Gen Protective Momentum with Cash alternative

For those following Gen Protective Momentum Fuzzy which has held up decently in decline but as I’ve previously noted would have done better with an alternative cash in the current interest rate increasing environment.

A modified version changes the old safe choices from:

TLT- 20yr Treasury’s, SHY- 1-3 yr Treasury’s and IEF- 7-10 yr Treasury’s

To: TLT- 20yr Treasury’s, SHV- short term Treasury’s (essentially cash) and IEF- 7-10 yr Treasury’s

This is a minor tweak but it does slightly improve both the recent and long term results

From 10/15/2007 15 years compared to Vanguard Wellington balanced fund

         Old      New       VWELX
CAGR     9.2      10.0         6.3
SAWR     7.8       8.1         4.6
GSD      8.9       9.1        12.7
SHARP    1.0       1.1         0.52
MDD    -15.5     -15.5       -36.0
UI       2.7       2.7         7.2
AT       3.1       3.0          0
YearTD  -2.5       1.3       -20.7

http://gtr1.net/2013/?~Protective%20Asset%20Allocation%20Fuzzy%20V6:s20071015i42f0.15000::dspo%281%29al252:Weight:al0:max%28SPY_Wt,QQQ_Wt,IWM_Wt,EWJ_Wt,VGK_Wt,EEM_Wt,GLD_Wt,GSG_Wt,VNQ_Wt,HYG_Wt,LQD_Wt,TLT_Wt,SHV_Wt,IEF_Wt%29gt0:RiskyEWTR21:imports%280,TR21,0%29:TR21:trp%281,21%29:Correlation:tscorr%28TR21,RiskyEWTR21,0,231,1,step0%29:Safe:ifet%28product%28minus%28screen,fvbynam%28screen,SHV,step0%29%29,minus%28screen,fvbynam%28screen,IEF,step0%29%29%29,0,1,0%29:Risky:minus%281,Safe%29:Momentum:linear%280.5,rrs%281,84%29,1,rrs%281,210%29%29:ZiScore:product%28Momentum,minus%281,Correlation%29%29:NegZiCount:sum%28iflt%28ZiScore,0,Risky,0%29,1,step1%29:SafeWeight:iflt%28NegZiCount,4,0,iflt%28NegZiCount,9,ratio%28minus%28NegZiCount,3%29,6%29,1%29%29:Weight:ifet%28Safe,1,ifet%28rankt%28ZiScore,Safe,step1,-1%29,1,SafeWeight,0%29,ifam%28rankt%28ZiScore,Risky,step1,-1%29,3,ratio%28minus%281,SafeWeight%29,3%29,0%29%29:SPY_Wt:fvbynam%28Weight,SPY,step1%29:QQQ_Wt:fvbynam%28Weight,QQQ,step1%29:IWM_Wt:fvbynam%28Weight,IWM,step1%29:EWJ_Wt:fvbynam%28Weight,EWJ,step1%29:VGK_Wt:fvbynam%28Weight,VGK,step1%29:EEM_Wt:fvbynam%28Weight,EEM,step1%29:GLD_Wt:fvbynam%28Weight,GLD,step1%29:GSG_Wt:fvbynam%28Weight,GSG,step1%29:VNQ_Wt:fvbynam%28Weight,VNQ,step1%29:HYG_Wt:fvbynam%28Weight,HYG,step1%29:LQD_Wt:fvbynam%28Weight,LQD,step1%29:TLT_Wt:fvbynam%28Weight,TLT,step1%29:SHV_Wt:fvbynam%28Weight,SHV,step1%29:IEF_Wt:fvbynam%28Weight,IEF,step1%29:NOTPROFANEwtf:Weight%7b~Risky%20-%20Daily%20Equal-Weight:h1::TR21:al-100:TR21:trp%281,21%29%7bU:%7blf-1lp-1h1::gprc%281%29gt0%7bU:%7b~SPY::SPY%7d%7b~QQQ::QQQ%7d%7b~IWM::IWM%7d%7b~EWJ::EWJ%7d%7b~VGK::VGK%7d%7b~EEM::EEM%7d%7b~GLD::GLD%7d%7b~GSG::GSG%7d%7b~IYR::IYR%7d%7b~HYG::HYG%7d%7b~LQD::LQD%7d%7b~TLT::TLT%7d%7d%7d%7d%7d%7bU:%7b~SPY::SPY%7d%7b~QQQ::QQQ%7d%7b~IWM::IWM%7d%7b~EWJ::EWJ%7d%7b~VGK::VGK%7d%7b~EEM::EEM%7d%7b~GLD::GLD%7d%7b~GSG::GSG%7d%7b~VNQ::VNQ%7d%7b~HYG::HYG%7d%7b~LQD::LQD%7d%7b~TLT::TLT%7d%7b~SHV::SHV%7d%7b~IEF::IEF%7d%7d

remove the notprofane to pass the boards censor and still run.
RAM
3 Likes

Sorry but I’m having trouble posting on this new site. They find objectionable words in a GTR1 script, I haven’t figured out how to use their markdown and still don’t understand how to navigate the site.

