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Author: JLC Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 253816  
Subject: QTAA 12.31.12 Date: 12/31/2012 4:16 PM
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Quantitative Tactical Asset Allocation

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=962461

     VOO VEA  USCI IEF  VNQ %Cash VWO IGOV  PCY VNQI

DEC  yes yes   no   no  yes   40  yes  yes  yes  yes
NOV  yes yes   no  yes   no   40  yes  yes  yes  yes 
OCT  yes yes   no  yes  yes   20  yes  yes  yes  yes
SEP  yes yes  yes  yes  yes    0  yes  yes  yes  yes
AUG  yes yes  yes  yes  yes    0   no  yes  yes  yes
JUL  yes  no  yes  yes  yes   20   no   no  yes  yes
JUN  yes  no   no  yes  yes   40   no   no  yes  yes
MAY  yes  no   no  yes  yes   40   no   no  yes   no
APR  yes yes   no  yes  yes   20  yes   no  yes  yes
MAR  yes yes   no  yes  yes   20  yes   no  yes  yes
FEB  yes  no  yes  yes  yes   20  yes   no  yes  yes
JAN  yes  no   no  yes  yes   40   no   no  yes   no
DEC   no  no   no  yes   no   80   no   no  yes   no


IMPORTANT NOTE: I use a 10 month moving average, NOT 200
days or any other permutation. Also, it is based on closing price only
and NOT dividend adjusted. CAVEAT EMPTOR.

The 5 assets are: international equities (VEA),
commodities (USCI), US Treasuries (IEF), US equities (VOO), and
US REITS (VNQ). Your portfolio is divided equally among the 5 assets,
20% each. The decision to move in or out is based on a 10 month
look back monthly SMA.

For those wishing to expand, I added VWO (emerging markets),
IGOV (foreign treasuries), PCY (emerging market treasuries),
and VNQI (foreign REITS)

JLC
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Author: Quixote1 Two stars, 250 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 240804 of 253816
Subject: Re: QTAA 12.31.12 Date: 1/1/2013 6:33 AM
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Has anybody backtested what would happen if 100% of cash goes to the asset class with the highest Relative Strength?.

This is what decision moose is been doing with different ETFs.

Nice system and thanks for posting.

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Author: mungofitch Big gold star, 5000 posts Top Favorite Fools Top Recommended Fools Feste Award Winner! Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 240808 of 253816
Subject: Re: QTAA 12.31.12 Date: 1/1/2013 9:50 AM
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Has anybody backtested what would happen if 100% of cash goes to the asset class with the highest Relative Strength?.

I suspect it would increase returns a little and increase risks a lot.
Given the goals of the QTAA approach of moderate but very smoothed returns, that probably isn't the right trade-off.
If you wanted to be more wild, you'd probably start with a different approach.

Jim

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Author: DreadPotato Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 240809 of 253816
Subject: Re: QTAA 12.31.12 Date: 1/1/2013 10:42 AM
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Has anybody backtested what would happen if 100% of cash goes to the asset class with the highest Relative Strength?.

http://www.etfscreen.com/screener.php?sbt=2430f

Top 1  CAGR  Standard   Ulcer  Exposure
Deviation Index
Model
11.8 21.1 12.6 99.50%

Top 5
Model 4 9.3 5.8 64.60%

SPY 2.4 24.2 18.5 100.00%


Rebalance:21 days
From 2007-12-27 to 2012-12-28.

gdm

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Author: DreadPotato Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 240810 of 253816
Subject: Re: QTAA 12.31.12 Date: 1/1/2013 10:56 AM
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Has anybody backtested what would happen if 100% of cash goes to the asset class with the highest Relative Strength?.

http://www.etfscreen.com/screener.php?sbt=2430f


Vanguard Total Stock Market VTI
Vanguard REIT VNQ
Vanguard FTSE All-World ex-US ETF VEU
PowerShares DB Commodity Index Tracking DBC
iShares Barclays 7-10 Year Treasury Bond Fund IEF


Rebalance:21 days
From 2007-12-27 to 2012-12-28

       CAGR  Standard   Ulcer  Exposure
Deviation Index
Top 1
11.8 21.1 12.6 99.50%
Top 2 7.9 15.9 9.5 90.50%
Top 3 6.5 13.4 7.9 81.60%
Top 4 4.6 11.8 7.2 73.80%
Top 5 4.0 9.3 5.8 64.60%
SPY 2.4 24.2 18.5 100.00%


gdm

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