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Old Aug 4th, 2012, 12:35 PM   #7
clacy
 
 
Join Date: Sep 2006
Posts: 2,565
Mebane's ETF seems to have a hard time making money with his strategies.....

GTAA
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Old Aug 4th, 2012, 12:55 PM   #8
Straddle1985
 
 
Join Date: May 2010
Posts: 12
I got burnt using one of the strategies from this book in 2011. I started implementing the momentum method for a basket of 20 ETF's and then take the top 2 with the greatest momentum (6monthly and 1monthly). The backtests were pretty good, but I lost a lot on DBP and DBE. All in all, I closed down with -22% after a year with the S&P doing much better.
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Old Aug 4th, 2012, 01:03 PM   #9
Nanook
 
 
Join Date: Nov 2006
Location: Alaska
Posts: 304
Quote:
Quote from Straddle1985:

...The backtests were pretty good, ...
Doug Short's website may be of interest to you: Measuring the Performance of the Ivy Portfolio
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Old Aug 4th, 2012, 01:12 PM   #10
clacy
 
 
Join Date: Sep 2006
Posts: 2,565
I think the key with MA strategies such as Mebane employs is saving you during a bear market. During bull markets it will under perform but still be positive. During volatile market phases it won't do to well because of whipsaws
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Old Aug 4th, 2012, 02:08 PM   #11
Nym
 
 
Join Date: May 2012
Location: The Matrix
Posts: 117
Very Nice link tnx.
it has an interesting performance for 2007.

Natural questions:
a) I am wondering if a 1 to 2 leverage would be beneficial.
b) I guess that the strategy for replacing the ETFs in the portfolio has a very critical role.
c) how the Ivy will work with a "buy and hold strategy"?
d) what about a replacement strategy that follow MACD and RSI?
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Old Aug 7th, 2012, 02:26 PM   #12
noob_trad3r
 
 
Join Date: Nov 2008
Posts: 1,741
Quote:
Quote from Straddle1985:

I got burnt using one of the strategies from this book in 2011. I started implementing the momentum method for a basket of 20 ETF's and then take the top 2 with the greatest momentum (6monthly and 1monthly). The backtests were pretty good, but I lost a lot on DBP and DBE. All in all, I closed down with -22% after a year with the S&P doing much better.
By the time it come out in a book the value of the strategy has been exhausted and they are just trying to collect whatever residual value is left by selling to book to the masses.
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