Martin, thanks so much for sharing the updates and signals for your momentum strategies!
I was positioned fairly aggressively (for a chicken) in the 1st quarter, with small allocations to EPOL (thanks to you for pointing it out!), QLD, SSO, my brokerage's semiconductor mutual fund, SPRX, etc.
I sold off most of those a few weeks ago, in what looks (so far) to be lucky timing. I wish I could credit a brilliant new strategy I could share. I hope to come up someday with an "all in one" strategy for the tactical sleeve of my portfolio -- perhaps using the Google Colab code laurenthu presented on this thread, https://cliff-smith-blog.freeforums.net/thread/14/based-target-volat-strategy-colab, for a volatility targeting strategy, and raising or lowering the target in increments based on trend, valuations, maybe some economic indicators, VIX, etc.
As long as the risk premiums for stocks, credit bonds and long duration bonds are low to negative, I am somewhat overweight low duration funds, like SGOV, TFLO, JAAA and JBBB. I am also trying to diversify away from relying on the "Magnificent 7" for gains. Dollar-bullish currency funds (UUP, YCS, EUO) that did well when the US fed was calling for "higher for longer" rates are also doing pretty well this year. And using currency hedged stock funds for foreign developed markets with low interest rates (HEDJ for Europe and DXJ for Japan) gives you some of that currency hedging in a cost efficient way -- maybe even with negative costs due to the carry trade of borrowing in a low interest currency and holding dollars which pay higher interest.
In over 30 years, it only lost money in 1994 and in 2022, when stocks and bonds both had negative returns. If we add some recent winners, commodities and hedges we can get no losing years since inception of the funds, and double digit returns each of the last four years (I did not actually do that, unfortunately :( )
Another timely and excellent article by Martin. With Nasdaq 100/QQQ down 6.9% in the past 6 trading days, I’m out of that segment and into a smallish inverse position. Best wishes to us all!
From my point of view, it might seem prudent to keep your inverse position smallish for the time being. The market is severely oversold and due for a bounce. (Of course, what is oversold can become even more oversold...)
Martin and Bill, how do you dashboard your various indicators? Do you do it in Excel/Google Sheets or do you use a web-front end? Thanks for the article and commentary. Excellent as always!
hi Steve, thanks for your question. What I do isn't quite worthy of the term "dashboard".
I have a few strategies at Portfoliovisualizer. I have an abundance of indicators stored on stockcharts.com. (In a few days, I will post an update on which ones I am using, and what they are currently saying. Spoiler alert: none have gone negative yet).
I check the 5% Canary data manually, in other words my spidey sense tells me I better check exactly how bad it is when the markets are in a funk. And I'll be watching the 200-dma level closely in the 8 weeks to come.
Just as a reminder, my "Benign Neglect" strategy combines Thrasher's sell signal with Sadek's buy signal, plus some additional tweaks from yours truly. Surely, it's not the best way to employ this stuff, but it works for me.
Good article! BTW, the 3% 5% timer has a good way to go before triggering a sell, as it's getting close to reaching the upper band. Your BDRY is getting very close to crossing the 200 moving average!
I think the Canary, along with the above two indicators are indespensable to any prudent investors because they do not try to time every twist and turn of the market.
You made an excellent comment: "let the market do what it wants to do most of the time, and only grab the rudder when a serious storm is on its way."
Yep, we are nowhere close to the band which would sell at 5% below the 200 dma. Actually, we are also pretty darn far from the 200 dma itself. It worries me to think how much we'd be losing if the SPX went down to that level quickly.
My Baltic Dry/SSO strategy uses a 20/100 day moving average crossover. We're not so close to that point -- in fact, BDRY has been gaining ground in recent days. That would be great news, if the underlying (yet rather different) Baltic Dry Index hadn't moved into "sell" territory around April 12. At the same time, I wonder how much of this is moot since shipping prices may well be unduly influenced by the conflict in the Hormuz area. May times become less crazy.
I wish there was a way to post my chart of the BDRY strategy! (It has come down a lot, but as you said it's bouncing back in the last few days.)
BTW, https://groups.io/ allows easy collaboration and posting of files among members, JPG, XLS etc. Overall, it's easier to post to and would probably increase readers interactions.
Bill, We've never exchanged comments, but I've seen your's in a couple of places, including Cliff Smith's blog. Thanks for what you've shared.
Drftr and I had a chat a couple of years ago about using Slack or something as an alternative to email. He was absolutely committed to email as the base tech. Do you think groups.io would bridge some of the gaps between email, an open blog like Cliff Smith's and Slack? Are you hosting one now?
Martin, thanks so much for sharing the updates and signals for your momentum strategies!
I was positioned fairly aggressively (for a chicken) in the 1st quarter, with small allocations to EPOL (thanks to you for pointing it out!), QLD, SSO, my brokerage's semiconductor mutual fund, SPRX, etc.
I sold off most of those a few weeks ago, in what looks (so far) to be lucky timing. I wish I could credit a brilliant new strategy I could share. I hope to come up someday with an "all in one" strategy for the tactical sleeve of my portfolio -- perhaps using the Google Colab code laurenthu presented on this thread, https://cliff-smith-blog.freeforums.net/thread/14/based-target-volat-strategy-colab, for a volatility targeting strategy, and raising or lowering the target in increments based on trend, valuations, maybe some economic indicators, VIX, etc.
