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Interesting, how does the last strategy work with the drops after 2008? I unfortunately don't have any of the spreadsheets with me to do my own testing.
Also, @ron99 do you recall that post you put up some time ago about how to use your SPAN spreadsheet? Can you post a link to it?
Thanks,
/rsm005/
Can you help answer these questions from other members on NexusFi?
The strategy that worked in the '08 recession (based on limited data ) doesn't work so well from '13 to '16. If you increase the margin multiple to 10 there are no margin calls; but median ROI is reduced by 1% over strategy 1 (Ron's).
I've been looking at this post for quite some time and the first graphic makes a rather interesting observation. If you set the exit point to 60% of margin with a 6x IM you'd only be forced out twice. Perhaps that's a better way to exiting a position that can also survive the 2008 drop.
The losses are pretty substantial. For example, if you would have done this strategy on 7/30/15 you would have lost more than 25% of your value. Here are results using Ron's strategy with a margin call exit point (100% of margin used) and a 60% of margin exit point.
Note that this is essentially the same thing as holding 4xIM instead of 6xIM and exiting on margin call. The only difference is you would gain and lose a lot more as a percent of your margin if you only held 4xIM.
This post will explain how to use the tracker sheet and my ES sheet.
On the Tracker sheet in cell G1 is the date that will be used if you click Track Select (cell C1) or Track Spread (cell D1). If you have the risk file for last Friday downloaded and …
I had this in my notes so it was no trouble to find.