2 Likes

Another Try at posting the GTR1 script:
http://gtr1.net/2013/?~Protective%20Asset%20Allocation%20Fuzzy%20V6:s20071015i42f0.15000::dspo(1)al252:Weight:al0:max(SPY_Wt,QQQ_Wt,IWM_Wt,EWJ_Wt,VGK_Wt,EEM_Wt,GLD_Wt,GSG_Wt,VNQ_Wt,HYG_Wt,LQD_Wt,TLT_Wt,SHV_Wt,IEF_Wt)gt0:RiskyEWTR21:imports(0,TR21,0):TR21:trp(1,21):Correlation:tscorr(TR21,RiskyEWTR21,0,231,1,step0):Safe:ifet(product(minus(screen,fvbynam(screen,SHV,step0)),minus(screen,fvbynam(screen,IEF,step0))),0,1,0):Risky:minus(1,Safe):Momentum:linear(0.5,rrs(1,84),1,rrs(1,210)):ZiScore:product(Momentum,minus(1,Correlation)):NegZiCount:sum(iflt(ZiScore,0,Risky,0),1,step1):SafeWeight:iflt(NegZiCount,4,0,iflt(NegZiCount,9,ratio(minus(NegZiCount,3),6),1)):Weight:ifet(Safe,1,ifet(rankt(ZiScore,Safe,step1,-1),1,SafeWeight,0),ifam(rankt(ZiScore,Risky,step1,-1),3,ratio(minus(1,SafeWeight),3),0)):SPY_Wt:fvbynam(Weight,SPY,step1):QQQ_Wt:fvbynam(Weight,QQQ,step1):IWM_Wt:fvbynam(Weight,IWM,step1):EWJ_Wt:fvbynam(Weight,EWJ,step1):VGK_Wt:fvbynam(Weight,VGK,step1):EEM_Wt:fvbynam(Weight,EEM,step1):GLD_Wt:fvbynam(Weight,GLD,step1):GSG_Wt:fvbynam(Weight,GSG,step1):VNQ_Wt:fvbynam(Weight,VNQ,step1):HYG_Wt:fvbynam(Weight,HYG,step1):LQD_Wt:fvbynam(Weight,LQD,step1):TLT_Wt:fvbynam(Weight,TLT,step1):SHV_Wt:fvbynam(Weight,SHV,step1):IEF_Wt:fvbynam(Weight,IEF,step1):NOTPROFANEwtf:Weight{~Risky%20-%20Daily%20Equal-Weight:h1::TR21:al-100:TR21:trp(1,21){U:{lf-1lp-1h1::gprc(1)gt0{U:{~SPY::SPY}{~QQQ::QQQ}{~IWM::IWM}{~EWJ::EWJ}{~VGK::VGK}{~EEM::EEM}{~GLD::GLD}{~GSG::GSG}{~IYR::IYR}{~HYG::HYG}{~LQD::LQD}{~TLT::TLT}}}}}{U:{~SPY::SPY}{~QQQ::QQQ}{~IWM::IWM}{~EWJ::EWJ}{~VGK::VGK}{~EEM::EEM}{~GLD::GLD}{~GSG::GSG}{~VNQ::VNQ}{~HYG::HYG}{~LQD::LQD}{~TLT::TLT}{~SHV::SHV}{~IEF::IEF}}
Remove the “NOTPROFANE” from the above to pass the bad word and run.
RAM

3 Likes

Testing the compressed URL - I’d expect that could work.
http://gtr1.net/2013/?!!QlpoMTFBWSZTWbH0E8UAA8gfgAIHf!2FAv!2F3!2Bwv!2B!2F!2F8UADCK0NJyrWEigpsijDTSaeqeoaNPTUAZB6npP1Q9IEp6iJBTaMKbU9QyeU2gTQ09Q0BoAbVKPSAaDQAaDI0NBoAAASSJpT9FPFHqNoagZDIMnojQaD1NNOeXznHi8svHw!2FRJFWzm82QlBOwgQbJmjrdz1N65a65b5KwrCoDRM0zMikjF5rw9CQFmRI6TrDaezu75OqOB34HcWyxbtnOZ!2BfPRTp8tammyxU3VqVINaBa9rWiaSSyFi9rbK1tt!2FFqrXrNXLd1cuFM2ydt!2BGr1mXZ!2BYSIkrmoPa17XwpHZGlBljrIVHvHLERkEtRstBKVBN!2BzsyfcuFzt6UjGdEKDmpIBVcjSc7K7uvOMa!2FUoIAcBNYgQxgI4mJX1zHMHNY02NpxbTacm4vnr19QooooqiwwiVMowizMiu7RJfddIhToa3499!2BvDA6smI2ZfSHA5BURVvYv!2Fhn4kcIiSrDPIYXIfDWKwnmiMDFjGYZGbXFIkqwyJLMMjJPFL0CUSUhwxSmWjaaY!2B2VqIKFUqfjQNp6VEwXPJcZoujm4ohwwMFzRDJTMMmWqllHQGWCSrjLmwqUufiPpGhsYsYyMs0aIjVEJjJ3CUPg4!2BIJckUSoQMgorO7t7jfjue3rxnwlZCMSso2UpSsvOlmu!2Fr7PUJcGcTazl3nu!2BwcwBpCnyzh6oqJ5RJVSjo0zMwwzKnS8PEPBCHE4VEARTFcV0mi9JhcYl3k4PQh9g13YhHteBGAzPfVCLZdOkXSj6iewvFYFD6V!2FdunBa6CW5plm4rdWOaWQoBvQAfEiEB4vpii07h6yovJYOBjNYCNe3zatPhorEvOi8M4TInyxJrMTIRgaxXRqHHpI8dmUIMWnj1Ev7Ko8ehOeGVVVVVVWNtvqIQEmo35wR5dSK9Bg7Dy1FMC0Ji7!2FSAWTUcnLvcjrAHWuAKmSP8XckU4UJCx9BPFA!3D!3D

Edit: It seems an alternative way to paste URLS is to use the compressed form - potentially less likely to trip the profanity filter although less informative until one ‘clicks through’.

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