My trend following strategy and experience

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tadamsmar
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Re: My trend following strategy and experience

Post by tadamsmar » Fri Jun 28, 2019 11:23 am

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Last edited by tadamsmar on Fri Jun 28, 2019 11:25 am, edited 1 time in total.

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Re: My trend following strategy and experience

Post by tadamsmar » Fri Jun 28, 2019 11:24 am

tadamsmar wrote:
Fri Jun 28, 2019 11:23 am
willthrill81 wrote:
Fri Jun 28, 2019 9:32 am
I have the impression that the typical thread here is about the poster's strategy and experience investing the family nest egg. By "family nest egg" I mean pretty much the entire life savings of a husband and wife.

Some Bogleheads do post here about their "fun money" which they invest in a different manner not so boring. I have have seen references to 20% allocations to "fun money" so that could be a substantial sum.

I see indications that this thread is not about your "family nest egg investing strategy and experience".

You say "We save approximately 50% of our gross income..." which implies that you and your wife may have substantial taxable savings. You don't seem to be doing trend following with your taxable savings. This implies that your overall investing strategy is different from your tread following strategy.
We have no taxable accounts because we have over $76k of tax-advantaged space annually.
So I guess you and your wife are all in on this trend-following strategy.
willthrill81 wrote:I know that my portfolio is a sort of guinea pig, and I know that the long-term results of my strategy may be poor.
Unless I am mistaken, there are two guinea pigs in this experiment.

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Re: My trend following strategy and experience

Post by abc132 » Fri Jun 28, 2019 11:29 am

tadamsmar wrote:
Fri Jun 28, 2019 11:24 am
tadamsmar wrote:
Fri Jun 28, 2019 11:23 am
willthrill81 wrote:
Fri Jun 28, 2019 9:32 am
I have the impression that the typical thread here is about the poster's strategy and experience investing the family nest egg. By "family nest egg" I mean pretty much the entire life savings of a husband and wife.

Some Bogleheads do post here about their "fun money" which they invest in a different manner not so boring. I have have seen references to 20% allocations to "fun money" so that could be a substantial sum.

I see indications that this thread is not about your "family nest egg investing strategy and experience".

You say "We save approximately 50% of our gross income..." which implies that you and your wife may have substantial taxable savings. You don't seem to be doing trend following with your taxable savings. This implies that your overall investing strategy is different from your tread following strategy.
We have no taxable accounts because we have over $76k of tax-advantaged space annually.
So I guess you and your wife are all in on this trend-following strategy.
willthrill81 wrote:I know that my portfolio is a sort of guinea pig, and I know that the long-term results of my strategy may be poor.
Unless I am mistaken, there are two guinea pigs in this experiment.
The concerns raised about the implementation are

1. going 100% into a single fund, the good/bad outcome may be mostly based on luck during a few key events
2. lack of diversification or bonds

Of the two people mentioned by Willthrills as supporting trend, the first mentioned #1 and the second mentioned #2.

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Re: My trend following strategy and experience

Post by willthrill81 » Fri Jun 28, 2019 1:07 pm

tadamsmar wrote:
Fri Jun 28, 2019 10:49 am
willthrill81 wrote:
Fri Jun 28, 2019 9:32 am
I was merely referring to de-risking by that point in time for much the same reason that we don't generally recommend retirees to be 100% stock.
Interesting. It's true that we recommend de-risking into bonds. But you are appealing to a position that you rejected earlier. You took a stand against it for personal and objective reasons.

You said:
But I also know that it would be difficult for me to hang on to a significant portion of fixed income investments when things look good and stocks are on a tear. In other words, I do not believe that I am well suited to buy-and-hold.
and you said:
The answer to just balance that out with an adequate allocation to fixed income doesn't really satisfy me either though, because I know that bonds took a big hit in real dollars from 1977-1981, and stocks didn't balance things out too well then either; the 1940s were very rough on fixed income too.
My distaste for bonds is for a long-term accumulation scenario rather than a decumulation scenario.
“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 Vulcan » Fri Jun 28, 2019 1:43 pm

tadamsmar wrote:
Fri Jun 28, 2019 11:24 am
Unless I am mistaken, there are two guinea pigs in this experiment.
And another question to ask here is whether the second uhm... pig :? is comfortable taking over the strategy in an unlikely even the first one is, at the risk of mixing metaphors, hit by a proverbial bus right around the time a change is signaled.

A reasonable mixture of VT and BND can be left unattended for years, decades even.
If you torture the data long enough, it will confess to anything. ~Ronald Coase

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Re: My trend following strategy and experience

Post by willthrill81 » Fri Jun 28, 2019 2:04 pm

Vulcan wrote:
Fri Jun 28, 2019 1:43 pm
tadamsmar wrote:
Fri Jun 28, 2019 11:24 am
Unless I am mistaken, there are two guinea pigs in this experiment.
And another question to ask here is whether the second uhm... pig :? is comfortable taking over the strategy in an unlikely even the first one is, at the risk of mixing metaphors, hit by a proverbial bus right around the time a change is signaled.
I've left detailed instructions for my DW in the event of my untimely passing. Due to the simplicity that she desires, her instructions are for buy-and-hold. But she is very comfortable with the TF strategy I'm implementing.
“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 shans2000 » Fri Jun 28, 2019 3:25 pm

How is this strategy working out so far?

