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  • Modified GMR Signal For August 2014: EEM [View instapost]
    Using performance only, I have
    SSO 10.9
    EDV 8.3
    ILF 6.2
    EPP 4.8
    EEM 4.36
    FEZ -5.3

    Since it's mid-month, I'm looking back 63 days.
    Aug 23 06:24 AM | Likes Like |Link to Comment
  • Modified GMR Signal For August 2014: EEM [View instapost]
    Hi Algyros,

    Without attempting to hijack Marc's posts - here's our "comparable" back-test - with the following caveats.

    1: It uses 67/33 performance/20 day volatility - this tests better than performance-only for most time periods. It's what we use for almost all forecasts.
    2: Includes NO cash stop. Our experience with cash stops is very mixed so we have chosen not to include one.
    3: Max Draw-down is almost 23% (Jan/Feb 2009). A cash-stop may have mitigated this, but see 2 above.
    4: Note that not all the ETFs include data for the entire period tested e.g. EDV
    5: As with all of these back-tests, we fear there is some amount of selection-bias. We are attempting to quantify whether it exists and it's possible significance and will be publishing our results and conclusion. In the meantime, please read the cautions/disclaimers on the site and don't rely on any of these systems continuing to return 40% annually into the future. This is not an attempt to discredit any of the fine work that has been presented here or by Mr Grossman. As you can see, our own test indicates a potential for 40%+. We're just not sure exactly how representative that test will be in the future or even if it was truly representative of the past.

    http://bit.ly/1rUg7va

    berry@etfrank.com
    Aug 19 04:18 PM | Likes Like |Link to Comment
  • Modified GMR Signal For August 2014: EEM [View instapost]
    If Marc get's busy again ;) and/or you're interested in a "performance only" approximation of Marc's GMR, (it's been correct every month so far), you can visit etfrank.com. GlobalSSO - use the "Performance" (column 1) ranking.

    If you rank it utilizing "GMR" 20 day volatility (column 3 "Rank"), the results may vary slightly from Marc's. Possibly due to SSO's slightly higher volatility component or the fact that it is utilizing 20 day, rather than 6 month, volatility.
    Aug 19 04:51 AM | Likes Like |Link to Comment
  • Don't Listen To Bubble Speculation [View article]
    "It's not worth investor's time to listen to the endless bubble speculation. Most of the arguments in support of a market bubble are weak. "

    As are most of those denying it.
    Jul 13 07:10 PM | 1 Like Like |Link to Comment
  • A Global Market Rotation Strategy With An Annual Performance Of 41.4% Since 2003 [View article]
    Marc, you are correct regarding my earlier comments on volatility as a factor. My Back-tests varied considerably depending of the time-period chosen. While I was unable to determine a consistent "top performing" volatility component, my tests indicated that, for the majority of cases, a reasonable volatility component, did improve performance and seldom hurt it so I'm currently using volatility as a positive contributor in my ranking. I believe overall it helps more than it hurts.

    In my tests, utilizing volatility as a negative component, hurt overall performance, but to each his own

    That said, I believe a "performance only" strategy to be very sound also.
    Jul 9 12:40 PM | Likes Like |Link to Comment
  • A Global Market Rotation Strategy With An Annual Performance Of 41.4% Since 2003 [View article]
    Apparently, only Frank knows for sure. Leastways, I do not.

    He had mentioned too much volatility being bad, but my impression was "normal" was good.
    Jul 9 09:08 AM | Likes Like |Link to Comment
  • A Global Market Rotation Strategy With An Annual Performance Of 41.4% Since 2003 [View article]
    Based on back-testing, Frank's method yields superior results.

    While low volatility might appear to be more desirable, in testing, it is not.

    cheers
    Jul 7 10:40 AM | Likes Like |Link to Comment
  • Modified GMR Signal For June 2014: ILF (Again) [View instapost]
    Looks like you're tracking another strategy you haven't told us about?
    ;)
    Jun 29 01:14 PM | Likes Like |Link to Comment
  • Modified GMR Signal For June 2014: ILF (Again) [View instapost]
    VWO?

    Do you mean SSO?

    Or am I talking the wrong strategy?
    Jun 28 06:16 PM | Likes Like |Link to Comment
  • A Global Market Rotation Strategy With An Annual Performance Of 41.4% Since 2003 [View article]
    Yes. I've run tests across the entire monthly spectrum and over varying time periods and the differences can be dramatic. And my back-tests confirm variations of double to triple results depending on the monthly start date. If you look at the data in detail, you'll soon notice some very large single day moves for some of the ETFs. Depending on timing, those large changes will impact the selection of etfs for a period (or even longer) and can have a marked effect on overall results. For example, a very slight change in timing changes a back-test for 2013 from 30%+ to just over 10%. I do not believe those variations are "time/date" dependent, but rather the process is somewhat serendipitous - thus some good portion of the performance variation is just luck-of-the-draw, and the selection of specific sell/buy dates is over fitting.

    I personally believe "fitting" it to any specific buy/sell day is over-fitting. That said, there may well be some "calendar month" variables that do come into play since in my tests, normally the eom/som strategy performs as good or better than most.
    Jun 28 05:17 PM | 1 Like Like |Link to Comment
  • A Global Market Rotation Strategy With An Annual Performance Of 41.4% Since 2003 [View article]
    In my experience, the results are also dependent on the time period chosen - e.g. offset_3 may be best in that particular period, but may not be in another. In these situations, it's impossible to speak in "absolutes".
    Jun 28 09:33 AM | Likes Like |Link to Comment
  • A Global Market Rotation Strategy With An Annual Performance Of 41.4% Since 2003 [View article]
    Would not trading two days before EOM to "beat the crowd" be "some sort of optimization process"?

    I would imagine Frank has tested those kinds of alternatives/optimizat... and chosen the one he feels is best overall, else why make the comments he has? We could just trade the strategy at random, or on each ETF change, but that's not what he has proposed or is selling.

    But, yes, I agree, based on my back-testing, the published results seem to be a bit too "fine tuned" for my liking. Small changes in timing can have a big effect on overall results. But I do like and follow the strategy in general. However, in back-testing, while changing the buy/sell date does change the results, I have not found buying/selling on a different day of the trading month to yield repeatable improvements in performance.
    Jun 28 12:52 AM | Likes Like |Link to Comment
  • A Global Market Rotation Strategy With An Annual Performance Of 41.4% Since 2003 [View article]
    ZIV is an ETF in Mr Grossman's GMRE strategy.

    You may view all of his strategies at his web-site.
    Jun 26 04:16 PM | Likes Like |Link to Comment
  • A Global Market Rotation Strategy With An Annual Performance Of 41.4% Since 2003 [View article]
    He could do that, but that would be a different strategy than what he has promoted/backtested/sells subscriptions for.
    Jun 25 12:01 PM | Likes Like |Link to Comment
  • Why Buying A House Is A Terrible Investment [View article]
    The articles on Seeking Alpha are becoming equivalent to the comments portion of articles on CNBC.

    Such a shame.
    Jun 15 06:09 PM | 3 Likes Like |Link to Comment
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