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Thread: Allocation of the robots

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  1. #9
    Quote Originally Posted by mingpan.lam View Post
    Hi Pascal,

    Thanks for the reply.
    During 2008, both IWM and GDX have max draw down more than 25%. But IWM/GDX model has about 10% draw only, during that time. Why that will happen, I will expect it will be still 25% drawdown, I understand they have low correlation factor, but just based on the diagram, they are both making a 25% drawndown at 10/15/2008 but it is only 10% when they combined.

    Also, any suggestion about free dividends adjusted data I can find. I just want to verify the trade myself and if I follow the robot, I can follow it correctly.

    Cheers,

    Ellis
    It is because the diagram is not precise enough. Both IWM/GDX did not have their worst drawdowns at the same dates, but two weeks apart.

    On Oct 8, 2008, the GDX DD was -28% and IWM was -3%
    On Oct 23, 2008, the GDX DD was 0% and the IWM DD was -29%

    During that period, IWM/GDX often had opposite direction signals.

    The DD of the portfolio is of course not the average DD of each component.

    Yahoo supplies the dividends corrected data.


    Pascal
    Last edited by Pascal; 07-01-2011 at 10:15 AM.

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