What 20 years? Here's 100 years: mutualfundobserver.com/2013/06/timing-method-performance-over-ten-decades/.
Of course, these data are for SPY, but do the math and you have an idea what TNA (or using SPY with margin, or investing in ES mini-futures) would have done.
And the reason that everyone isn't doing it is that people are impatient, want to second guess a system, think they know better, etc.
The other reason everyone isn't doing it is that with greater margin or leverage come greater drawdowns. It's a rule of investing: the cos for greater profits is greater risk. But simpl trend following systems have tons of history behind them and they've worked in all kinds of markets. For more information, you might want to look at Mebane Faber's website.
Wow, feel like I pissed in your Wheaties... sorry to have irritated you. My assumptions are my undoing, but if those returns are so great, why are you here?
I'm not irritated at all, RMI. Just trying to help.
Like I've said before, I"m not trading J's system. I am however, monitoring it. If it were to survive several market cycles, I might be interested. But, I'm clearly more comfortable with systems that have a longer history behind them. I can talk to you more about this if you want; email me at sweenrose@yahoo.com.
thanks, it is killing us that on s/p down days, TZA is not up or up as much
ReplyDeleteYes, the RUT has been on a tear... which, unfortunately is historically a very bullish indicator...
DeleteThis has NOT been a good year for timers has it???
Actually, RMI, a very simple timing system (buy TNA when it's above its 100 sma and sell when it's below) would have yielded over 100% ytd.
ReplyDeleteYes, but how did it do over the last 20 years, and how will it do next year...
DeleteI have seen the debate about simple systems, and if it was that simple, everyone would be doing it...
What 20 years? Here's 100 years: mutualfundobserver.com/2013/06/timing-method-performance-over-ten-decades/.
ReplyDeleteOf course, these data are for SPY, but do the math and you have an idea what TNA (or using SPY with margin, or investing in ES mini-futures) would have done.
And the reason that everyone isn't doing it is that people are impatient, want to second guess a system, think they know better, etc.
The other reason everyone isn't doing it is that with greater margin or leverage come greater drawdowns. It's a rule of investing: the cos for greater profits is greater risk. But simpl trend following systems have tons of history behind them and they've worked in all kinds of markets. For more information, you might want to look at Mebane Faber's website.
ReplyDeleteWow, feel like I pissed in your Wheaties... sorry to have irritated you. My assumptions are my undoing, but if those returns are so great, why are you here?
ReplyDeleteI'm not irritated at all, RMI. Just trying to help.
ReplyDeleteLike I've said before, I"m not trading J's system. I am however, monitoring it. If it were to survive several market cycles, I might be interested. But, I'm clearly more comfortable with systems that have a longer history behind them. I can talk to you more about this if you want; email me at sweenrose@yahoo.com.
Thanks Al, glad your Wheaties are fine ;-)
Delete