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Re: My trend following strategy and experience

Post by Always passive » Fri Jun 28, 2019 3:37 pm

Alpha Architects use a combination of two signals to go out of stocks, absolute momentum and moving average. If both of them signal to leave the market, they do; however, if only one of them do, they only cash 50% of the assets.
Have you looked at this strategy and if yes, why do you not use it?

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Re: My trend following strategy and experience

Post by LadyGeek » Fri Jun 28, 2019 3:39 pm

I removed several off-topic posts related to opinions of the OP's approach to this thread. The discussion was getting derailed. As a reminder, see: General Etiquette
At all times we must conduct ourselves in a respectful manner to other posters.

... If you feel that someone has attacked you or otherwise violated the policies of this forum, do not respond in kind. Instead, please click the report button on the offending post. This is the quickest method to notify the site moderators.
Please stay on-topic.
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Re: My trend following strategy and experience

Post by willthrill81 » Fri Jun 28, 2019 4:20 pm

shans2000 wrote:
Fri Jun 28, 2019 3:25 pm
How is this strategy working out so far?
Some time next week, I'll post the YTD results. 2018's results are in the OP.
“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 » Fri Jun 28, 2019 4:23 pm

305pelusa wrote:
Thu Jun 27, 2019 9:29 pm
@OP: You have done a great job so far and know that at least one person has zero complaints about this thread. If anything, only praise from bringing it to light and letting us hear about it. Kudos.
Thank you very much. :beer
“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 Jun 29, 2019 11:35 am

willthrill81 wrote:
Fri Jun 28, 2019 4:20 pm
Some time next week, I'll post the YTD results. 2018's results are in the OP.
Thank you!

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Re: My trend following strategy and experience

Post by Forester » Sat Jun 29, 2019 11:47 am

Always passive wrote:
Fri Jun 28, 2019 3:37 pm
Alpha Architects use a combination of two signals to go out of stocks, absolute momentum and moving average. If both of them signal to leave the market, they do; however, if only one of them do, they only cash 50% of the assets.
Have you looked at this strategy and if yes, why do you not use it?
It's an unfiltered approach.

Antonacci's view on that very method:

"..... TMOM shows equal or better performance to the ROBUST method before transaction costs. After transaction costs, the case is even stronger for TMOM over ROBUST, since ROBUST trades more frequently than TMOM"

https://www.dualmomentum.net/2015/09/bo ... r.html?m=1

All the evidence I've seen is that 12mo time series is the best signal to use as has the best balance of infrequent switching while also catching major market turns (and it still gets whipsawed approximately 5 times out of 6).

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Re: My trend following strategy and experience

Post by Always passive » Sat Jun 29, 2019 1:11 pm

Forester wrote:
Sat Jun 29, 2019 11:47 am
Always passive wrote:
Fri Jun 28, 2019 3:37 pm
Alpha Architects use a combination of two signals to go out of stocks, absolute momentum and moving average. If both of them signal to leave the market, they do; however, if only one of them do, they only cash 50% of the assets.
Have you looked at this strategy and if yes, why do you not use it?
It's an unfiltered approach.

Antonacci's view on that very method:

"..... TMOM shows equal or better performance to the ROBUST method before transaction costs. After transaction costs, the case is even stronger for TMOM over ROBUST, since ROBUST trades more frequently than TMOM"

https://www.dualmomentum.net/2015/09/bo ... r.html?m=1

All the evidence I've seen is that 12mo time series is the best signal to use as has the best balance of infrequent switching while also catching major market turns (and it still gets whipsawed approximately 5 times out of 6).
Thank you for the reply. I was aware of the comments made by Antonacci. The only reason I asked the question is because Alpha Architects have been one of the leaders in the area of factor investing, and I wonder why they have not come to the same conclusion. Their website discusses the subject, but I did not find any data that supported their strategy.

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Re: My trend following strategy and experience

Post by BlueEars » Sat Jun 29, 2019 4:11 pm

Question for Will:

What is the shortest period you would use to look at the results of your portfolio strategy?

I don't really know the right answer to this and maybe there is no right answer. We might have backtest results for say 80 years for some parts of a strategy but some asset classes (like for instance, midcap growth or midcap value) might have much shorter monthly results. MSCI data and/or CRSP data doesn't seem to go back much more then to 1992.

I'm often disappointed in some of my 12 month results due to a poorly performing asset switch (like large growth to large value) but over longer periods the results can be winners.

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Re: My trend following strategy and experience

Post by willthrill81 » Sat Jun 29, 2019 8:03 pm

BlueEars wrote:
Sat Jun 29, 2019 4:11 pm
Question for Will:

What is the shortest period you would use to look at the results of your portfolio strategy?

I don't really know the right answer to this and maybe there is no right answer. We might have backtest results for say 80 years for some parts of a strategy but some asset classes (like for instance, midcap growth or midcap value) might have much shorter monthly results. MSCI data and/or CRSP data doesn't seem to go back much more then to 1992.

I'm often disappointed in some of my 12 month results due to a poorly performing asset switch (like large growth to large value) but over longer periods the results can be winners.
Excellent question. I agree with you that there probably isn't a right answer. Personally, I'm not concerned about short-term performance as long as I know that I am, on the basis of history, likely to have some kind of downside protection in the event of a bear market. I sleep very well at night, and that's what really matters to me.

