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PETER WANG

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Posted By PETER WANG 09-24-2023 10:33
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Here is a highly detailed critique of "Sell in May" by Allocate Smartly. It doesn't out-and-out say that it's bad, stay away from it, it points out that there are many better tactical and still simple methods to use (10 month MA, traded at the end of the month is one) tax burdens in taxable accounts; ...
Posted By PETER WANG 03-31-2023 20:50
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Here is a nice summary article about momentum and trend-following by Gary Antonacci. I met Gary at AAII Houston in 2016, I was privileged to have him sign my copy of his 2015 book, "Dual Momentum Investing". "Tail risk is the probability that an asset performs far below or far above its average past ...
Posted By PETER WANG 03-10-2023 15:51
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Whether the momentum lasts a long time or not depends on the time scale. If you're looking at monthly candles, there's lots of momentum left. The high-frequency algos are out for a quick kill intraday, intraweek. I'm a "low frequency" user. ------------------------------ PETER WANG AAII Houston TX ...
Posted By PETER WANG 03-10-2023 15:03
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Gary Antonacci did a study of industry sector relative momentum, and he found that it did not generate excess returns. Gary is the author of Dual Momentum. All of the momentum strategies I see published on Allocate Smartly are not sector strategies... rather, they submit even larger asset classes ...
Posted By PETER WANG 02-19-2023 14:17
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The people in the AllocateSmartly group on Reddit like the USFR suggestion. I'm going to use it instead of SGOV or BIL, as soon as I look at the fund documents. Later... It only holds four things... it's super simple to replicate and avoid the 0.15% ER Holdings of USFR floating rate note ETF as ...
Posted By PETER WANG 02-19-2023 10:44
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I have been hiding out in SGOV, but USFR seems really good. It's even better than IFLOT, which has had significant volatility, it blew up in early 2020. HOWEVER... look at the price action in USFR from inception to late April 2018... what's all that junk and noise and volatility? I don't like that. ...
Posted By PETER WANG 02-18-2023 20:56
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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 ...
Posted By PETER WANG 02-18-2023 15:21
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I'm not a content creator in this space, I'm just a user. I will say, though, I do have exerience with neural nets outside of finance, and they are no panacea. It's very easy to get yourself into an overfitting situation, where you get a perfect backtest but the model doesn't perform very well out-of-sample. ...
Posted By PETER WANG 02-06-2023 10:37
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Yes, I have also noticed that adding SH during risk-off does not help --- it does maybe with perfect hindsight, but not in real-life or real price action historical backtests. I have used the market timing tools at PortfolioVisualizer.com. Yes, death crosses and gold crosses are venerable trend indicators. ...
Posted By PETER WANG 02-05-2023 10:40
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Hi Jim, I've never tried sector rotation within the US market. I rotate between US, ex-US, REIT, gold, commodities, bonds. I have a bit of a Frankenstein because of limited fund choices in different accounts, but broadly speaking: 401(k) - Paul Novell's EM-COMP (derived from his SPY-COMP) SPY vs EM ...
Posted By PETER WANG 01-19-2023 19:43
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That's great, how many times per year or per month you do trade? Is this a very active strategy? ------------------------------ PETER WANG AAII Houston TX Member ------------------------------
Posted By PETER WANG 01-19-2023 10:17
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Jeffrey, that's extremely smart. I have thought about buying puts to protect a B&H position in addition to Tactical Asset Allocation. Is this what you are doing, or are you buying spreads consisting of put and calls where you make money no matter which direction the market goes? ------------------------------ ...
Posted By PETER WANG 12-30-2022 20:10
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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 ...