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  • DGI Beats Indexing; What Beats DGI? [View article]
    Thanks for another good article!

    Question: Where did you get the data for the last chart (specifically, the 20 year return of the value weighted index)?
    Jul 15, 2015. 10:05 AM | 1 Like Like |Link to Comment
  • Adaptive Allocation Of Income ETFs May Generate High Returns At Low Risk [View article]
    Thanks for your interesting article. What was the maximum leverage that you used?
    Jun 17, 2015. 02:31 PM | Likes Like |Link to Comment
  • Quarterly Tactical Strategy Backtested To 2003: CAGR Over 28% And Consistent Positive Returns [View article]
    TMD, even if you cannot download data from a reliable source perhaps the missing dividends can be filled in manually.
    Feb 16, 2015. 05:39 PM | Likes Like |Link to Comment
  • Quarterly Tactical Strategy Backtested To 2003: CAGR Over 28% And Consistent Positive Returns [View article]
    Thanks guys for your analysis. While I don't have an easy solution for fixing missing dividends in Yahoo data, we can fix the issue caused by very low adjusted prices by doing the adjustment ourselves using the original unadjusted Yahoo data and retaining as many significant digits as necessary.

    For those who are inclined to do so, you should know adjusting for dividends is not as simple as you would think. There is a complicated formula that is used to adjust for dividends to prevent adjusted prices from getting less than 0 after deducting all the dividends.
    Feb 15, 2015. 11:19 AM | Likes Like |Link to Comment
  • Taking A Look At Historical Natural Gas Prices [View article]
    When the US builds natural gas export ports it will push up the price of natural gas. The rest of the world is not yet doing much fracking.
    Jan 20, 2015. 10:21 PM | 2 Likes Like |Link to Comment
  • Buying Gold Beneath Spot [View article]
    Fred Piard here on Seeking Alpha wrote an article about buying gold AND silver at a 8% discount to NAV. See
    Dec 22, 2014. 04:08 PM | 1 Like Like |Link to Comment
  • Oil Stocks: A Real-Time Case Study In Value Investing [View article]
    Warren Buffett (and most value investors) do not have a great track record in energy stocks. Prices are too volatile and change is the enemy of the investor.
    Dec 12, 2014. 01:08 PM | Likes Like |Link to Comment
  • It's Time To Get Short Volatility [View article]
    It's easy to debunk this consensus opinion. If investors were really nervous in 2011 about the US government defaulting on it's debt then US Treasuries should have nosedived while other sovereign debt should have gone up. Instead US Treasuries went up and up and up while European government bonds went into a tailspin. In fact the best hedge to the 2011 correction was a long Treasury position. Hedges rarely get better than that. This tells me pretty clearly that investors were not worried about a US default in 2011.

    So what really caused the 2011 market correction? DH51 may have a point. It seems that the end of QE2 caused havoc in the European Sovereign debt markets. This in turn caused investors to yank money out of European government bonds and buy US Treasuries hand over fist.

    That does not mean that I am predicting that the end of QE3 will cause worldwide problems. I don't know. This time the Fed and the ECB learned from their mistakes; the Fed is tapering QE instead of ending it abruptly, and the ECB is starting it's own QE program with the Euro to cushion the potential shock to the European markets.
    Oct 3, 2014. 01:10 AM | Likes Like |Link to Comment
  • Quarterly Tactical Strategy Backtested To 2003: CAGR Over 28% And Consistent Positive Returns [View article]
    I backtested this system using Yahoo adjusted closing prices from 2002 through July 2014. The annual return was 24% with a maximum drawdown -19%.

    Comparing the trades to TrendXplorer's there were two differences: on 12/31/07 and on 6/30/11 TrendXplorer's system went to "cash" (i.e. long bonds) while mine didn't but chose PREMX instead. Those trades made a big difference.