I do know this much: if you're going to deviate from buy-and-hold of the total market, you'd better be prepared to underperform the market for at least a decade and maybe longer. This is true of any trend following strategy, factor tilting, etc.
“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 Jun 29, 2019 9:57 pm

I have updated the OP with my YTD performance and trades.
“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 Always passive » Sun Jun 30, 2019 12:16 am

willthrill81 wrote:
Sat Jun 29, 2019 8:03 pm
BlueEars wrote:
Sat Jun 29, 2019 4:11 pm
Question for Will:

What is the shortest period you would use to look at the results of your portfolio strategy?

I don't really know the right answer to this and maybe there is no right answer. We might have backtest results for say 80 years for some parts of a strategy but some asset classes (like for instance, midcap growth or midcap value) might have much shorter monthly results. MSCI data and/or CRSP data doesn't seem to go back much more then to 1992.

I'm often disappointed in some of my 12 month results due to a poorly performing asset switch (like large growth to large value) but over longer periods the results can be winners.
Excellent question. I agree with you that there probably isn't a right answer. Personally, I'm not concerned about short-term performance as long as I know that I am, on the basis of history, likely to have some kind of downside protection in the event of a bear market. I sleep very well at night, and that's what really matters to me.

I do know this much: if you're going to deviate from buy-and-hold of the total market, you'd better be prepared to underperform the market for at least a decade and maybe longer. This is true of any trend following strategy, factor tilting, etc.
I think that in order to embrace this strategy one must agree up front that the goal is not matching or exceeding the equity market long term performance. My view is that if you use this strategy, you can cut back on fixed income allocation since you will achieve most of the volatility reduction with trend following. Does what I state here not make sense?

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Re: My trend following strategy and experience

Post by abc132 » Sun Jun 30, 2019 12:52 am

Willthrills,

Since you have two aspects two your strategy, I think it would be really helpful to have a history of the timing portion of your performance and the trend following portion of your total portfolio performance as positive or negative contributions. Which aspect(s) are making your portfolio work may be lost without this information. One option would be time dividing your US/EX US allocation for determining whether to compare vs US performance or international performance, which would be 75% US and 25% Ex-US for the first half of 2019, and 100% US for 2018.

-4.38% 2018: Timing 0.00% Trend +0.79% Market: -5.17% (100/0% US stocks)
+5.00%? 2019 update: Timing -10.00%? Trend -1.00%? Market 16.1%? (75/25% US stocks, 15% bonds)

Also, it would be helpful to clearly state how the portfolio will ultimately be judged/compared. It appears you are most likely using time percentages, or possibly 85/15, but I'm not sure if it has been clearly stated how you wish to compare your results.

An alternate approach would be to compare the stock/bond portfolio that experienced the same maximum draw down (the main stated goal) for all years, which would currently be 100% stocks since you experienced all of 2018's downturn. If we experience a 40% draw down and you manage to avoid more than 20% of it, then your portfolio would still have a max draw down of 20%, and it would be compared vs the static stock/bond portfolio that experienced a 20% draw down during the 40% downturn. I'm using the term max draw down as a percentage loss rather than drop in portfolio value. This is essentially the stock/bond portfolio that would have given you the same protection from the big loss.

Thanks in advance.
Last edited by abc132 on Sun Jun 30, 2019 1:42 am, edited 9 times in total.

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Re: My trend following strategy and experience

Post by Always passive » Sun Jun 30, 2019 12:59 am

willthrill81 wrote:
Sat Jun 29, 2019 9:57 pm
I have updated the OP with my YTD performance and trades.
Where can I find them?

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Re: My trend following strategy and experience

Post by BlueEars » Sun Jun 30, 2019 8:53 am

Always passive wrote:
Sun Jun 30, 2019 12:59 am
willthrill81 wrote:
Sat Jun 29, 2019 9:57 pm
I have updated the OP with my YTD performance and trades.
Where can I find them?
OP means original post. See on page 1, bottom of OP.

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Re: My trend following strategy and experience

Post by willthrill81 » Sun Jun 30, 2019 9:28 am

Always passive wrote:
Sun Jun 30, 2019 12:16 am
willthrill81 wrote:
Sat Jun 29, 2019 8:03 pm
BlueEars wrote:
Sat Jun 29, 2019 4:11 pm
Question for Will:

What is the shortest period you would use to look at the results of your portfolio strategy?

I don't really know the right answer to this and maybe there is no right answer. We might have backtest results for say 80 years for some parts of a strategy but some asset classes (like for instance, midcap growth or midcap value) might have much shorter monthly results. MSCI data and/or CRSP data doesn't seem to go back much more then to 1992.

I'm often disappointed in some of my 12 month results due to a poorly performing asset switch (like large growth to large value) but over longer periods the results can be winners.
Excellent question. I agree with you that there probably isn't a right answer. Personally, I'm not concerned about short-term performance as long as I know that I am, on the basis of history, likely to have some kind of downside protection in the event of a bear market. I sleep very well at night, and that's what really matters to me.

