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Marc Cohn  

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  • Modified GMR Signal For October: CASH [View instapost]
    Looks like cash. Stock/bond correlation is very high ~ 0.90.
    Oct 31, 2014. 11:22 AM | Likes Like |Link to Comment
  • Modified GMR Signal For October: CASH [View instapost]
    The line was close to the threshold but above it for me. I bought some EDV but only about half as my usual.
    Sep 30, 2014. 04:19 PM | Likes Like |Link to Comment
  • New Options Trading System Signals (CAGR Over 500%??) [View instapost]
    Sorry, it has been so long! My day job has been keeping me very busy and it will continue to do so until late September.

    Obviously, this is not real time, but the system said to buy VXX puts on July 18 (Friday) and sell a week later. It would've been a loss of 10%. Ugh.

    Then there was a week off.

    Then there was a signal to buy VXX puts on Aug 1 and sell a week later. This was a 6% loss.

    Then there was a signal to buy VXX on Aug 8 and sell a week later. This was a gain of 21%. Huge.

    We were also supposed to but VXX puts last Friday, Aug 15. That trade is showing a profit but it aint over til it's over (this Friday.)

    All in all, it's not been great in July-August. These trades together net: .9 * .94 * 1.21 = 2.4%

    Stay tuned.
    Aug 18, 2014. 03:25 PM | Likes Like |Link to Comment
  • New Options Trading System Signals (CAGR Over 500%??) [View instapost]
    With the data in the first set, the results are:

    Total 5776609.03
    CAGR 374.42%
    Stdev 68.2%
    Sharpe 5.49
    Max DD 51.64%
    CAGR/DD 7.250
    Linearity 116.892%
    Growth R 3.203
    Win % 53.48%
    Trades 187

    And the results by quarter are:

    TOTAL % Per Quarter Trades
    4/1/2004 1.03
    7/1/2004 1.31 27.16% 2
    10/1/2004 1.29 -1.40% 0
    1/1/2005 1.35 3.96% 0
    4/1/2005 1.22 -9.05% 5
    7/1/2005 2.48 102.82% 8
    10/1/2005 2.77 11.60% 2
    1/1/2006 3.04 9.81% 5
    4/1/2006 3.13 2.80% 0
    7/1/2006 3.52 12.69% 7
    10/1/2006 5.18 47.11% 3
    1/1/2007 5.81 12.01% 0
    4/1/2007 9.69 66.87% 4
    7/1/2007 9.85 1.61% 9
    10/1/2007 11.67 18.56% 13
    1/1/2008 14.63 25.32% 7
    4/1/2008 16.02 9.52% 9
    7/1/2008 25.72 60.54% 4
    10/1/2008 21.22 -17.50% 7
    1/1/2009 33.80 59.29% 12
    4/1/2009 71.81 112.44% 6
    7/1/2009 97.86 36.28% 3
    10/1/2009 180.04 83.98% 2
    1/1/2010 313.73 74.26% 3
    4/1/2010 511.42 63.01% 3
    7/1/2010 1548.41 202.76% 7
    10/1/2010 4133.83 166.97% 5
    1/1/2011 6453.91 56.12% 1
    4/1/2011 5849.39 -9.37% 4
    7/1/2011 9529.31 62.91% 2
    10/1/2011 6865.26 -27.96% 12
    1/1/2012 17145.55 149.74% 8
    4/1/2012 29538.57 72.28% 2
    7/1/2012 103550.33 250.56% 7
    10/1/2012 224806.65 117.10% 2
    1/1/2013 356845.95 58.73% 5
    4/1/2013 1068780.59 199.51% 3
    7/1/2013 1118203.07 4.62% 6
    10/1/2013 1870797.78 67.30% 4
    1/1/2014 2982380.66 59.42% 5
    4/1/2014 4589136.47 53.87% 3
    7/1/2014 5756527.55 25.44% 3
    Jul 15, 2014. 02:17 PM | Likes Like |Link to Comment
  • New Options Trading System Signals (CAGR Over 500%??) [View instapost]
    I have used the data at the link you provided and the results still look promising. The pre-2009 data is not "historical" as you describe but was calculated using some unknown formula based on the VIX short term futures contracts.

    Using this calculated data from 2004 to 2009, the results were CAGR 37% with a drawdown of 62%. After 2009, the results are as described in the post above.

    The log returns for both the pre-2009 and post-2009 data are rather uniform. In other words, the log of returns looks like a boomerang, with a relatively straight line from 2004 to 2009, then another relatively straight line from 2009 on, with the latter being at a steeper angle. In light of this result, I am skeptical that the pre-2009 generated data in the link you provided is an accurate reflection of VXX pre-2009.

    Below are the returns of the system by quarter:

