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Aug 27, 2009 2:34 pm

[quote=B24]Jason, how would something like this perform during an extended bull-market run, like the 80’s/90’s?  It is obviously a great program during extremely turbulent/secular bear markets, but would it underperform over long positive periods?

  Also, how do you measure momentum?[/quote]

B -

Extended bull markets would've bee a problem for Mebane's version - which is why I tweaked it a little.  By making the *best* asset class (ie; the one with the most momentum) a bigger weight that problem is erased.

I'm measuring momentum based on price, with two indicators blended and based on 6 month and 12 month combined measures.

For kicks, I think I'll also blend a "hedged" version into the spreadsheet that actually shorts the least desirable asset class while holding long the other 5, and perhaps adding a little leverage to the top asset class.  This would essentially be like a 110/10 fund for net 100% investment but with a little hedging, of course.  I think this will drop the volatility and increase the return while also eliminating any negative years in entirety.

I'll keep you all posted.

J
Aug 27, 2009 5:24 pm

Thanks Jason.  What I meant to ask was, where do you gather data to measure (price) momentum.  Is there a service you subscribe to that provides the data, or do you simply write a program to extract daily prices from a particular service?

Aug 27, 2009 6:24 pm

I write the code myself and simply do auto EOD downloads from Yahoo Finance for something this simple.

Aug 27, 2009 11:48 pm

[quote=AdvisorControl.com] I write the code myself and simply do auto EOD downloads from Yahoo Finance for something this simple.

[/quote]



Looking forward to reading the code … if you’ll provide it. I love reading VB.

Aug 28, 2009 4:28 am

[quote=LockEDJ] [quote=AdvisorControl.com] I write the code myself and simply do auto EOD downloads from Yahoo Finance for something this simple.

[/quote]



Looking forward to reading the code … if you’ll provide it. I love reading VB.[/quote]

Hate to disappoint - but I removed the macros and transferred the program piece meal to excel so non tech-junkies would get to see the algorithms (which were quite simple anyway).  I may turn this into a fully automated VB program with a desktop icon and .exe files…depends on how motivated and generous I’m feeling.  That way advisors could just click a couple buttons and it would run a full backtest on whatever funds they use and tell them exactly what the program says to do each month.

We’ll see…

J

Aug 28, 2009 4:50 am

Jason, in measuring momentum are you adding in volume as a factor as well or just straight price movement? Have you considered adding in volume as a factor for momentum?

Aug 30, 2009 2:29 pm

i dont see it yet

Aug 31, 2009 5:16 am

Sorry guys/gals - I forgot I was set to go hiking over the weekend and haven’t had the time to finish post my work just yet.  There’s a couple of things I wanted to do to get it ready for the average non-techie to use.

It’ll be done sometime this week and I’ll let you all know when it’s been posted.

J

Aug 31, 2009 5:20 am

Oh…and the volume thing - it’s not nearly as important as the technical analysts make it out to be.  And since we’re looking at trading global markets (some being non stock markets) - volume is non-existent.  In the world of data analytics, you need comparable and complete data sets with large numbers of non manipulable data.  So just prices and dates works just fine for this stuff.

Sep 2, 2009 4:02 am

Forum Folks,

If you go to our “free stuff” section you’ll find the ultra-crude version of The Ivy Portfolio is excel.  Keep in mind it was a Visual Basic doc that I pretty much dismantled so the average excel user could decipher the excel formulas used to create the portfolio.

With modest excel experience you all should be able to figure it out.  Pretty much within excel you just get the month end prices for the funds I lay out at the top of the doc and copy/paste the rest.  The system tells you what fund should have what percent and tabulates the rest.

If there’s enough interest (ie, more than just a couple people) I’ll consider doing an API for the VB doc so the whole program works like any other desktop icon auto-run program.

This is kind of like a quasi-social experiment, as this model is ultra simple, yet would beat 99% of all mutual funds over the past 5, 10, 20, etc year periods; yet, if I was a bettin’ man - I would guess almost no advisors would use it because so many think they are somehow ‘smarter’ with their ‘process’ (er…lack thereof).

So I’m curious what everyone thinks - so check it out and let me know.

Cheers,

JW

Sep 2, 2009 11:48 pm

First pass through … very simple code so anyone could understand what’s going on. Intriguing.

Sep 3, 2009 1:31 am

OK, am I Nuts?  I can’t figure this thing out.  Maybe I am extracting it wrong. 

