There it goes. We've triggered our second buy.
Man, the market missed triggering a buy for RockOn's system by less than 3 points!
Man, the market missed triggering a buy for RockOn's system by less than 3 points!
There it goes. We've triggered our second buy.
which means the next whipsaw (if there is one) will cost at least 1.6%
Sell baby. Whipsawed.
Usually after the flaws become obvious the originator of the trading scheme or his minions will propose a slight tweaking based on new insights into the mysterious machinations of the market. And the process continues ad infinitum.
And once RockOn defines the infrequent time periods when he would use this system, I'll propose a refinement that will stop the frequent whipsaw losses: Just get completely out of the market during the times you would otherwise use this system.
And once RockOn defines the infrequent time periods when he would use this system, I'll propose a refinement that will stop the frequent whipsaw losses: Just get completely out of the market during the times you would otherwise use this system.
Of course that is only true for the 25 year period period studied. It is possible to reduce risk and still get market type returns?
BXM generated superior risk-adjusted returns over the last 18 years, generating a return comparable to that of the S&P 500 with approximately two-thirds of the risk. (The compound annual return of the BXM was 11.77% compared to 11.67% for the S&P 500, and BXM returns were generated with a standard deviation of 9.29%, two-thirds of the 13.89% volatility of the S&P 500.)
However, what he *is* saying, is that he can predict volatility. One can trade volatility just as one can trade direction (short or long). I know some very smart people who do this almost exclusively (no, I don't know their 'track record').
There are many options-based vehicles that let you bet on volatility without the need to absorb whipsaw losses.
CBOE - Micro Site
according to the cboe, yes. BXM has provided market returns with less volatility.
-ERD50
Are there tradeable products built on this index? (I found futures but nothing that can be traded in an ordinary brokerage account.)
Ha
yes, there are some funds following the approach. I'll dig up a list later, I have not researched them yet, but have been meaning to do so....-ERD50
I don't know if anyone else is continuing to follow this strategy (this is what ER idleness does to a person ), but we had another whipsaw yesterday as the Dow closed below 11,400 at 11,348.55. The last buy-in was on August 5 at a closing Dow of 11,615.77. Hence, the whipsaw cost this time was 2.3%.
So this strategy has already cost more than the simple purchase of a put, and the put would still have 2 months left until expiration.
why not just go completely long if the DOW is above 11,500 and get completely out if it is below 11,500?