I do know this much: if you're going to deviate from buy-and-hold of the total market, you'd better be prepared to underperform the market for at least a decade and maybe longer. This is true of any trend following strategy, factor tilting, etc.
I think that in order to embrace this strategy one must agree up front that the goal is not matching or exceeding the equity market long term performance. My view is that if you use this strategy, you can cut back on fixed income allocation since you will achieve most of the volatility reduction with trend following. Does what I state here not make sense?
Yes, that's basically where I am now, and I have no dedicated fixed income allocation.
“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 Barsoom » Sun Jun 30, 2019 10:04 am

abc132 wrote:
Sun Jun 30, 2019 12:52 am
Willthrills,

Also, it would be helpful to clearly state how the portfolio will ultimately be judged/compared. It appears you are most likely using time percentages, or possibly 85/15, but I'm not sure if it has been clearly stated how you wish to compare your results.
FWIW, rather than use a fixed pre-determined allocation, the originally linked articles determined how long the TF strategy was in/out of the market during the analysis period, and compared it to a B&H portfolio of the same ratio of stocks/bonds. Example, if TF was out of the market 28% of the time, then it was compared to a portfolio of 72% stocks and 28% bonds.

-B

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Re: My trend following strategy and experience

Post by abc132 » Sun Jun 30, 2019 10:37 am

Barsoom wrote:
Sun Jun 30, 2019 10:04 am
abc132 wrote:
Sun Jun 30, 2019 12:52 am
Willthrills,

Also, it would be helpful to clearly state how the portfolio will ultimately be judged/compared. It appears you are most likely using time percentages, or possibly 85/15, but I'm not sure if it has been clearly stated how you wish to compare your results.
FWIW, rather than use a fixed pre-determined allocation, the originally linked articles determined how long the TF strategy was in/out of the market during the analysis period, and compared it to a B&H portfolio of the same ratio of stocks/bonds. Example, if TF was out of the market 28% of the time, then it was compared to a portfolio of 72% stocks and 28% bonds.

-B
I'm interested in if the method ultimately meets the stated goals. His goals are independent of the ultimate time averaged allocation. A 72 stock/28 bond portfolio doesn't really address whether or not the method met the goals of lower max draw downs, or better performance than bonds. It would be interesting to see what metrics Bogleheads think will meet his goals.

Willthrills will be happy if the portfolio matches the market but experiences lower draw downs. (success!)
Willthrills will be willing to sacrifice up to 2% performance for lower draw downs. (lower limit)
Willthrills does not want the long term performance of bonds, and because bonds are guaranteed to dampen a downturn, his portfolio should do better than the equivalent stock/bond portfolio with the same max draw downs.

1. Scoring the timing of the market is simple. It is either value added or value removed with each timing event.

2. Scoring the asset rotation is as simple as comparing the performance of a similarly time-weighted portfolio. If the sector rotation adds value, the portfolio should do better than the things it invested in.

3. Is the method ultimately successful?

1 and 2 can be done without trying to judge if the method was successful. We don't have to wait 10 years to see what timing and trend are doing to help or harm the portfolio.

3 can only be judged after a long period of time (10+ years), or when the method is altered.

To answer this, the method should be within 2% of a heavy (100%) stock portfolio, and should have better performance than the stock/bond portfolio with the same max draw down.

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Re: My trend following strategy and experience

Post by Forester » Sun Jun 30, 2019 12:48 pm

1950-2018, Antonacci claimed 15.8% compound return for his simple GEM system with a max drawdown of 17.8%. ReSolve Asset Management did moreorless confirm this in their paper on GEM.

This link has the annual returns vs the benchmark (45% US, 28% ex-US, 27% Agg bonds). http://www.optimalmomentum.com/gem_trackrecord.html

Trend following returns after the GFC are almost exactly the same as the three fund portfolio. Willthrill’s results after 2010 will be better vs GEM as declining unemployment kept him invested.

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Re: My trend following strategy and experience

Post by abc132 » Sun Jun 30, 2019 3:23 pm

Forester wrote:
Sun Jun 30, 2019 12:48 pm
1950-2018, Antonacci claimed 15.8% compound return for his simple GEM system with a max drawdown of 17.8%. ReSolve Asset Management did moreorless confirm this in their paper on GEM.

This link has the annual returns vs the benchmark (45% US, 28% ex-US, 27% Agg bonds). http://www.optimalmomentum.com/gem_trackrecord.html

Trend following returns after the GFC are almost exactly the same as the three fund portfolio. Willthrill’s results after 2010 will be better vs GEM as declining unemployment kept him invested.
I'm talking about his actual returns that he actually experiences and whether or not they meet his actual goals.

Willthrills did not use this system 1950-2018 or anywhere near 2010. Speaking of his results after 2010 doesn't make any sense.

Willthrills has trend results from very late 2017 to present. They don't look like the ones you quoted.

His actual results are the ones that matter for whether or not the system will be successful for him.


I could call my system bitcoin and show fabulous results, but that may or may not mean it will be fabulous for someone just starting.

If this thread is going to be about his experience, it eventually needs to start being about his experience, and not some system curve fit into the past, and talked about as if it actually happened for him. The point of separation needs to happen between discussing the past to investigate trend, and for discussing Willthrills actual results. In no case should past curve fit results that he never experienced be claimed to be his actual results.

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Re: My trend following strategy and experience

Post by Always passive » Mon Jul 01, 2019 2:06 am

abc132 wrote:
Sun Jun 30, 2019 3:23 pm
Forester wrote:
Sun Jun 30, 2019 12:48 pm
1950-2018, Antonacci claimed 15.8% compound return for his simple GEM system with a max drawdown of 17.8%. ReSolve Asset Management did moreorless confirm this in their paper on GEM.