    Quarter Total Percent
    4/1/2004 1.03
    7/1/2004 1.12 8.27%
    10/1/2004 1.27 13.80%
    1/1/2005 1.32 3.39%
    4/1/2005 0.93 -29.03%
    7/1/2005 1.50 60.36%
    10/1/2005 1.62 8.43%
    1/1/2006 1.76 8.23%
    4/1/2006 1.81 2.80%
    7/1/2006 1.63 -9.93%
    10/1/2006 2.23 36.98%
    1/1/2007 2.50 12.01%
    4/1/2007 3.53 41.37%
    7/1/2007 3.16 -10.39%
    10/1/2007 3.58 13.21%
    1/1/2008 3.42 -4.43%
    4/1/2008 3.16 -7.70%
    7/1/2008 4.31 36.58%
    10/1/2008 2.47 -42.64%
    1/1/2009 4.07 64.64%
    4/1/2009 6.13 50.56%
    7/1/2009 7.80 27.30%
    10/1/2009 13.03 67.02%
    1/1/2010 15.16 16.31%
    4/1/2010 22.41 47.81%
    7/1/2010 50.60 125.84%
    10/1/2010 107.35 112.15%
    1/1/2011 157.44 46.65%
    4/1/2011 188.99 20.04%
    7/1/2011 269.95 42.84%
    10/1/2011 215.18 -20.29%
    1/1/2012 783.55 264.14%
    4/1/2012 1181.20 50.75%
    7/1/2012 3006.49 154.53%
    10/1/2012 5977.08 98.81%
    1/1/2013 7525.82 25.91%
    4/1/2013 20858.09 177.15%
    7/1/2013 19419.70 -6.90%
    10/1/2013 28110.10 44.75%
    1/1/2014 40181.14 42.94%
    4/1/2014 56669.53 41.04%
    7/1/2014 67610.39 19.31%
    Jul 15, 2014. 12:07 PM | Likes Like |Link to Comment
  • New Options Trading System Signals (CAGR Over 500%??) [View instapost]
    Thanks, this is very helpful. I will see how this goes.
    Jul 15, 2014. 09:04 AM | Likes Like |Link to Comment
  • New Options Trading System Signals (CAGR Over 500%??) [View instapost]
    Doesn't work for a short. The good thing about the puts is that they are like lottery tickets. For a price, you get to win big or else you only lose what you put in. If you short VXX, you can have enormous downsides suddenly. If you try to prevent that with a stop loss, you will often exit the position and miss you on a recovery after a big fall. With a put, you will stay in the position regardless of whether the price goes against you and past your strike price, then if the price comes back in your favor, you remain in the position.
    Jul 15, 2014. 08:38 AM | Likes Like |Link to Comment
  • New Options Trading System Signals (CAGR Over 500%??) [View instapost]
    No need for a stop-loss when you're long a put -- the put itself is the stop loss. If the trade goes against you, then you lose the entire put, but no more than that.

    Obviously, you do not put 100% of your principle into the puts or you would lose everything on one bad trade. There are money-management techniques applied that dictate how much to invest each time.

    As for SSO, I didn't build a stop-loss into that. I suppose you could put in some sort of black swan loss preventing, like a 20% stop loss. The system as backtested did not have that. As SSO begins to fall, VXX rises and then the system will trigger you to sell SSO and buy VXX puts.
    Jul 15, 2014. 08:26 AM | Likes Like |Link to Comment
  • New Options Trading System Signals (CAGR Over 500%??) [View instapost]
    40% is less than a simple S&P 500 ETF in the last 10 years. Drawdown for SPY was over 55% in late 2008-early 2009. There's no doubt the system as backtested is risky. But the price of that risk is not high, given the backtested returns.

    (I use the qualifier "backtested" returns because I dont want to suggest that these returns are sure to continue.)
    Jul 15, 2014. 08:24 AM | Likes Like |Link to Comment
  • A Global Market Rotation Strategy With An Annual Performance Of 41.4% Since 2003 [View article]
    Berry, I had the same issue. I could not replicate Grossman's results with a negative coefficient for volatility. Only a positive coefficient improved results but the system seemed less robust. In the end, I abandoned using volatility at all in my own investing, which I seem to recall is a position you have advocated in prior comments (forgive me if my memory is incorrect).
    Jul 9, 2014. 09:57 AM | Likes Like |Link to Comment
  • Modified GMR Signal: ILF [View instapost]
    ? How do you get negative returns?
    Jun 16, 2014. 08:53 AM | Likes Like |Link to Comment
  • Developing A Rotation Strategy Using Highly Diversified ETFs - Part II [View article]
    I roll it forward so by the end it covers the entire period. The first period only includes one period, the second two periods and so on.
    Jun 11, 2014. 09:15 AM | Likes Like |Link to Comment
  • A Global Market Rotation Strategy With An Annual Performance Of 41.4% Since 2003 [View article]
    "there is no evidence that any 10 year period repeats the previous 10 year."

    Yes, there is ample evidence of such behavior. See the 20 year back-test below. The second ten years continued with the same pattern as the first 10 years.

    http://seekingalpha.co...

    You can also look at the 23 year back test here:

    http://seekingalpha.co...

    You also state that there are no billionaire market timers. In fact there have been several successful market timers. Today's article about technical analysis provides:

    " The reality is that there are examples everywhere of successful investors applying technical and momentum analysis to achieve strong performance -- one such example is famed and highly-successful investor Richard Driehaus of Driehaus Capital Management. Another example is Cliff Asness of AQR."

    http://seekingalpha.co...

    It is frustrating to see Mr. Grossman's hard work criticized by unsupported arguments that are contradicted by readily-accessible evidence.
    Jun 10, 2014. 02:47 PM | 3 Likes Like |Link to Comment
  • A Global Market Rotation Strategy With An Annual Performance Of 41.4% Since 2003 [View article]
    Your comment is very constructive:

    "all the back testing isn't gonna give you any iron-clad formula to great returns going forward." -- this is a cliche. Of course we can't predict the future.

    "the world will never relive the past patterns again" -- this is false. It happens all the time. Apparently, from 2003 to 2013, as shown in the back test, the world continued to follow the patterns shown by Mr. Grossman.

    "that's the principle of uncertainty at work." -- I'm not even sure what this means, other than a reiteration of point 1 above.

    Rather than baldly criticize something that someone has obviously put a lot of time and thought into, why don't you try to apply the scientific method and seek to show some evidence that supports your views?

    In any event, if you are correct then why invest at all?
    Jun 9, 2014. 02:06 AM | 6 Likes Like |Link to Comment
  • Modified GMR Signal For June 2014: ILF (Again) [View instapost]
    It is a Pearson product correlation, which you can look up on Wikipedia and calculate by hand.
    Jun 8, 2014. 10:06 AM | Likes Like |Link to Comment
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