As long as the risk premiums for stocks, credit bonds and long duration bonds are low to negative, I am somewhat overweight low duration funds, like SGOV, TFLO, JAAA and JBBB. I am also trying to diversify away from relying on the "Magnificent 7" for gains. Dollar-bullish currency funds (UUP, YCS, EUO) that did well when the US fed was calling for "higher for longer" rates are also doing pretty well this year. And using currency hedged stock funds for foreign developed markets with low interest rates (HEDJ for Europe and DXJ for Japan) gives you some of that currency hedging in a cost efficient way -- maybe even with negative costs due to the carry trade of borrowing in a low interest currency and holding dollars which pay higher interest.
If you're looking to allocate to defensive strategy this summer, you could try an adaptive allocation model with minimum variance weighting. Here's a backtest to 1992 of a model an SA commenter shared using stock and bond mutual funds: https://www.portfoliovisualizer.com/tactical-asset-allocation-model?s=y&sl=1szM59y7HKgsAzgjvyCB2v
In over 30 years, it only lost money in 1994 and in 2022, when stocks and bonds both had negative returns. If we add some recent winners, commodities and hedges we can get no losing years since inception of the funds, and double digit returns each of the last four years (I did not actually do that, unfortunately :( )
So you can add or remove funds to your liking, and check the monthly allocations to see what combination it recommends: https://www.portfoliovisualizer.com/tactical-asset-allocation-model?s=y&sl=7OeQN5MPJcs54eryoRg3Rt
This model uses a managed futures ETF, DBMF, which has a short history. So I set up PQTIX and ASFYX as asset backfills. Good luck!
great stuff GC, thanks!
Sadly, Euros like me can't purchase many such mutual funds. But hopefully, some folks will be able to utilize the strategy's benefits.
Another timely and excellent article by Martin. With Nasdaq 100/QQQ down 6.9% in the past 6 trading days, I’m out of that segment and into a smallish inverse position. Best wishes to us all!
thank you, Vance!
From my point of view, it might seem prudent to keep your inverse position smallish for the time being. The market is severely oversold and due for a bounce. (Of course, what is oversold can become even more oversold...)
Martin and Bill, how do you dashboard your various indicators? Do you do it in Excel/Google Sheets or do you use a web-front end? Thanks for the article and commentary. Excellent as always!
hi Steve, thanks for your question. What I do isn't quite worthy of the term "dashboard".
I have a few strategies at Portfoliovisualizer. I have an abundance of indicators stored on stockcharts.com. (In a few days, I will post an update on which ones I am using, and what they are currently saying. Spoiler alert: none have gone negative yet).
I check the 5% Canary data manually, in other words my spidey sense tells me I better check exactly how bad it is when the markets are in a funk. And I'll be watching the 200-dma level closely in the 8 weeks to come.
When was the Canary first published? How long has it been around?
Andrew Thrasher's Canary data goes back 120 years, I think. His award-winning paper was published a year ago.
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4417394
Just as a reminder, my "Benign Neglect" strategy combines Thrasher's sell signal with Sadek's buy signal, plus some additional tweaks from yours truly. Surely, it's not the best way to employ this stuff, but it works for me.
Good article! BTW, the 3% 5% timer has a good way to go before triggering a sell, as it's getting close to reaching the upper band. Your BDRY is getting very close to crossing the 200 moving average!
I think the Canary, along with the above two indicators are indespensable to any prudent investors because they do not try to time every twist and turn of the market.
You made an excellent comment: "let the market do what it wants to do most of the time, and only grab the rudder when a serious storm is on its way."
thanks for the great input, Bill!
Yep, we are nowhere close to the band which would sell at 5% below the 200 dma. Actually, we are also pretty darn far from the 200 dma itself. It worries me to think how much we'd be losing if the SPX went down to that level quickly.
My Baltic Dry/SSO strategy uses a 20/100 day moving average crossover. We're not so close to that point -- in fact, BDRY has been gaining ground in recent days. That would be great news, if the underlying (yet rather different) Baltic Dry Index hadn't moved into "sell" territory around April 12. At the same time, I wonder how much of this is moot since shipping prices may well be unduly influenced by the conflict in the Hormuz area. May times become less crazy.
I wish there was a way to post my chart of the BDRY strategy! (It has come down a lot, but as you said it's bouncing back in the last few days.)
BTW, https://groups.io/ allows easy collaboration and posting of files among members, JPG, XLS etc. Overall, it's easier to post to and would probably increase readers interactions.
Bill, We've never exchanged comments, but I've seen your's in a couple of places, including Cliff Smith's blog. Thanks for what you've shared.
Drftr and I had a chat a couple of years ago about using Slack or something as an alternative to email. He was absolutely committed to email as the base tech. Do you think groups.io would bridge some of the gaps between email, an open blog like Cliff Smith's and Slack? Are you hosting one now?
I need to check out the Groups.io thing, thanks for the heads-up!