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Re: Z8 & Z9 questions
[Re: DdlV]
#481154
08/07/20 17:10
08/07/20 17:10
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Joined: Jun 2013
Posts: 1,609
DdlV
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Thanks all!
@jcl: To phrase the 1st question another way, Z9, like Z8 needs assets that are diversified, as much as possible uncorrelated, that each have an increasing history, and are expected go higher than where they are currently, correct?
@jcl, petra: Re. c), how does one select a different "park" asset? I don't see that in the manual...
@jcl, petra: Re. e), for the AR strategies, that don't automatically reinvest, the square root "rule" limits the amount of profits that can be withdrawn in order to minimize the risk of strategy blow up. For the CAGR strategies that reinvest automatically, such as Z8 & Z9, there are statements amongst these strategies that the reinvest is done according to the square root rule, and the amount not reinvested is retained as a buffer. So, the question becomes, can anything be withdrawn safely before completely stopping the strategy? If so, how much? According to what "rule"/formula?
Thanks!
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Re: Z8 & Z9 questions
[Re: DdlV]
#481252
08/17/20 17:35
08/17/20 17:35
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Joined: Jun 2013
Posts: 1,609
DdlV
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Thanks jcl. But I'm still confused...
Re. Reinvest: I'm not sure how "force" entered the conversation. I understand that our accounts are ours to put funds in or take them out. There is, however, the square root "rule" guideline that a prudent investor should follow vis-a-vis withdrawals from the high leverage strategies.
The confusion is being generated by this sentence from the manual's description for Z8: "The backtest reinvests the capital growth to the power of 0.9, and keeps the remaining profit as cash reserve on the account for buffering drawdowns.", this for Z9 "... reinvesting profit to the power of 0.9 ...", and this for Z13 "The system reinvests profits using the square root rule, with the exponent determined from leverage. With no leverage, as on a cash account, profits are linear reinvested.".
When the manual says "[t]he backtest reinvests" does it really mean "[t]he strategy reinvests"?
Bottom line: For Z8 & Z9, can any amount be safely withdrawn, and then simply adjust the Capital slider per the remaining account balance as if starting the strategy new as described in the manual? Or is there some other consideration(s) to take into account?
Re. the Z9 "safe asset": The manual description of Z9 includes "If no sector or index has any positive momentum, the system invests in treasury." Not only is "treasury" a non-specific term, I can't see this in AssetZ9.csv. I see 5 assets in AssetsZ9.csv marked as 1 (bond): AGG, HYG, IGSB, TLT, and VOO. Not all of these are gov't treasuries.
So, bottom line: Which asset in AssetZ9.csv is the specific "treasury" "safe asset"? Or, does "the system invests in treasury" really mean "the system invests in all (some?) assets marked as bond"? If so, in equal amounts? Or some other distribution?
Thanks.
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