Am I that far behind the tech curve??  What the hell do I do with this thing? This is all I get:   <?xml version="1.0" encoding="UTF-8" standalone="yes" ?> - <Types xmlns="http://schemas.openxmlformats.org/package/2006/content-types">   <Override PartName="/xl/worksheets/sheet1.xml" ContentType="application/vnd.openxmlformats-officedocument.spreadsheetml.worksheet+xml" />   <Override PartName="/xl/workbook.xml" ContentType="application/vnd.openxmlformats-officedocument.spreadsheetml.sheet.main+xml" />   <Override PartName="/xl/worksheets/sheet2.xml" ContentType="application/vnd.openxmlformats-officedocument.spreadsheetml.worksheet+xml" />   <Override PartName="/docProps/core.xml" ContentType="application/vnd.openxmlformats-package.core-properties+xml" />   <Default Extension="xml" ContentType="application/xml" />   <Override PartName="/xl/worksheets/sheet3.xml" ContentType="application/vnd.openxmlformats-officedocument.spreadsheetml.worksheet+xml" />   <Override PartName="/xl/theme/theme1.xml" ContentType="application/vnd.openxmlformats-officedocument.theme+xml" />   <Override PartName="/xl/charts/chart1.xml" ContentType="application/vnd.openxmlformats-officedocument.drawingml.chart+xml" />   <Default Extension="rels" ContentType="application/vnd.openxmlformats-package.relationships+xml" />   <Override PartName="/xl/sharedStrings.xml" ContentType="application/vnd.openxmlformats-officedocument.spreadsheetml.sharedStrings+xml" />   <Override PartName="/docProps/app.xml" ContentType="application/vnd.openxmlformats-officedocument.extended-properties+xml" />   <Override PartName="/xl/drawings/drawing1.xml" ContentType="application/vnd.openxmlformats-officedocument.drawing+xml" />   <Default Extension="jpeg" ContentType="image/jpeg" />   <Override PartName="/xl/calcChain.xml" ContentType="application/vnd.openxmlformats-officedocument.spreadsheetml.calcChain+xml" />   <Override PartName="/xl/styles.xml" ContentType="application/vnd.openxmlformats-officedocument.spreadsheetml.styles+xml" />   </Types>
Sep 3, 2009 1:43 am

[quote=B24] OK, am I Nuts? I can’t figure this thing out. Maybe I am extracting it wrong.

Am I that far behind the tech curve?? What the hell do I do with this thing?<SPAN =m>

<SPAN =m>This is all I get:

<SPAN =m>

<SPAN =m><?xml version="1.0" encoding="UTF-8" standalone="yes" ?>

<DIV =e>

<DIV style=“TEXT-INDENT: -2em; MARGIN-LEFT: 1em” =c>-[/COLOR"> <SPAN =m><<SPAN =t>Types<SPAN =ns> xmlns<SPAN =m>="<B =ns>http://schemas.openxmlformats.org/package/2006/content-types<SPAN =m>"<SPAN =m>>



<DIV =e>

<SPAN =b> <SPAN =m><<SPAN =t>Override <SPAN =t>PartName<SPAN =m>="/xl/worksheets/sheet1.xml<SPAN =m>"<SPAN =t> ContentType<SPAN =m>=“application/vnd.openxmlformats-officedocument.spreadsheetml.worksheet+xml<SPAN =m>”<SPAN =m> />

<DIV =e>

<SPAN =b> <SPAN =m><<SPAN =t>Override <SPAN =t>PartName<SPAN =m>="/xl/workbook.xml<SPAN =m>"<SPAN =t> ContentType<SPAN =m>=“application/vnd.openxmlformats-officedocument.spreadsheetml.sheet.main+xml<SPAN =m>”<SPAN =m> />

<DIV =e>

<SPAN =b> <SPAN =m><<SPAN =t>Override <SPAN =t>PartName<SPAN =m>="/xl/worksheets/sheet2.xml<SPAN =m>"<SPAN =t> ContentType<SPAN =m>=“application/vnd.openxmlformats-officedocument.spreadsheetml.worksheet+xml<SPAN =m>”<SPAN =m> />

<DIV =e>

<SPAN =b> <SPAN =m><<SPAN =t>Override <SPAN =t>PartName<SPAN =m>="/docProps/core.xml<SPAN =m>"<SPAN =t> ContentType<SPAN =m>=“application/vnd.openxmlformats-package.core-properties+xml<SPAN =m>”<SPAN =m> />

<DIV =e>

<SPAN =b> <SPAN =m><<SPAN =t>Default <SPAN =t>Extension<SPAN =m>=“xml<SPAN =m>”<SPAN =t> ContentType<SPAN =m>=“application/xml<SPAN =m>”<SPAN =m> />

<DIV =e>

<SPAN =b> <SPAN =m><<SPAN =t>Override <SPAN =t>PartName<SPAN =m>="/xl/worksheets/sheet3.xml<SPAN =m>"<SPAN =t> ContentType<SPAN =m>=“application/vnd.openxmlformats-officedocument.spreadsheetml.worksheet+xml<SPAN =m>”<SPAN =m> />

