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Subject:  Re: Dual Global Equities Momentum: Case in Fragi Date:  1/17/2019  10:48 PM
Author:  Rayvt Number:  273132 of 277933

At a shallower level, I'm skeptical about how practical his proposed approach would be for individual mechanically inclined asset allocators

I read the first half of his paper and skimmed the rest. Pretty ho-hum. Different values of parameter have different results. Next up: water is wet--panic now.
Different start dates have different results. I kinda figured that out the first time I ran a screen backtest at portfolio123.

Heck, we all know that sometimes even doing a screen's purchases with a 1 hour time difference will have different outcomes.

You know, it doesn't have to be all one thing or nothing. I run GEM strategy in a few distinct accounts and I have them on different cycles. Also have some of them doing monthly (end-of-month) and some of them on 1st Monday of the month, 2nd Monday, etc. By happenstance, they don't all have the same lookback period. Some 7 months, some 10 months, etc.
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