This link has the annual returns vs the benchmark (45% US, 28% ex-US, 27% Agg bonds). http://www.optimalmomentum.com/gem_trackrecord.html

Trend following returns after the GFC are almost exactly the same as the three fund portfolio. Willthrill’s results after 2010 will be better vs GEM as declining unemployment kept him invested.
I'm talking about his actual returns that he actually experiences and whether or not they meet his actual goals.

Willthrills did not use this system 1950-2018 or anywhere near 2010. Speaking of his results after 2010 doesn't make any sense.

Will thrills has trend results from very late 2017 to present. They don't look like the ones you quoted.

His actual results are the ones that matter for whether or not the system will be successful for him.


I could call my system bitcoin and show fabulous results, but that may or may not mean it will be fabulous for someone just starting.

If this thread is going to be about his experience, it eventually needs to start being about his experience, and not some system curve fit into the past, and talked about as if it actually happened for him. The point of separation needs to happen between discussing the past to investigate trend, and for discussing Willthrills actual results. In no case should past curve fit results that he never experienced be claimed to be his actual results.
One point that needs to be made ןs that those that use a trend following system have different ways to approach the strategy.
And to my knowledge do not follow the GEM system. Therefore, if I am correct, the expectations of GEM and Willthrills and the others cannot be compared.

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Re: My trend following strategy and experience

Post by tadamsmar » Mon Jul 01, 2019 10:57 am

There is an article discussed here that indicates that 20% of assets are in trend-following funds:

viewtopic.php?f=10&t=284504

60% are in passive funds.

That leaves only 20% doing something else. But that 20% would include DIY trend-followers like the OP.

This implies that there is actually there is more trend-following than fundamental analysis these days.

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Re: My trend following strategy and experience

Post by abc132 » Mon Jul 01, 2019 11:51 am

Always passive wrote:
Mon Jul 01, 2019 2:06 am
One point that needs to be made ןs that those that use a trend following system have different ways to approach the strategy.
And to my knowledge do not follow the GEM system. Therefore, if I am correct, the expectations of GEM and Willthrills and the others cannot be compared.
Lumping all trend methods together and expecting them all to get the same results doesn't make much sense at all.

Talking about past results as future results makes even less sense.
Last edited by abc132 on Mon Jul 01, 2019 12:04 pm, edited 1 time in total.

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Re: My trend following strategy and experience

Post by abc132 » Mon Jul 01, 2019 12:01 pm

tadamsmar wrote:
Mon Jul 01, 2019 10:57 am
There is an article discussed here that indicates that 20% of assets are in trend-following funds:

viewtopic.php?f=10&t=284504

60% are in passive funds.

That leaves only 20% doing something else. But that 20% would include DIY trend-followers like the OP.

This implies that there is actually there is more trend-following than fundamental analysis these days.
Quantitative methods implies computer AI decision making. It's not surprising if you consider the idea that computers have become better at stock selection than most humans. This is a change that may or may not affect (help or harm) the very simplistic trends that worked in the past.

Previously, human managers were held accountable to meeting yearly performance and being in the hot stocks. This can explain the persistence of trend looking backward. What is unknown is whether the complex AI algorithms will produce similar trends, or whether those relying on simplistic past trends will be chasing a carrot that no longer exists. I would not throw all my chips in the future will look like the past bet.

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Re: My trend following strategy and experience

Post by BlueEars » Tue Jul 02, 2019 8:14 pm

willthrill81 wrote:
Thu Jan 17, 2019 7:16 pm
...

UPDATE: 6/29/2019

401k: YTD nominal return = 6.9%
Jan: TIAA Real Estate (TREA) for half the month, as noted earlier in the thread
Feb: TREA
Mar: MCG
Apr: MCG
May: MCG
Jun: MCG

IRA: YTD nominal return = 3.1%
Jan: STT for half the month, as noted earlier in the thread
Feb: STT
Mar: MCG
Apr: EM
May: EM
Jun: EM
Will, why do you choose EM as a component to switch between? I understand MCG versus maybe MCV but EM? EM has had one period of dramatic outperformance in 2002 to 2007. But small cap international just about matched that and has done better in the current rise from 2009. Is it that your choices are so limited in the IRA account? Does your EM choice have a lot of exposure to China?

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Re: My trend following strategy and experience

Post by willthrill81 » Tue Jul 02, 2019 8:18 pm

BlueEars wrote:
Tue Jul 02, 2019 8:14 pm
willthrill81 wrote:
Thu Jan 17, 2019 7:16 pm
...

UPDATE: 6/29/2019

401k: YTD nominal return = 6.9%
Jan: TIAA Real Estate (TREA) for half the month, as noted earlier in the thread
Feb: TREA
Mar: MCG
Apr: MCG
May: MCG
Jun: MCG

IRA: YTD nominal return = 3.1%
Jan: STT for half the month, as noted earlier in the thread
Feb: STT
Mar: MCG
Apr: EM
May: EM
Jun: EM
Will, why do you choose EM as a component to switch between? I understand MCG versus maybe MCV but EM? EM has had one period of dramatic outperformance in 2002 to 2007. But small cap international just about matched that and has done better in the current rise from 2009. Is it that your choices are so limited in the IRA account? Does your EM choice have a lot of exposure to China?
There have been times when EM served as a good diversifier, such as the early 2000s, so I've included it in as a potential asset class.

