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clacy

Registered: Sep 2006
Posts: 2383

08-04-12 05:35 PM

Mebane's ETF seems to have a hard time making money with his strategies.....

GTAA

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Straddle1985

Registered: May 2010
Posts: 12

08-04-12 05:55 PM

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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Nanook

Registered: Nov 2006
Posts: 303

08-04-12 06:03 PM

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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clacy

Registered: Sep 2006
Posts: 2383

08-04-12 06:12 PM

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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Nym

Registered: May 2012
Posts: 117

08-04-12 07:08 PM

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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noob_trad3r

Registered: Nov 2008
Posts: 1733

08-07-12 07:26 PM

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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