Backtest long term, if you stick with whatever is the current market environment you'll miss the next environment. 2017 was an anomaly and so was 23 for the most part but we just try to be right most of the time. That's the path to major profits. Love this comment and the work that you're doing.
Cheers yeah, and here's the VIX right on cue for the well advertized Jan 17th "Window of Weakness"... I guess it was a pretty decent predictor this time!
I feel like the past 3 years were pretty cool for a backtest challenge since we had a melt up a V bottom and a chop fest of regime change. The prior 10, well it was just hard to beat buy and hold with anything so the backtest pretty much said "don't trade"?
Yeah. So lets think about this. Most of the time a defensive posture does not mean dont trade. It means buy things like consumer staples, healthcare, reits, gold, bonds and or dollars. Maybe even just having smaller positions. Maybe next time I could ask him to define this. Trading is not black and white. I have never had a period of no trades. I wish, I could use a vacation lol.
Man I should have had a 2 year trading vacation from '21 and I'd be ahead. It was way beyond my competency level to even get one thing right let alone sectors commodities and GBPUSD all doing crazy stuff in different directions at the same time. Same goes for my pension managers it seems they did worse than cash. And are still worse than cash. 😬
OK I dug into the 15th percentile of the 20 day standard deviation of the VIX indicator.
Bad news: we're due a VIX spike.
Worse? It missed the covid crash but flags a couple little spikes before...
Good news: it looks like it was wrong a lot in 2023.
I dunno I had wondered if the VIX was just broken for a few years now haha.
To me it looks like maybe the VIX jumping over a 20 day upper bollinger band of 1 standard deviation works better in recent times.
Perhaps it is useful to avoid buying dips that keep on dipping?
Backtest long term, if you stick with whatever is the current market environment you'll miss the next environment. 2017 was an anomaly and so was 23 for the most part but we just try to be right most of the time. That's the path to major profits. Love this comment and the work that you're doing.
Cheers yeah, and here's the VIX right on cue for the well advertized Jan 17th "Window of Weakness"... I guess it was a pretty decent predictor this time!
I feel like the past 3 years were pretty cool for a backtest challenge since we had a melt up a V bottom and a chop fest of regime change. The prior 10, well it was just hard to beat buy and hold with anything so the backtest pretty much said "don't trade"?
Yeah. So lets think about this. Most of the time a defensive posture does not mean dont trade. It means buy things like consumer staples, healthcare, reits, gold, bonds and or dollars. Maybe even just having smaller positions. Maybe next time I could ask him to define this. Trading is not black and white. I have never had a period of no trades. I wish, I could use a vacation lol.
Man I should have had a 2 year trading vacation from '21 and I'd be ahead. It was way beyond my competency level to even get one thing right let alone sectors commodities and GBPUSD all doing crazy stuff in different directions at the same time. Same goes for my pension managers it seems they did worse than cash. And are still worse than cash. 😬
Excellent, I gotta go read those whitepapers!!
I think you'll dig them for sure!
Thanks!!!
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2949847
https://www.naaim.org/wp-content/uploads/2023/05/2023_00G_The-5-Percent-Canary-Thrasher.pdf
That was an awesome interview! Thanks for the great content Jason!
Thanks my friend!
I thought you would like it! Thanks for letting me know. I'll keep them coming.