The fund I typically use is VEIEX, which has these holdings. One-third of the fund is in China, and one-fourth is split between India and Taiwan.
“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 BlueEars » Tue Jul 02, 2019 9:28 pm

willthrill81 wrote:
Tue Jul 02, 2019 8:18 pm
BlueEars wrote:
Tue Jul 02, 2019 8:14 pm
willthrill81 wrote:
Thu Jan 17, 2019 7:16 pm
...

UPDATE: 6/29/2019

401k: YTD nominal return = 6.9%
Jan: TIAA Real Estate (TREA) for half the month, as noted earlier in the thread
Feb: TREA
Mar: MCG
Apr: MCG
May: MCG
Jun: MCG

IRA: YTD nominal return = 3.1%
Jan: STT for half the month, as noted earlier in the thread
Feb: STT
Mar: MCG
Apr: EM
May: EM
Jun: EM
Will, why do you choose EM as a component to switch between? I understand MCG versus maybe MCV but EM? EM has had one period of dramatic outperformance in 2002 to 2007. But small cap international just about matched that and has done better in the current rise from 2009. Is it that your choices are so limited in the IRA account? Does your EM choice have a lot of exposure to China?
There have been times when EM served as a good diversifier, such as the early 2000s, so I've included it in as a potential asset class.

The fund I typically use is VEIEX, which has these holdings. One-third of the fund is in China, and one-fourth is split between India and Taiwan.
When I have done backtesting with EM and MCG or MCV, I have gotten better results using small cap international. I think this is because EM is more volatile. Of course, it will have some dependency on the trend algorithm and you are using a different algorithm then the ones I have looked at.

So has EM done better over a few decades using your approach? I think the choice of asset classes has to take account of past history using the algorithm as this is not a diversified buy-hold approach.

Just mentioning this as a talking point and not to be critical.

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Re: My trend following strategy and experience

Post by willthrill81 » Tue Jul 02, 2019 9:59 pm

BlueEars wrote:
Tue Jul 02, 2019 9:28 pm
So has EM done better over a few decades using your approach? I think the choice of asset classes has to take account of past history using the algorithm as this is not a diversified buy-hold approach.
Using my approach, there would have been several periods where EM would have done very well. These include Oct., 2003, to May, 2004 (17% return), Dec., 2004, to Aug. 2006 (52% return), Jan., 2007, to Jan., 2008 (24% return), and Jun., 2009, to Dec., 2009 (28% return).
“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 BlueEars » Tue Jul 02, 2019 10:14 pm

willthrill81 wrote:
Tue Jul 02, 2019 9:59 pm
BlueEars wrote:
Tue Jul 02, 2019 9:28 pm
So has EM done better over a few decades using your approach? I think the choice of asset classes has to take account of past history using the algorithm as this is not a diversified buy-hold approach.
Using my approach, there would have been several periods where EM would have done very well. These include Oct., 2003, to May, 2004 (17% return), Dec., 2004, to Aug. 2006 (52% return), Jan., 2007, to Jan., 2008 (24% return), and Jun., 2009, to Dec., 2009 (28% return).
The way I do this is to compare the CAGRs of asset class choices over as long a period as I can gat data. Usually more than 20 years. Perhaps you have already done this.

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Re: My trend following strategy and experience

Post by willthrill81 » Tue Jul 02, 2019 10:25 pm

BlueEars wrote:
Tue Jul 02, 2019 10:14 pm
willthrill81 wrote:
Tue Jul 02, 2019 9:59 pm
BlueEars wrote:
Tue Jul 02, 2019 9:28 pm
So has EM done better over a few decades using your approach? I think the choice of asset classes has to take account of past history using the algorithm as this is not a diversified buy-hold approach.
Using my approach, there would have been several periods where EM would have done very well. These include Oct., 2003, to May, 2004 (17% return), Dec., 2004, to Aug. 2006 (52% return), Jan., 2007, to Jan., 2008 (24% return), and Jun., 2009, to Dec., 2009 (28% return).
The way I do this is to compare the CAGRs of asset class choices over as long a period as I can gat data. Usually more than 20 years. Perhaps you have already done this.
That's not really helpful with my strategy since I'm not necessarily holding an asset class for an extended period of time. I might only own an asset class for one month before moving into another.
“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 BlueEars » Tue Jul 02, 2019 10:36 pm

willthrill81 wrote:
Tue Jul 02, 2019 10:25 pm
BlueEars wrote:
Tue Jul 02, 2019 10:14 pm
willthrill81 wrote:
Tue Jul 02, 2019 9:59 pm
BlueEars wrote:
Tue Jul 02, 2019 9:28 pm
So has EM done better over a few decades using your approach? I think the choice of asset classes has to take account of past history using the algorithm as this is not a diversified buy-hold approach.
Using my approach, there would have been several periods where EM would have done very well. These include Oct., 2003, to May, 2004 (17% return), Dec., 2004, to Aug. 2006 (52% return), Jan., 2007, to Jan., 2008 (24% return), and Jun., 2009, to Dec., 2009 (28% return).
The way I do this is to compare the CAGRs of asset class choices over as long a period as I can gat data. Usually more than 20 years. Perhaps you have already done this.
That's not really helpful with my strategy since I'm not necessarily holding an asset class for an extended period of time. I might only own an asset class for one month before moving into another.
Right but I generally find there is a sweet spot in trading. If a choice such as EM creates too much volatility that can bring down overall results.

