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Chipper6
Re: In a model is it a virtue or a vice to detail out factors?

... but I think it's important to distinguish between simulated equity curves and real-time equity curves, especially in a public forum like this one.

This is not an uncommon issue on P123. Adding a chart indicator that marks the start date of a live strategy would help.

This!

Nov 15, 2020 10:49:32 PM       
ETFOptimize
Re: In a model is it a virtue or a vice to detail out factors?

Geo: "from 2004 to 2008 your model did not produce any alpha over benchmark SPY. Why is that?"


Because it was holding SPY. The average hold time is 231 days or nearly a year between transactions. SPY was in a bull market from 2004-2008.

Geo: "Also why does the model start in July 2004."


I actually started running the model in 1998 as a SPY/Cash model. However, is 2004 I switched to SPY/TLT and started running it fresh from then.

Yuval: "This is not really a "live model," is it? It's a simulation, right?"


It is a live model that I have been presenting publicly since 1998. I began investing in 1975 and took my first professional jobs as an analyst at Merrill Lynch and Drexel Burnham Lambert in the early 1980s. Private Equity and Hedge Funds followed. I guess all that makes me an 'old fart.'

Yuval: "which is about thirteen years before you say you switched to ETFs"


You are misreading what I wrote. I said, "I've been investing using ETFs since about 1995, but I also spent many years (1982-2017) investing in individual stocks, then in 2017 I dropped individual companies altogether." ...Meaning that there were 22 years of overlap in there before I abandoned individual stocks.

Walter: "Adding a chart indicator that marks the start date of a live strategy would help."


The model actually started in 1998, which would mean marking it before the chart begins. But with the 2004 revision using TLT instead of cash as a defensive asset, that is the live start date for this version.

Nov 16, 2020 10:38:50 PM       
Edit 2 times, last edit by ETFOptimize at Nov 16, 2020 10:42:11 PM
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