<DIV =e>

<SPAN =b> <SPAN =m><<SPAN =t>Override <SPAN =t>PartName<SPAN =m>="/xl/theme/theme1.xml<SPAN =m>"<SPAN =t> ContentType<SPAN =m>=“application/vnd.openxmlformats-officedocument.theme+xml<SPAN =m>”<SPAN =m> />

<DIV =e>

<SPAN =b> <SPAN =m><<SPAN =t>Override <SPAN =t>PartName<SPAN =m>="/xl/charts/chart1.xml<SPAN =m>"<SPAN =t> ContentType<SPAN =m>=“application/vnd.openxmlformats-officedocument.drawingml.chart+xml<SPAN =m>”<SPAN =m> />

<DIV =e>

<SPAN =b> <SPAN =m><<SPAN =t>Default <SPAN =t>Extension<SPAN =m>=“rels<SPAN =m>”<SPAN =t> ContentType<SPAN =m>=“application/vnd.openxmlformats-package.relationships+xml<SPAN =m>”<SPAN =m> />

<DIV =e>

<SPAN =b> <SPAN =m><<SPAN =t>Override <SPAN =t>PartName<SPAN =m>="/xl/sharedStrings.xml<SPAN =m>"<SPAN =t> ContentType<SPAN =m>=“application/vnd.openxmlformats-officedocument.spreadsheetml.sharedStrings+xml<SPAN =m>”<SPAN =m> />

<DIV =e>

<SPAN =b> <SPAN =m><<SPAN =t>Override <SPAN =t>PartName<SPAN =m>="/docProps/app.xml<SPAN =m>"<SPAN =t> ContentType<SPAN =m>=“application/vnd.openxmlformats-officedocument.extended-properties+xml<SPAN =m>”<SPAN =m> />

<DIV =e>

<SPAN =b> <SPAN =m><<SPAN =t>Override <SPAN =t>PartName<SPAN =m>="/xl/drawings/drawing1.xml<SPAN =m>"<SPAN =t> ContentType<SPAN =m>=“application/vnd.openxmlformats-officedocument.drawing+xml<SPAN =m>”<SPAN =m> />

<DIV =e>

<SPAN =b> <SPAN =m><<SPAN =t>Default <SPAN =t>Extension<SPAN =m>=“jpeg<SPAN =m>”<SPAN =t> ContentType<SPAN =m>=“image/jpeg<SPAN =m>”<SPAN =m> />

<DIV =e>

<SPAN =b> <SPAN =m><<SPAN =t>Override <SPAN =t>PartName<SPAN =m>="/xl/calcChain.xml<SPAN =m>"<SPAN =t> ContentType<SPAN =m>=“application/vnd.openxmlformats-officedocument.spreadsheetml.calcChain+xml<SPAN =m>”<SPAN =m> />

<DIV =e>

<SPAN =b> <SPAN =m><<SPAN =t>Override <SPAN =t>PartName<SPAN =m>="/xl/styles.xml<SPAN =m>"<SPAN =t> ContentType<SPAN =m>=“application/vnd.openxmlformats-officedocument.spreadsheetml.styles+xml<SPAN =m>”<SPAN =m> />

<SPAN =b> <SPAN =m></<SPAN =t>Types<SPAN =m>>[/quote]





Sorry B, can’t resist - Are you using a Jones computer.
Sep 3, 2009 1:51 am

F*** you!

  Just kidding.  I'm at home.  It actually may be that my version of Excel is outdated?  I have no idea.  I don't even know what the program is supposd to do.  Is it supposed to launch in Excel or what?  After I extract it, I just see a bunch of XML files and folders.  Not sure what I'm supposed to be launching.   If I was using my Jones PC, the little red light above the monitor would start blinking (next to the hidden camera).  
Sep 3, 2009 10:56 am

LOL. Had the same issue initially with a Mac. Right click, open worked for me.



It’s a really simplistic Excel Spreadsheet - really when you get it open, the code isn’t anything hard. And it’s pretty neat stuff … of course, I work for Jones too, so anything in the quant field strikes me as rocket science.



Looking at stuff like this, B, is like the poor kids looking into the windows at Christmas time. It’s nice, but how in the he11 can we implement?

Sep 3, 2009 2:01 pm

I just can't get the freakin thing opened.

How do you right click in Mac??

Sep 3, 2009 2:11 pm

On the newer ones if you click on the right side of the trackpad, it’s a right click. I’m on my iMac right now, and I don’t think you can right-click with the mouse.



Anyway, it might be a different version of excel.



That red light is blinking B.

Sep 3, 2009 2:18 pm
Moraen:

.

That red light is blinking B.

   
Sep 3, 2009 2:24 pm

I should have paid more attention in computer science… What the hell is all that?

Sep 3, 2009 3:32 pm
Squash1:

I should have paid more attention in computer science… What the hell is all that?

  I don't know, but all of a sudden I feel like I'm 68 years old.   Damnit!  Why does that light keep flashing? Oh crap, why is my Regional Leader in my lobby? Gotta go.