    It seems that TrendXplorer's system used unadjusted closing prices for the 3 month sma cash filter while mine used adjusted prices for both rankings and the cash filter.
    Sep 18, 2014. 11:07 PM | 1 Like Like |Link to Comment
  • Quarterly Tactical Strategy Backtested To 2003: CAGR Over 28% And Consistent Positive Returns [View article]
    Thanks for running this test!

    I tried replicating your results with QuantShare using Yahoo data and it didn't match. Is that because the Yahoo data is flawed? What kind of differences were there between the Yahoo data and the StockCharts data?
    Sep 13, 2014. 09:34 PM | Likes Like |Link to Comment
  • Quarterly Tactical Strategy Backtested To 2003: CAGR Over 28% And Consistent Positive Returns [View article]
    Hi Cliff,

    Thanks for sharing a very good strategy. You asked about methods of backtesting back to 1996. I use Sector Surfer and Quantshare. The two are very different and aim to fill different needs.

    Sector Surfer is free to join and backtest and only costs if you want to get real time trading signals. The price for getting live signals is reasonable at $10 per month per strategy. Almost everything is automated and foolproof. It's all made very simple but it's really powerful. You feed in up to 12 funds (ETFs, Mutual Funds--even stocks) per strategy and it will automatically calculate the optimal momentum settings and graph your hypothetical backtest returns all the way back to 1990 (if your mutual funds have a long enough history). It generates a signal at month's end but it usually only trades a few times a year. It automatically takes into account the frequent trading restrictions that some Mutual Funds have and postpones the trade until the trade restriction is lifted. When you sign up please put down that Lighthouse referred you.

    Quantshare is much more powerful (and costs more) but much more complicated. To backtest this strategy you will need little programming skills. Instructions: 1. Create a list of the Mutual Funds that you want to use. 2. Import the price history from Yahoo Finance for these Funds. 3. Create a simulation to test which lookback periods would have worked best. One of Quantshares biggest strengths lies in it's ability to optimize the lookback period. Free 14 day trial. . You can ask for an extension if you need more time. Please send me an email if you have further questions about Quantshare.
    Sep 7, 2014. 10:27 PM | Likes Like |Link to Comment
  • Should You Include International Bonds In Your Portfolio? - Part II [View article]
    Thanks for writing a good article. I seem a little late here but four those of you who are still following:
    * Australian government bonds currently have a higher yield with a lower debt load than the US and a AAA rating. When China will finally stop wasting money and manpower building empty cities it will adversely impact the world economies especially Australia. This will prompt Australia to lower rates which should be a double win for Australian government bondholders.
    * As anyone done a similar analysis on foreign stocks to see if it pays to hedge the currency exposure?
    Aug 10, 2014. 07:58 PM | Likes Like |Link to Comment
  • Developing A Rotation Strategy Using Highly Diversified ETFs - Part III [View article]
    Hi Marc, I just came across this series and you have some good work!

    However, I am concerned that your volatility adjustment has a look-ahead bias. Put it this way, you used the volatility over the entire period as inputs into your ranking system. To the extent that future volatility is unpredictable there is a look-ahead bias--because it could not have known what future volatility would be in the future. Furthermore since volatility goes up during a market crash, the sectors that crashed had higher volatility numbers in retrospect. This may explain why ranking -1 for volatility reduced the drawdowns so much.
    Jun 3, 2014. 01:09 AM | Likes Like |Link to Comment
  • Hedge Fund ETFs: Alternative Alpha Vs. Guru Index [View article]
    Fred, I like your articles. Thanks for another thought provoking article.

    Is it possible that the higher volatility of these ETFs is simply because they have less stocks than the S&P 500, and therefore, less diversification?
    Mar 25, 2014. 03:35 PM | Likes Like |Link to Comment
  • Event Driven Q&A Forum [View instapost]
    If CBB would really need to raise more cash as is implied then they would probably need to sell off shares of CONE; possibly taking whatever price they can get. Wouldn't that potentially erode the value? Is there a margin of safety here that I am missing?
    May 10, 2013. 12:07 AM | 1 Like Like |Link to Comment