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Re: My trend following strategy and experience

Post by willthrill81 » Tue Jul 02, 2019 10:48 pm

BlueEars wrote:
Tue Jul 02, 2019 10:36 pm
willthrill81 wrote:
Tue Jul 02, 2019 10:25 pm
BlueEars wrote:
Tue Jul 02, 2019 10:14 pm
willthrill81 wrote:
Tue Jul 02, 2019 9:59 pm
BlueEars wrote:
Tue Jul 02, 2019 9:28 pm
So has EM done better over a few decades using your approach? I think the choice of asset classes has to take account of past history using the algorithm as this is not a diversified buy-hold approach.
Using my approach, there would have been several periods where EM would have done very well. These include Oct., 2003, to May, 2004 (17% return), Dec., 2004, to Aug. 2006 (52% return), Jan., 2007, to Jan., 2008 (24% return), and Jun., 2009, to Dec., 2009 (28% return).
The way I do this is to compare the CAGRs of asset class choices over as long a period as I can gat data. Usually more than 20 years. Perhaps you have already done this.
That's not really helpful with my strategy since I'm not necessarily holding an asset class for an extended period of time. I might only own an asset class for one month before moving into another.
Right but I generally find there is a sweet spot in trading. If a choice such as EM creates too much volatility that can bring down overall results.
True, but in my backtests, including EM improved the overall results a bit compared to leaving it out. I think that it could certainly be avoided entirely without having a significantly deleterious impact on the results.
“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 Always passive » Wed Jul 03, 2019 12:17 am

willthrill81 wrote:
Tue Jul 02, 2019 10:48 pm
BlueEars wrote:
Tue Jul 02, 2019 10:36 pm
willthrill81 wrote:
Tue Jul 02, 2019 10:25 pm
BlueEars wrote:
Tue Jul 02, 2019 10:14 pm
willthrill81 wrote:
Tue Jul 02, 2019 9:59 pm


Using my approach, there would have been several periods where EM would have done very well. These include Oct., 2003, to May, 2004 (17% return), Dec., 2004, to Aug. 2006 (52% return), Jan., 2007, to Jan., 2008 (24% return), and Jun., 2009, to Dec., 2009 (28% return).
The way I do this is to compare the CAGRs of asset class choices over as long a period as I can gat data. Usually more than 20 years. Perhaps you have already done this.
That's not really helpful with my strategy since I'm not necessarily holding an asset class for an extended period of time. I might only own an asset class for one month before moving into another.
Right but I generally find there is a sweet spot in trading. If a choice such as EM creates too much volatility that can bring down overall results.
True, but in my backtests, including EM improved the overall results a bit compared to leaving it out. I think that it could certainly be avoided entirely without having a significantly deleterious impact on the results.
Not only that, EM adds volatility. That is the reason that according to the author. GEM does not use it by itself, but rather as part of rest of the world (ex US)

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Re: My trend following strategy and experience

Post by Forester » Wed Jul 03, 2019 2:42 am

I think it's a mistake to break out EM. Firstly it's an arbitrary distinction... an Asian country could be EM but it has 5G internet and manufactures iDevices. Secondly it stinks of recency bias due to the 2003-07 EM/BRICs bubble which neatly followed the US dotcom bubble.

I prefer to keep it straightforward. US is about half global market cap. It's a US Dollar world. One minute the sentiment is King Dollar, the next it's Weak Dollar. Simple approach will win out over people betting on India or Indonesia, etc etc.

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Re: My trend following strategy and experience

Post by BlueEars » Wed Jul 03, 2019 7:58 am

Forester wrote:
Wed Jul 03, 2019 2:42 am
I think it's a mistake to break out EM. Firstly it's an arbitrary distinction... an Asian country could be EM but it has 5G internet and manufactures iDevices. Secondly it stinks of recency bias due to the 2003-07 EM/BRICs bubble which neatly followed the US dotcom bubble.

I prefer to keep it straightforward. US is about half global market cap. It's a US Dollar world. One minute the sentiment is King Dollar, the next it's Weak Dollar. Simple approach will win out over people betting on India or Indonesia, etc etc.
I think good pairings are:
Large cap US vs Large cap international
Small cap international vs (Mid cap Growth US and/or Mid cap Value US)

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Re: My trend following strategy and experience

Post by Busdrvr » Wed Jul 03, 2019 7:59 am

Willthrill81 I was hoping to find someone here who was doing this as I just discovered Meb Fabers’ white paper titled “A quantitative approach to tactical asset allocation” from 2006 with recent updates. After going through it several times I am strongly considering employing that approach which, from my brief look, is similar to the one you are doing. I will go through this thread to see what the forum says.
Safe travels and great Independence Day to all!

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Re: My trend following strategy and experience

Post by BlueEars » Wed Jul 03, 2019 8:17 am

Will, perhaps I should have asked this early on. Are you running this trend following method with the idea it is fixed for all time, i.e. not to be tampered with? Or would you consider changes that might improve results?

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Re: My trend following strategy and experience

Post by tadamsmar » Wed Jul 03, 2019 8:18 am

Busdrvr wrote:
Wed Jul 03, 2019 7:59 am
Willthrill81 I was hoping to find someone here who was doing this as I just discovered Meb Fabers’ white paper titled “A quantitative approach to tactical asset allocation” from 2006 with recent updates. After going through it several times I am strongly considering employing that approach which, from my brief look, is similar to the one you are doing. I will go through this thread to see what the forum says.
Safe travels and great Independence Day to all!
You can search "faber" in the search box on the upper-right corner of this page and get a lot of analysis and info posted on this forum.

