Tranche Investing: How to Reduce Transactions Based on results from extensive back-testing, there is a degree of luck as to when a portfolio comes up for review and when securities are bought and sold. Did the review come when it was time to buy and the market dipped? Or were ETFs sold when the market […]
Tranche 1.6 Results
John Dishman sent the following to me, having tried to post the table in the Forum section. I was not able to do that easily so I am posting it here as a blog entry. If you have questions for John, state your questions in the comment section associated with this blog entry. “I found […]
How “Robust” is the ITA Wealth Momentum Strategy? – Part 5
Reducing Uncertainty by Tranching In the first 4 parts of this study we have focused on the optimization and robustness of the primary parameters necessary to apply the ITA Wealth Momentum Strategy – the appropriate look-back periods to measure momentum (Rate Of Change – ROC) and Volatility and the appropriate weights to apply to these […]
Tranche Model for September Emphasizes Cash and Bonds
Tranche Model followers will find the following table of interest as I varied some of the positions and ranking metrics. In hopes of capturing a recovering market, I reverted back to HedgeHunter’s original ROC1 and ROC2 settings of 50% and 30% respectively. Placing more emphasis or lifting the percentage from 30% to 50% for ROC1 […]
Tranche Spreadsheet Using Rutherford 10
The following Tranche Recommendations use the following assumptions. Ten (10) ETFs plus SHY are used to create this data. The ETFs are identical to those used in the “Rutherford 10”. The number of Offset Portfolios is set to eight (8). Twelve (12) is the maximum number possible. Periods between Offsets = 2. ROC1 = 30% […]
Tranche Recommendations for November 2nd
Below are two sets of tranche recommendations where only the ROC weights are different. The third screenshot shows the position size or how one might hold down portfolio risk. Tranche Recommendations #1: This is a sample, not one of the real portfolios. In this slide I set ROC1 = 30% and ROC2 = 50%. All […]
Baker’s Dozen: A Few Ties
The Baker’s Dozen is a sample portfolio I use to see where an average portfolio might be trending. Based on last Friday’s data, there was a three-way tie for second place so the Baker’s Dozen ended up with four recommendations. I don’t recall seeing this happen before. Tranche Momentum Recommendations: VNQ, TLT, and RWX all […]
Bullish Percent Indicators: 26 February 2021
It has been several weeks since I last posted any information on Bullish Percent Indicators (BPI). BPI is also known as Point and Figure (PnF) charting. Several “anomalies” pop up this week due to the unusual volatility. This happens when action on Friday deviates from the overall moves of the week. The first table examines […]