Comments on: Mid-Year Wrap-Up http://billrempel.com/2008/06/30/mid-year-wrap-up/ Trading Mechanical Systems Tue, 02 Dec 2008 03:21:41 +0000 http://wordpress.org/?v=2.3.3 By: Bill Rempel http://billrempel.com/2008/06/30/mid-year-wrap-up/#comment-188 Bill Rempel Tue, 01 Jul 2008 22:42:36 +0000 http://billrempel.com/2008/06/30/mid-year-wrap-up/#comment-188 There is little downside to adding issues, but sometimes little upside, as well. With DBC, it's a mix of several different commodities and would only "catch" after many of the other commodities already did, so that would be a non-diversifier to add. It would double-count several existing members. Of course, you could say that about the SPY being included along with U.S. industry groups, too ... In the current method, with no forced allocation, it's unlikely TIP would catch, either. I actually considered adding both of those, and explicitly ruled out any commodity-index tracker and am still on the fence about whether TIP should be in there, or not. A reader could always recreate the forced allocation approach using the tables I provide, if they wanted to. It reduced volatility and reduced returns over the backtest period, I just didn't think the trade-off was enough. I have not tested a "hold 'til drop" method, but it sounds worth testing. I'll have to add it to the projects list. Thanks for reading! There is little downside to adding issues, but sometimes little upside, as well. With DBC, it’s a mix of several different commodities and would only “catch” after many of the other commodities already did, so that would be a non-diversifier to add. It would double-count several existing members. Of course, you could say that about the SPY being included along with U.S. industry groups, too … In the current method, with no forced allocation, it’s unlikely TIP would catch, either. I actually considered adding both of those, and explicitly ruled out any commodity-index tracker and am still on the fence about whether TIP should be in there, or not.

A reader could always recreate the forced allocation approach using the tables I provide, if they wanted to. It reduced volatility and reduced returns over the backtest period, I just didn’t think the trade-off was enough.

I have not tested a “hold ’til drop” method, but it sounds worth testing. I’ll have to add it to the projects list.

Thanks for reading!

]]> By: Steveal http://billrempel.com/2008/06/30/mid-year-wrap-up/#comment-187 Steveal Tue, 01 Jul 2008 21:08:34 +0000 http://billrempel.com/2008/06/30/mid-year-wrap-up/#comment-187 Bill, You have a very interesting site. As a newcomer to the site, with a particular interest in the rotational stategy, I have a few questions (and I have read all the back posts here on the strategy): How did you decide on the choice of ETFs/ETNs? Because you rank the ETFs by momentum, it seems there is no downside to expanding the universe. Did you consider TIP amongst the bond funds. or DBC amongst the commodities, for example? I may be the only person who is disappointed that you dropped the “forced allocation”. It seemed like an excellent way to ensure diversification (with all the positives and negatives that implies. Have you ever tested a "hold till drop" system? Hold the top ETF in each category, but do not sell until it falls from the top 3 picks, for example? Steve Bill,

You have a very interesting site.
As a newcomer to the site, with a particular interest in the rotational stategy, I have a few questions (and I have read all the back posts here on the strategy):

How did you decide on the choice of ETFs/ETNs? Because you rank the ETFs by momentum, it seems there is no downside to expanding the universe. Did you consider TIP amongst the bond funds. or DBC amongst the commodities, for example?

I may be the only person who is disappointed that you dropped the “forced allocation”. It seemed like an excellent way to ensure diversification (with all the positives and negatives that implies.

Have you ever tested a “hold till drop” system? Hold the top ETF in each category, but do not sell until it falls from the top 3 picks, for example?

Steve

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