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Fred Piard  

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  • The Passive Portfolio Of A Dynamic Investor [View article]
    Thanks for your comment. Your investment profile must be adapted to your situation and I am not a RIA. I suggest you consult an advisor.
    May 29, 2015. 06:02 PM | Likes Like |Link to Comment
  • A New Systemic, Multi-Valued Market Timing Indicator (Part 2) [View article]
    PHDG became more liquid than VQT. This is out of the subject but another difference is that PHDG distributes some gains as dividends, which may be indifferent, better or worse regarding tax, depending on your country.
    May 22, 2015. 07:01 PM | Likes Like |Link to Comment
  • A New Systemic, Multi-Valued Market Timing Indicator (Part 2) [View article]
    Augustus, Thanks for your kind words. You are right, PHDG is a good intermediate choice for the hedge "off". In theory more dynamic than cash and more conservative than those listed in the article.
    May 22, 2015. 07:48 AM | Likes Like |Link to Comment
  • A New Systemic, Multi-Valued Market Timing Indicator [View article]
    Investigating the underlying before the instrument is tradable is bad time allocation for me.
    May 21, 2015. 12:02 PM | Likes Like |Link to Comment
  • A New Systemic, Multi-Valued Market Timing Indicator [View article]
    A bad reason and a good one. The bad one is that my usual simulation tool starts from 1999 (so simulations must start from 2001 with the sma look-back period). The good one is that adding a market cycle wouldn't make the sample of bearish signals statistically more significant. Backtest are here to give clues. I repeat it twice in the article.
    May 21, 2015. 11:59 AM | Likes Like |Link to Comment
  • A New Systemic, Multi-Valued Market Timing Indicator [View article]
    one word: illiquid
    May 19, 2015. 11:28 AM | Likes Like |Link to Comment
  • A New Systemic, Multi-Valued Market Timing Indicator [View article]
    To my knowledge there is no way in publicly available databases to have exact historical point-in-time data for unemployment. Revisions override initial values (in P123 this series is part of Compustat datafeed: http://bit.ly/1S3tCYg).
    The work-arounds are:
    1) using a sma instead of single values to lower the impact of a revision
    2) having more indicators to lower the influence a false positive/negative
    3) using the MTS indicator in a progressive, multivalued hedging tactic, not binary market timing.
    4) changing the tolerance interval in terms of max number of false positive/negative
    5) keeping in mind that risk management is not hard science. A flexible systemic model is much safer than perfect pseudo-science.
    These points will be in my next articles. I hope pushing one this week.
    May 18, 2015. 07:19 PM | Likes Like |Link to Comment
  • A New Systemic, Multi-Valued Market Timing Indicator [View article]
    Hi Mike. Thanks for your kind words. If you think that a daily sma crossing should give exactly the same result as the same periods weekly sma crossing, it's wrong. Averaging eod and eow values are different things and may create an unexpected bias. Evaluating the average short interest on a daily basis is a heavier calculation and it makes no sense for me. My advice: backtest your code seriously before making a decision from it. In doubt, subscribe to one of my services ;)
    May 18, 2015. 03:45 PM | 1 Like Like |Link to Comment
  • A New Systemic, Multi-Valued Market Timing Indicator [View article]
    Thanks for your comment. Data are timestamped with their dates of availability. In the backtest these dates are taken into account and decision points are once a week on opening of the first trading day. This is not rocket science and MTS is precisely designed to tolerate a false positive, and in a generalized version to decide how much false positives are tolerable.
    May 15, 2015. 07:01 PM | Likes Like |Link to Comment
  • A New Systemic, Multi-Valued Market Timing Indicator [View article]
    Masmon, thanks for your kind words. PHDG is a good product (and one of my few buy-and-hold positions), but it is a behavioral derivative. It doesn't make a portfolio market neutral, even if its underlying index looks like that in some market corrections.
    May 15, 2015. 12:51 PM | Likes Like |Link to Comment
  • A New Systemic, Multi-Valued Market Timing Indicator [View article]
    The literature that discounts market timing is written/promoted by two kind of people: those who don't understand it (the aim is a lower risk, not systematically a higher return), and those who want you to hold the bag.
    May 15, 2015. 12:23 PM | Likes Like |Link to Comment
  • A New Systemic, Multi-Valued Market Timing Indicator [View article]
    In fact you will see a more sophisticated approach in my next articles: hedging a quantitative portfolio designed to generate an alpha by shorting the index in a variable percentage. Going market neutral is a much safer protection than bonds in a rising rates environment!
    May 15, 2015. 08:31 AM | 2 Likes Like |Link to Comment
  • A New Systemic, Multi-Valued Market Timing Indicator [View article]
    Rudolf,
    Indeed I have also seasonal components in my strategies, and written a bunch of articles about the subject, including my first article on SA 3 years ago (if you are interested you can mine in my list). But relying on only one timing logics makes a portfolio fragile.
    May 15, 2015. 08:23 AM | 1 Like Like |Link to Comment
  • A New Systemic, Multi-Valued Market Timing Indicator [View article]
    Thanks for your comment. Data source: see the link at the end of my article. You may find separate free sources with a search engine, I don't have links at hand. These indicators (except short interest) are included in my portfolio subsciption services since 2012. They are now also in my service on SA. The short interest and MTS will be included as soon as I write a short user manual on the best way to use MTS for multi-valued hedging. Likely Monday.
    May 14, 2015. 07:30 PM | 1 Like Like |Link to Comment
  • A New Systemic, Multi-Valued Market Timing Indicator [View article]
    Thanks for your comment. "one could also attempt more granularity in the investment universe" => the S&P500 is about 75% of the US stock market cap. It is where institutions are, and where the market pulse is. Moreover my portfolio and subscription services are focused on the S&P 500 (I may hold just a few stocks in the Russell 3000). No international stocks or commodities either. I hold Bond ETFs in tactical asset allocation strategies, it doesn't need other market timing than the relative strength indicators of the models.
    May 14, 2015. 07:14 PM | 1 Like Like |Link to Comment
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