RAMcN
May 9, 2022, 6:04pm
1
For the cautious among us, GPM fuzzy replaceing SHY with SHV for recent rate increase Cash better than bonds. From 20071015
CAGR: 10.4
TR: 325.2
Log2TR: 2.1
SAWR(42; 0.95): 8.4
GSD(42): 9.3
DIGSD(42; 0%): 8.9
LDD(42; 0%): 4.0
LDDD3: 4.4
MDD: -15.1
UI(42): 2.7
Sharpe(42): 1.1
Beta(42): 0.1
TI(42): 168.9
AT: 3.0
Year CAGR
20071231 8.5
20081231 24.4
20091231 9.3
20101231 10.2
20111230 9.9
20121231 0.4
20131231 17.2
20141231 5.5
20151231 -6.4
20161230 2.7
20171229 14.2
20181231 1.6
20191231 14.5
20201231 21.7
20211231 22.2
20220509 1.0
http://gtr1.net/2013/?!!QlpoMTFBWSZTWVZG7sQAA8efgAIHf!2FAv!2…
RAMc
11 Likes
ges
May 9, 2022, 11:57pm
2
I’m not fluent in GTR1. Can you offer an explanation of this screen?
ges
May 10, 2022, 2:58pm
4
Please refer to following post for the answer.
Thanks. But it’s embarrassing that I appear to have asked this same question earlier in a different thread. I’ll try to understand it this time. : )
1 Like
RAMcN
June 14, 2022, 3:15pm
5
GPM fuzzy TAA strategy is so far handling the bear well. Still up 1% YTD. Unfortunately, it is only one of 4
CAGR: 10.4
TR: 324.6
Log2TR: 2.1
SAWR(42; 0.95): 8.4
GSD(42): 9.2
DIGSD(42; 0%): 8.9
LDD(42; 0%): 4.0
LDDD3: 4.4
MDD: -15.1
UI(42): 2.7
Sharpe(42): 1.1
Beta(42): 0.1
TI(42): 164.5
AT: 3.0
20171229 14.2
20181231 1.6
20191231 14.5
20201231 21.7
20211231 22.2
20220610 1.0
http://gtr1.net/2013/?!!QlpoMTFBWSZTWVZG7sQAA8efgAIHf!2FAv!2…
This seems to work a little better for me on the up side if when the strategy chooses SPY or QQQ I use a
RAM
3 Likes
RAMcN
August 11, 2022, 11:00am
6
GPM Fuzzy Tactical Asset Allocation using cash (SHV or BIL) rather than bonds is still navigating the post covid environment well.
From 20200103 to 20220810:
Total return for year ending:
http://gtr1.net/2013/?~Protective%20Asset%20Allocation%20Fuz…
RAM
8 Likes
haxs
August 11, 2022, 1:12pm
7
Currently GPM fuzzy is signaling to be 100% in SHY, is that correct?
RAMcN
August 11, 2022, 2:21pm
8
Currently GPM fuzzy is signaling to be 100% in SHY, is that correct?
Correct, but because of the increasing interest rate environment I’d choose cash instead.
RAM
2 Likes
Hi,
I see that you use screens when gpm fuzzy recommends stocks. Would you be able to mention what screens you use? I have not used screens for so long, I don’t know which work anymore.
I have been using gpm fuzzy for a long time, and it has worked for me. I can’t give you numbers, but I made money with low volatility.
If you are not comfortable sharing the screens you use, I understand.
RAMcN
September 29, 2022, 2:59am
10
RAMcN:
GPM fuzzy TAA
Can the new site post charts?
GTR1 results from 6/1/2005 with overlapping daily start dates obviously give the most statistically valid
Data.
CAGR 10.7% Avg, 9.9 Min, 11.6 Max for 20 trading cycles.
Safe Annual Withdrawal Rate 8.6%
Max DD -17.3%
My Excel version using only 1st day of the month trading cycles over the same period:
CAGR 9.9% with only a Max Draw Down of 6.3%
The Log chart below shows the consistent GPM in dark blue outperforming.
The second overall gain but with much greater variation green SPY
The third place gain is the 60 spy/40 bonds in light blue
Forth place gain is the equal weight of all the component ETFs in the GPM
And last for reference is SHY
1 Like
