In my opinion, the filter only protected against the drawdown of 2000. The 2008 drawdown was actually only spread over several years by the SPY filter (2008-2011), but not really prevented. In general, you can see that the outperformance of the filter was actually only stabilized in 2000 and was otherwise even better in 2003-2024 without the filter. But could it be that the risk is reduced if you install the filter? Are you currently doing this with a filter? 🤔
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2Mês
@theflyingsquirrel the filter definitely fulfills its purpose and prevents major losses. Without the filter, I would have been under water for almost 4 years until I made up the losses. During the crisis in 2008 and afterwards, I'd rather have 3 years of lean years than -30% to make up. It's impossible to predict whether this will happen again or not. It's also hard for me to ignore the crises and pretend it will never happen again. In fact, I have of course also looked and thought about how I can participate in the better performance "without filters". I then created a traffic light system that switches between risk on and risk off (i.e. without filter, with
filter) as soon as certain signals / indicators are given. This does not mean that you always switch at exactly the right time and thus get the maximum theoretical return, but should still allow a small increase
filter) as soon as certain signals / indicators are given. This does not mean that you always switch at exactly the right time and thus get the maximum theoretical return, but should still allow a small increase
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•@Krush82 I'm Paddy/Patrick by the way, in case you don't recognize me by my name here on gq. :D
Are you currently running the traffic light system in your system or do you just have the filter always activated at the moment?
Tips was useless, right?
What do you think about saying that you would deactivate the filter if the momentum system had made a loss of >20% without the filter. That would have worked really well in 2008, as the drawdown would have been prevented by the filter in 2008 and then the performance without the filter would have been taken into account in 2009. However, this probably only works for short drawdown phases. In 2000, there were even greater drawdowns in the years after that without the filter, and you would then take this in full if you only deactivated the filter due to a crash...
Are you currently running the traffic light system in your system or do you just have the filter always activated at the moment?
Tips was useless, right?
What do you think about saying that you would deactivate the filter if the momentum system had made a loss of >20% without the filter. That would have worked really well in 2008, as the drawdown would have been prevented by the filter in 2008 and then the performance without the filter would have been taken into account in 2009. However, this probably only works for short drawdown phases. In 2000, there were even greater drawdowns in the years after that without the filter, and you would then take this in full if you only deactivated the filter due to a crash...
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2Mês
@theflyingsquirrel May I ask which filter you are talking about? The SMA or one of the momentum filters?
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@Simon_n the S&P 500 filter as an overarching barrier for the Top2 stock selection.
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•2Mês
@theflyingsquirrel Oh Paddy, just say that - apart from Raul I don't know anyone under his gq account :-) The traffic light system is active on a test basis - Correct, TIPS was completely useless for the model, you could deduce that if a Velrust year >20% you act without a filter in the coming year. There are only two things that bother me. 1. I don't want to experience/realize the -20% loss and 2. it doesn't automatically mean that the whole thing won't happen again the following year. I am therefore trying to establish the new traffic light system with the selected indicators
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•@Krush82 right, I should have said that directly. :D
And your conclusion on the traffic light system so far?
Right, >20% loss is a lot and that's exactly what didn't work in 2000/2001 when, after the heavy loss in 2000, losses were made again in 2001 without the filter. :-)
And your conclusion on the traffic light system so far?
Right, >20% loss is a lot and that's exactly what didn't work in 2000/2001 when, after the heavy loss in 2000, losses were made again in 2001 without the filter. :-)
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2Mês
@theflyingsquirrel It's probably still too early to draw any conclusions. It has only been in existence for a quarter or so and has only switched to green so far 😅
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2Mês
@theflyingsquirrel for the pool selection, i.e. all spy stocks, I use Portfolio Performance and for everything else just excel with finance function
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