I have attached some results from a run of my variation of the dual momentum strategy.

drawdown.png is the draw down for strategy and s&p . s&p is much worse

BackTestDual.txt is trades made during backtesting. GAGR are at bottom

Perhaps i should try a strategy that varies from holding s&p during bull periods and safe things like cash, gld, uup during bear periods.

Would probably be a lot better than either a s&p buy and hold or a 60/40 strategy. How much I don't know?

Original Message:

Sent: 02-18-2023 20:56

From: PETER WANG

Subject: I am a long-term investor and have been using technical analysis since 2014

There's nothing user configurable in Allocate Smartly except for how you blend the strategies, also you can choose to trade on different days of the month. But it does give you a backtest of your constructed portfolios (you can have three) and you get email alerts when you need to trade.

The strategies by Wouter Keller and JW Keuning do use 1, 3, 6, and 12 month momentum as you do. They also use a "canary universe", all of the canary (in the coalmine) assets have to be risk-on for the strategies to go risk, and when they do (60% of the time) they tend to swing for the fences. My favorites from them are Bold Asset Allocation (Aggressive) and Generalized Protective Momentum. Google them.

The backtests are very impressive. But they are really very tax inefficient, the turnover is very high. I only use them in IRAs / HSA.

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PETER WANG

AAII Houston TX Member

Original Message:

Sent: 02-18-2023 19:31

From: JAMES MCCLEAN

Subject: I am a long-term investor and have been using technical analysis since 2014

Peter I implemented a variation of Gary Antonacci's strategy. In Allocate Smartly is there a way you can change the calculation of relative momentum for each asset. I used 4/10 of the monthly relative momentum, 3/10 of the quarterly, 2/10 of the semi annual and 1/10 of the annual relative momentum. By relative momentum I mean (CurrentPrice - PastPrice)/PastPrice. Also if multiple assets where investable in this strategy invest in them proportional to there relative performance. So if vti had 5% outperformance, schf had 7%, vnq 3%, and gld 10% outperformance relative to something yielding 2% then the investment proportions would be 5/25, 7/25, 3/25, 10/25. Twenty-five is just 5+7+3+10 in the denominator.

Something like this will get you a GAGR in the mid twenties assuming 1% trading friction and 20% tax rate.

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[Jim] [McClean]

[Houston][Texas]

Original Message:

Sent: 12-30-2022 20:09

From: PETER WANG

Subject: I am a long-term investor and have been using technical analysis since 2014

It has worked as advertised. There is bull market friction, because you get whipsawed out of the market occasionally, and end up buying back in higher than your exit point. However, you make it back during bear markets, case in point is 2022, I am down 10% for the entire year, which is better than the 60/40. The buy and hold part of my portfolio contributed significantly to the drawdown.

**The trade discipline is trade once a month only, at the end of month.**

The Tactical Asset Allocation (TAA) part of my portfolio (65%) consists of:

Bold Asset Allocation (Aggressive)

Generalized Protective Momentum

Paul Novell's SPY-COMP

Gary Antonacci's Global Equities Momentum (GEM)

I also have buy and hold (35%) precious metals, gold miners (painful drawdown) I-Bonds, Treasury Bills, Notes, and Bonds, and an Oil & Gas Limited Partnership. I sold Bitcoin for a handsome profit, but not before it drew down from $49k to $22.5k in 2022.

If we look at the backtest of just the TAA portion, with weights 40% 40% 10% 10% to each strategy, we get the following results (1/1/73 - 12/30/22):

CAGR 15.3%, Sharpe ratio 1.21, Max Drawdown -8.5%, Longest Drawdown 16 months, Ulcer Performance Index (UPI) 5.11

The Benchmark 60/40:

CAGR 9.1%, Sharpe ratio 0.46, Max Drawdown -29.5%, Longest Drawdown 40 months, Ulcer Performance Index (UPI) 0.75

My TAA strategies are tax-inefficient, high turnover. I only use them in my IRAs.

I source my signals and do my backtests at Allocate Smartly. The cost is minimal compared to my portfolio size. The Allocate Smartly results above are net of estimated expenses and trading friction.

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PETER WANG

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