Post #1889 by RAMc on the Mechanical Investing board

Investment Strategies / Mechanical Investing

Unthreaded | Threaded | Whole Thread (8)

Post New | Post Reply | Report Post | Recommend It!

No. of Recommendations: 8

A Tactical Asset Allocation ETF screen Generalized Protective Asset Allocation Fuzzy a modified version of Keuning and Keller's Generalized Protective Momentum. An analysis of the GPM results for each period shows that a nonlinear what I call fuzzy decision threshold makes a better separator between safe and risk periods. This was developed with GTR1 help from robbie in 2020.

zi>0  K&K'sSafe  FuzSafe
  12      0.000    0.000
  11      0.167    0.000
  10      0.333    0.000
   9      0.500    0.000
   8      0.667    0.167
   7      0.833    0.333
   6      1.000    0.500
   5      1.000    0.667
   4      1.000    0.833
   3      1.000    1.000
   2      1.000    1.000
   1      1.000    1.000
   0      1.000    1.000

Compared to Vanguard’s VWELX balanced fund from 10/2007

	GPMF	VWELX
CAGR:	10.1	7.5
TR:	393.9	231.0
Log2TR:	2.3	1.7
SAWR(	8.2	6.0
GSD(42)	9.1	12.2
DIGSD	8.7	15.0
LDD	3.9	8.3
LDDD3	4.4	8.7
MDD	-15.1	-36.0
UI(42)	2.5	7.2
Sharpe	1.0	0.6
Beta	0.1	0.7
TI	121.4	10.4
AT:	3.0	0.0

Year       GPMF    VWELX
20071231	8.1	-1.6
20081231	24.4	-22.3
20091231	9.4	22.2
20101231	10.2	10.9
20111230	9.5	3.9
20121231	0.4	12.6
20131231	17.3	19.7
20141231	5.6	9.8
20151231	-6.2	0.0
20161230	2.7	11.0
20171229	14.2	14.7
20181231	1.9	-3.4
20191231	14.5	22.5
20201231	21.7	10.6
20211231	22.5	19.0
20221230	2.1	-14.4
20231229	3.9	14.3
20240520	10.3	7.0

http://gtr1.net/2013/?!!QlpoMTFBWSZTWXkX7oAAACQfgA...

I’m currently using a blend of 3 non correlated TAA strategies based on momentum and risk premium.

RAMc

Post New | Post Reply | Report Post | Recommend It!

Print the post

Unthreaded | Threaded | Whole Thread (8)

Prev | Next

Announcements

Mechanical Investing FAQ

Contact Shrewd'm
Contact the developer of these message boards.

A community forum supporting civilized, and highly helpful, self-educating investors that come together for Shrewdness and merry spirits. These message boards closely follow the look and feel of the old message boards at boards.fool.com prior to the boards redirected to discussion.fool.com. Shrewd'm is not affiliated with the comprehensive and excellent investment website, The Motley Fool (TMF), in any way. The Shrewd commmunity here has owed, and continues to owe, gratitude to The Motley Fool for nurturing a culture of jovial irreverence towards Wall St, and that tradition will continue here.