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Re: My trend following strategy and experience

Post by willthrill81 » Wed Jul 03, 2019 9:14 am

BlueEars wrote:
Wed Jul 03, 2019 8:17 am
Will, perhaps I should have asked this early on. Are you running this trend following method with the idea it is fixed for all time, i.e. not to be tampered with? Or would you consider changes that might improve results?
I would have to see some really convincing data to persuade me to change my strategy.
“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 Busdrvr » Wed Jul 03, 2019 10:37 am

willthrill81 wrote:
Wed Jul 03, 2019 9:14 am
BlueEars wrote:
Wed Jul 03, 2019 8:17 am
Will, perhaps I should have asked this early on. Are you running this trend following method with the idea it is fixed for all time, i.e. not to be tampered with? Or would you consider changes that might improve results?
I would have to see some really convincing data to persuade me to change my strategy.
Have you looked at and compared to Faber's system?
Particularly with ~13 asset classes. If so, what are your thoughts? TIA..

I agree that the most beneficial aspect I can see is the reduction in MaxDD. I'm not keen on seeing 30% DD at this point, have 10 yrs to go and have a highish risk tolerance. Also doing 61k/yr in 401 plus whatever Roth we choose to do.

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Re: My trend following strategy and experience

Post by Always passive » Wed Jul 03, 2019 1:07 pm

Busdrvr wrote:
Wed Jul 03, 2019 7:59 am
Willthrill81 I was hoping to find someone here who was doing this as I just discovered Meb Fabers’ white paper titled “A quantitative approach to tactical asset allocation” from 2006 with recent updates. After going through it several times I am strongly considering employing that approach which, from my brief look, is similar to the one you are doing. I will go through this thread to see what the forum says.
Safe travels and great Independence Day to all!
Faber uses only one part of the strategy! The strategy is composed of two parts. First question is whatever you stay invested or not and if you stay invested, the second question is in which asset class. Search Dual Momentum to get and idea. Willthrill8 and others use variations of this strategy.

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Re: My trend following strategy and experience

Post by Busdrvr » Wed Jul 03, 2019 3:38 pm

Always passive wrote:
Wed Jul 03, 2019 1:07 pm
Busdrvr wrote:
Wed Jul 03, 2019 7:59 am
Willthrill81 I was hoping to find someone here who was doing this as I just discovered Meb Fabers’ white paper titled “A quantitative approach to tactical asset allocation” from 2006 with recent updates. After going through it several times I am strongly considering employing that approach which, from my brief look, is similar to the one you are doing. I will go through this thread to see what the forum says.
Safe travels and great Independence Day to all!
Faber uses only one part of the strategy! The strategy is composed of two parts. First question is whatever you stay invested or not and if you stay invested, the second question is in which asset class. Search Dual Momentum to get and idea. Willthrill8 and others use variations of this strategy.
Thanks for that. I am on to the DM threads now. I like that the UE part prevents whipsaws as one aspect that is different.

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Re: My trend following strategy and experience

Post by BlueEars » Wed Jul 10, 2019 10:18 am

One testing technique for a backtested strategy is to take the strategy for the longest period that data exists and to split it into two period. Set parameters to optimize the first period. Those are the ones you would have chosen at the end of that period using the results for that period alone. Then look at those parameter's results for the full period. This is often referred to as out-of-sample backtesting.

So perhaps there is 60 years of available data. You take the first 30 years and set any parameters you are using to the best result. Then you use those parameters for the full period of 60 years. Quite often the 60 years results using parameters optimized for the first 30 years will then be not quite as good as the optimization parameters using the full 60 years.

Going forward I think you still want to keep the optimized parameters for the full period of 60 years. But then you are informed in a rough way of how sensitive your results might be going forward. If the better results compared to buy-hold disappear when doing this half period and full period testing, you need to go back to the drawing boards.

Just some thoughts.

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Re: My trend following strategy and experience

Post by dcabler » Wed Jul 10, 2019 10:28 am

BlueEars wrote:
Wed Jul 10, 2019 10:18 am
One testing technique for a backtested strategy is to take the strategy for the longest period that data exists and to split it into two period. Set parameters to optimize the first period. Those are the ones you would have chosen at the end of that period using the results for that period alone. Then look at those parameter's results for the full period. This is often referred to as out-of-sample backtesting.

So perhaps there is 60 years of available data. You take the first 30 years and set any parameters you are using to the best result. Then you use those parameters for the full period of 60 years. Quite often the 60 years results using parameters optimized for the first 30 years will then be not quite as good as the optimization parameters using the full 60 years.

Going forward I think you still want to keep the optimized parameters for the full period of 60 years. But then you are informed in a rough way of how sensitive your results might be going forward. If the better results compared to buy-hold disappear when doing this half period and full period testing, you need to go back to the drawing boards.

Just some thoughts.
Yep - a form of out-of-sample testing. For many trend following techniques, it's also important to note that there is "memory" built into the system, since you're often looking at moving averages. Therefore, the starting point (starting AA and date) matters for backtesting. Change either or both of those and you can get some significantly different results.

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