Comments for The Rempel Report http://billrempel.com Trading Mechanical Systems Sun, 06 Jul 2008 21:20:19 +0000 http://wordpress.org/?v=2.3.3 Comment on Rotational Portfolio Loves This Market by Bill Rempel http://billrempel.com/2008/06/29/rotational-portfolio-loves-this-market/#comment-189 Bill Rempel Sun, 06 Jul 2008 19:23:41 +0000 http://billrempel.com/2008/06/29/rotational-portfolio-loves-this-market/#comment-189 For those who requested weekly updates, here are the top ten momentum-scorers as of this comment (alpha order): EWZ, IEZ, IGE, MOO, OIH, PXE, SLX, UNG, USO, and XME. For those who requested weekly updates, here are the top ten momentum-scorers as of this comment (alpha order):
EWZ, IEZ, IGE, MOO, OIH, PXE, SLX, UNG, USO, and XME.

]]> Comment on Mid-Year Wrap-Up 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!

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