Allocation of the robots

[Pascal]

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