DYI Investing, Quant tools and thoughts on the market
First published at Logical-Invest.com What is the Permanent Portfolio by Harry Browne Harry Browne’s intention was to find a solution for the money “you need to take care of you for the rest of your life”. He called it the Permanent Portfolio because he believed that once an investor sets it up, they never have …
Read moreEnhancing Harry Browne’s Permanent Portfolio strategy
1. Basics What is rules based Investing? In rules-based-investing we define a clear set of rules. These rules comprise an investment strategy. Here is an example strategy: “At the first day of the month, look at the performance of bonds versus stocks by calulating the 3-month performances of two exchange traded funds, SPY (the SPDR …
Read moreIntro to rules based Investing – Why follow an investment strategy?
In this post we will: Take a look at a simple, momentum based, monthly rebalanced Equity/Bond portfolio consisting of two ETFs: SPY and TLT. Search for what has been the optimal dates in the month to rebalance such a portfolio. Each month we allocate to SPY and TLT. If SPY has outperformed TLT we rebalance …
Has the end of month strategy stopped working? Historically and up to 2013, equities have exhibited a positive bias during the end of the month. Here is an example of buying the SPY etf on the first down-day after the 23rd and selling on the first up-day of the next month. Trading is at the same day …
In the previous post I showed how one can implement “regime” switching to create a strategy that switches between a mean-reverting and a momentum sub-strategy. Can we do something similar (or better) using Fuzzy Logic? Here’s the setup: (here for some Fuzzy Logic backround) We create a basic membership function for the RSI(2) indicator: …
