 2002
Mar 2002
Sep 2000
Nov 1991
Aug to Nov 1990
Jan & Feb 1990

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Re: My trend following strategy and experience

Post by tadamsmar » Sun May 26, 2019 9:19 am

LittleD wrote:
Sat May 25, 2019 3:28 pm
Paul Merriman was an advocate of 100% TF investing decades ago and he has abandoned it. Retirement investing typically needs to be sustained for five or more decades. Is there any evidence that a large percentage of 100% TF investors stick with it?

You don't have Mr. Merriman's investment portfolio just right. He has 50% of his total portfolio in B&H using his Ultimate Portfolio strategy and 50% TF using something like a 100 SMA for the sell trigger. He has a portfolio manager at his old company do this for him since he has long since retired. I think he has said that he has a small part of his retirement fund in a hedge fund that he invested in decades ago. He even says this is because he was able to over-save in his lifetime and has plenty to live on and bequeath to his children and causes.
He is very critical of 100% TF based on his experience, but I might be wrong that this is based on his direct personal experience:


"Nearly half a century of working with investors has taught me this: Many people who try buy and hold succeed, while most of those who try timing (particularly those who do it themselves) fail."

https://www.marketwatch.com/story/why-m ... 2013-10-23

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Re: My trend following strategy and experience

Post by willthrill81 » Sun May 26, 2019 9:24 am

tadamsmar wrote:
Sun May 26, 2019 9:19 am
LittleD wrote:
Sat May 25, 2019 3:28 pm
Paul Merriman was an advocate of 100% TF investing decades ago and he has abandoned it. Retirement investing typically needs to be sustained for five or more decades. Is there any evidence that a large percentage of 100% TF investors stick with it?

You don't have Mr. Merriman's investment portfolio just right. He has 50% of his total portfolio in B&H using his Ultimate Portfolio strategy and 50% TF using something like a 100 SMA for the sell trigger. He has a portfolio manager at his old company do this for him since he has long since retired. I think he has said that he has a small part of his retirement fund in a hedge fund that he invested in decades ago. He even says this is because he was able to over-save in his lifetime and has plenty to live on and bequeath to his children and causes.
He is very critical of 100% TF based on his experience, but I might be wrong that this is based on his direct personal experience:


"Nearly half a century of working with investors has taught me this: Many people who try buy and hold succeed, while most of those who try timing (particularly those who do it themselves) fail."

https://www.marketwatch.com/story/why-m ... 2013-10-23
It is partly for that reason that I do not advocate TF to anyone.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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Re: My trend following strategy and experience

Post by tadamsmar » Sun May 26, 2019 12:47 pm

Forester wrote:
Sun May 26, 2019 6:56 am
A list of all the whipsaws using his strategy over the last three decades. The UER filter has been very dependable.

Jan 2019
Nov 2002
Mar 2002
Sep 2000
Nov 1991
Aug to Nov 1990
Jan & Feb 1990
In addition to UER, Willthrill81 is triggering on the relative strength signals that depend on the mutual funds offered by each of his fiduciaries. Unless I missed something, Willthrill81 has not specified those sets of offerings. So I don't see how you have the information needed to determine whipsaws from the past. I am not even sure all these offerings even existed in 1990.

Heck, he could have a whipsaw with one of his fiduciaries and not with another (assuming I understand what is he doing).

Are you using some kind of proxy instead of his actual strategy?

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