tag:blogger.com,1999:blog-816559531110064247.post257869967430705181..comments2024-03-08T01:03:44.522-08:00Comments on Humble Student of the Markets: An excellent Trend Model report card (Dec: +7.8% 1 year: +40.9%)Cam Hui, CFAhttp://www.blogger.com/profile/09672203690656029787noreply@blogger.comBlogger6125tag:blogger.com,1999:blog-816559531110064247.post-37209266218431268842015-01-11T13:17:22.973-08:002015-01-11T13:17:22.973-08:00I've asked a similar question before, so pleas...I've asked a similar question before, so please excuse the repetition. I was wondering if you could go back over 2014 and use just SPY when you issued a buy or sell signal. I was curious what an apples to apples comparison between your realtime results and buy-and-hold for last year were.Algyroshttps://www.blogger.com/profile/07237694624266634982noreply@blogger.comtag:blogger.com,1999:blog-816559531110064247.post-3408713980811840452015-01-08T09:16:49.710-08:002015-01-08T09:16:49.710-08:00WimpyInvestor -
Sorry, can't go back that far...WimpyInvestor -<br /><br />Sorry, can't go back that far in a backtest. Just remember that backtests have severe limitations and there is no substitute for an actual track record with real money.Cam Hui, CFAhttps://www.blogger.com/profile/09672203690656029787noreply@blogger.comtag:blogger.com,1999:blog-816559531110064247.post-16623146566539495232015-01-07T11:44:44.768-08:002015-01-07T11:44:44.768-08:00Are you able to backtest your model assuming 2015 ...Are you able to backtest your model assuming 2015 SPY turns out to be exactly like (daily trading pattern) these past years:<br /><br />1. 1955<br />2. 1985<br />3. 1995<br /><br />Would be very curious to see the general results even if some of the discretionary factors ("human" intervention in day trading) cannot be simulated ... <br /><br />If my base case is that 2015 will be like those three "bullish SPY" years, then should I just "buy and hold", or try to make even more money by trading intermediate cycles based on sentiment and other elements of your Trend Model ...<br /><br />Thanks!WimpyInvestorhttps://www.blogger.com/profile/18148362644880449393noreply@blogger.comtag:blogger.com,1999:blog-816559531110064247.post-81424714868217833362015-01-06T11:13:26.191-08:002015-01-06T11:13:26.191-08:00AlphaDow,
If you read the post, it states:
For r...AlphaDow,<br /><br />If you read the post, it states:<br /><br />For readers who are unfamiliar with my Trend Model, it is a market timing, or asset allocation, model which uses trend following techniques as applied to commodity and global stock market prices to generates a composite Risk-On/Risk-Off signal (risk-on, risk-off or neutral).<br /><br />Cam Hui, CFAhttps://www.blogger.com/profile/09672203690656029787noreply@blogger.comtag:blogger.com,1999:blog-816559531110064247.post-67730691643844548262015-01-06T06:46:16.134-08:002015-01-06T06:46:16.134-08:00I am interested in more detail on your Trend Model...I am interested in more detail on your Trend Model. Do you share the inputs or is it black box? AlphaDowhttps://www.blogger.com/profile/05082492190058316013noreply@blogger.comtag:blogger.com,1999:blog-816559531110064247.post-16078724768143418122015-01-06T00:53:00.588-08:002015-01-06T00:53:00.588-08:00Outstanding post - especially the self analysis of...Outstanding post - especially the self analysis of your trend model! :-)Anonymousnoreply@blogger.com