RH Hammered
In a recent post I shared a presentation (click to download pdf) that Scott Daly of Comprehensive Capital Management has provided for the RH Strategy.
In the interest of maximum transparency, I wanted to make clear to readers that the RH strategy is getting absolutely hammered this month. It has breached its previous real-time max drawdown, and with only four trading sessions remaining in March, it’s unclear where we’ll end the month. March returns have not yet been included in that presentation.
It’s interesting that the YK Strategy is having a stellar month, because when YK got hammered last October, RH was the one that pulled out a stellar month. YK is a much newer strategy with a far shorter real-time track record, but I have it on my to-do list to look at backtested returns and see how each has performed relative to the other when one of them is performing badly.
As long-time readers know, RH is the only strategy we talk about here that wasn’t designed mostly by me from the ground up. RH is a product of our Timer Seeds program and I’ve worked closely with the developer to make his strategies public (along with GB and SL which I might unveil at some point). RH has performed so well in real-time in so many very different market environments, that I’m still very, very keen on RH for the future.
Happy Trading,
ms
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Filed under: Random Stuff | 14 Comments
Your transparency is refreshing.
Michael,
I also applaud your openness, but I question if you aren’t being a little hard on RH.
According to TimerTrac (and if I didn’t botch my numbers), if you trade the Russell2K 2x funds, RH is down 9.13% for March, through 3/24. Not great, but the fact remains that it is still up 13.77% for the year. And it has done worse: in January ’08 it lost 11.36%. As a matter of fact, during 1Q08 it lost 7.41%, a performance which it is not going to come anywhere close to this quarter, unless the last 5 trading days in March turn into an absolute disaster.
And if you look at trading the S&P, the situation is better. RH is only down 4.54% through 3/24, and is still up 27.42% for the year. In January of 2008 it lost 8.00%, so it’s doing far better so far this month. And in that first quarter of 2008 it only earned 1.37%, which pales in comparison to the +27% so far this quarter.
If you trade a blend of the two funds, then obviously you’d be somewhere in between the numbers I’ve shown above. But in any case, it doesn’t seem that far out of line with past performance. Of course, I realize that “getting absolutely hammered” is subjective, but I would say it’s just getting a more or less normal hammering, which one should certainly expect occasionally with this type of strategy.
But I appreciate your bringing this subject up, it adds to the integrity of your blog. (not that it was needed!)
RE to Carlos: I’m trying out this new comment threading feature on WordPress…let’s see if it works.
Thanks for trying to assuage the pain so to speak (p.s. I am always my toughest critic). Unfortunately, the Timer Trac numbers are not yet up to date. RH uses Rydex AM pricing (the only program we use that does) and Timer Trac is always a few days behind getting those updated (I suspect because they can’t be downloaded from any public source, only manually downloaded from the company). Long story short, the results are actually worse. Ugh.
michael
Agreed. You raise the bar for everyone in this field.
If you click on the either audit link for RH on the strategy page, and then click on “Historical Trades”, the last S&P 500 trade I see was in October of 2008 for both of them. It doesn’t seem that one trades the S&P 500 and the other the Russell 2000. What is the difference between those two flavors of RH?
The specific fund chosen in the “historical trades” is a mish mash because the developer originally wanted an index trading program and didn’t track multiple signals for each indx. Timer Trac allows you to apply those signals to different indices historically. If you click on the specific track records…
S&P 500: http://www.timertrac.com/private/medallion.asp?mlid={35566B47-8AAF-4818-8D18-B23779AE537A}
Russell 2000: http://www.timertrac.com/private/medallion.asp?mlid={84C4D848-2F98-40FA-BF4C-457E539A96C2}
You’ll see that each applies those historical signals across the board to one of the two sets of funds. In other words, there is no difference between the signals – they’re the same buy/sells applied to different indices. Hope that helps. michael
I must say, I find it a bit disconcerting to hear that the numbers TimerTrac posts (for this particular strategy) are not what they are represented to be. It kinda shakes my faith in them — at least a little. (I had my own subscription to them a couple of years ago, and never realized this was an issue)
Just for reference, by how many days do they lag the real numbers for RH? I’m asking because I’d like to see what the “real” March returns are, but I don’t know by how many days to offset the numbers posted at TimerTrac.
The lag varies…I think Timer Trac updates the AM prices once a week. I don’t focus on the numbers too deeply until month end (for my monthly reporting) and Timer Trac always updates at month end. Basically, if you pull up a graph that is in a shorter time scale (say, 1 month) you’ll see that the right side of the graph has a gap without any data.
P.S. interesting that you had a subscription to the strategy way back when – I’ve never heard from anyone that did only because the developer didn’t really do much reaching out to folks. Was that directly from the Triad website?
P.S.S. since you’re a frequent commenter I thought I’d mention that I’ve turned on comment threading on the blog. If you click the “reply” button below my comment, it’ll thread your comment below mine to help us keep track of the conversation.
michael
Hi Michael,
Ok, I’m trying the threading feature, we’ll see how it works.
I tried your suggestion of pulling up the TimerTrac graph with 1 month selected, and what I got was a graph of performance from Feb 25 to March 25. (which still looks good, by the way. It’s up 8% over that period, so it’s hard to believe it’s getting ready to get killed. BTW, I’m looking at the S version) Anyhow, I don’t see the gap without data you mentioned. Is it possible that developers see a different chart than the great unwashed public does?
On the other point, I think we mis-communicated. What I meant was that I had an individual subscription to TimerTrac, which let me see all of the timers they rated, not just the ones you get access to by clicking on the medallions. But I didn’t realize their data was off by more than the amount they specified — at least for some timers, anyhow.
Oddly enough, I just happened to be at the Triad site earlier today. Not much to see there, that’s for sure. It’s at the other extreme of the spectrum from yours!
P.S. Just looked at the Russell2K version of RH, it’s definitely worse. But still only down 4% since Feb 25. (although it did spike up to +26% for a millisecond or so)
Hello Carlos –
Looks like Timer Trac has updated the Rydex AM prices through 03/25 (no gap any longer)…so bad example, but in the future, when you run that one month graph you will see a gap on the right hand side b/c the stats aren’t updated.
You’re right, not bad when you consider back to 02/25. Unfortunately, this business is very driven by monthly returns (from the beginning to the end of the month). I’ve never understood that, and I think it’s completely irrational, but it is what it is.
RE miscommunication – got you…missed your meaning there. A word of warning – the Timer Trac ranks that you get when you’re a subscriber are mostly useless. When a developer creates a link to their program like we do, they can specify what funds they’re using so that you get a true picture of the program. In the Timer Trac ranks, they assume some default set of funds. Sometimes this creates very different results. For example (and I don’t know if this particular one is true, but true enough in concept), the RH program uses AM pricing – if the default funds in the rankings are the regular PM prices, you’re going to get wildly different results than how we’re actually trading the program. I’m not sure why they designed the system this way…
michael
Any chance you can provide an update on RH now that March has ended? With your usual insightful comments, of course.
Thanks!
RE to RuthW: absolutely. Our monthly reports will be out in the next 24 hours or so. The program recovered nicely towards the end of month. Still a negative month, but a little less so. More to follow. michael
For a down month, it looks like it did OK. I’d say it was “nicked”, rather than “hammered”. :)
The important thing, in my mind, is that the general upward slope (+ or – some deviation) is still being maintained, at least judging by eyeballing the equity curve.