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No. of Recommendations: 2
Elliot,

Read the banner above your results. You'll see your portfolio begins in 2005, not
1985. You can extend it to 2000, the earliest QQQ can be used in the free PV site, by changing TLT
to VUSTX and GLD to RGLD (not completely equivalent to gold, but related to gold and trading at that time). Robbie just posted a number of extended indexes, and one might be a version of QQQ so that
might allow you to further extend your test at gtr1.net/2013.

If you believe, as I do,that bonds will begin to drop as interest rates rise sometime in the next ten years or so, and inflation will eventually increase as congress blows up the dollar, you might consider
50-50 QQQ and RGLD or FNV. To avoid worrying about the drawdowns, which are larger than you might want to see, don't look at it often, but
fund it as often as you can! Seems like a joke, but this 'set it and forget it, ignorance is bliss' thing fortunately happened to me. When my pension fund was started I didn't know much about stocks or bonds, so I got equal amounts of a spy like fund and a bond & mortgage fund. At that time, long ago, I think those and a straight annuity were the only choices I had. I mostly ignored it except when my annual report was sent to me. Ended up fine. Probably better than if I had played with it and with much less stress.


rrjjgg
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No. of Recommendations: 10
wan123:
I am familiar with all asset allocation systems and testing on internet.

I've had to buy gifts for people who seemingly have everything, which is hard enough, but this is the first time I've ever been asked for input from someone claiming to have read everything that the internet has to say on a topic.

Robbie Geary
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No. of Recommendations: 7
wan123:
I am familiar with all asset allocation systems and testing on internet.

I've had to buy gifts for people who seemingly have everything, which is hard enough, but this is the first time I've ever been asked for input from someone claiming to have read everything that the internet has to say on a topic.

Robbie Geary
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Thanks for your comment. I agree with what you say.
Sorry, I did not mean I have everything.
I meant I know about ETF replay, Allocate Smartly, Portfolio Vizualizer, no where near everything. My intention was to precede someone suggesting those test sites. I guess I stated it incorrectly. We all make mistakes. I know much less, than most who post on this board, and am amazed at the knowledge, effort and sharing on this board.
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No. of Recommendations: 10
I appreciate it when someone corrects me, especially if is not my wife.
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No. of Recommendations: 16
I am working on a low draw down screen, low correlated ETF's that has good momentum. The idea is to have it similar to Dalio all weather, Harry Browne screens and Permanent Screens.
Instead of static list of ETF's it would be dynamic and what is working lately.
Right now QQQ and GLD are very strong and low correlated.


I’ve been using this ETF screen for the stable portion of my investments. It is a slight modification of Keller and Butler’s Generalized Protective Momentum which combines momentum and correlation in the decision process. And it has been in QQQ, TLT and GLD recently.
Up almost 15% this year. The standard version has excellent historical performance with synthetic ETFs at Allocate Smartly. Best write up:
https://indexswingtrader.blogspot.com/2016/06/deciphering-co...
Allocate Smartly write up and backtest results:
https://allocatesmartly.com/keuning-kellers-generalized-prot...

GTR1 backtest of slightly modified version from 20071015:
http://gtr1.net/2013/?~Protective%20Asset%20Allocation%20Fuz...

Results from 20071015 with 0.15% friction.

                 GPM     SP500wDiv
CAGR: 8.05 8.42
TR: 169.83 181.33
SAWR(20; 0.95): 6.71 6.24
GSD(20): 9.77 19.73
DIGSD(20; 0%): 10.17 23.86
LDD(20; 0%): 5.68 13.88
LDDD3: 5.35 13.10
MDD: -15.63 -54.38
UI(20): 4.27 14.64
Sharpe(20): 0.81 0.52
Beta(20): 0.13 1.00
TI(20): 61.51 9.09
AT: 4.44 0.00

RAM
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No. of Recommendations: 0
Similar to / uses some components of the old Riding the Wave approach!
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No. of Recommendations: 4
Hi Wan,
I went to the Portfolio Visualizer site where you can test different strategies on equities. From 1985 to present, your combination of equal parts QQQ, TLT, and GLD produced the following results:

CAGR__11.6%
WORST DRAWDOWN__-16%
WORST YEAR__-1.7%
SHARPE__1.1
SORTINO RATIO__2.1
CORRELATION WITH MARKET__44%

Except for 1/4 of my portfolio which is invested in SAAS stocks, I am a very risk averse investor and I consider your suggested strategy to be excellent when compared to the S&P 500.

S&P 500
CAGR__8.7%
WORST DRAWDOWN__-51%
WORST YEAR__-37%
SHARPE__0.56
SORTINO RATIO__80.0
CORRELATION WITH MARKET__100%

My only small nit with your suggestion is could I stomach the 16% worst continuous drawdown?

Note: I considered that you would rebalance annually.

For the Portfolio Visualizer results, please see the following link

https://www.portfoliovisualizer.com/backtest-portfolio?s=y&a...

Elliot
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No. of Recommendations: 2
Elliot,

Read the banner above your results. You'll see your portfolio begins in 2005, not
1985. You can extend it to 2000, the earliest QQQ can be used in the free PV site, by changing TLT
to VUSTX and GLD to RGLD (not completely equivalent to gold, but related to gold and trading at that time). Robbie just posted a number of extended indexes, and one might be a version of QQQ so that
might allow you to further extend your test at gtr1.net/2013.

If you believe, as I do,that bonds will begin to drop as interest rates rise sometime in the next ten years or so, and inflation will eventually increase as congress blows up the dollar, you might consider
50-50 QQQ and RGLD or FNV. To avoid worrying about the drawdowns, which are larger than you might want to see, don't look at it often, but
fund it as often as you can! Seems like a joke, but this 'set it and forget it, ignorance is bliss' thing fortunately happened to me. When my pension fund was started I didn't know much about stocks or bonds, so I got equal amounts of a spy like fund and a bond & mortgage fund. At that time, long ago, I think those and a straight annuity were the only choices I had. I mostly ignored it except when my annual report was sent to me. Ended up fine. Probably better than if I had played with it and with much less stress.


rrjjgg
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