pyrrhotech
Joined 13 years ago
Karma
1,854
Submissions
432
Member since
Oct 8
Recent submissions
Comment · 2 years ago
Unfortunately there's nothing new about this scam; it happened to one of my dad's friends 20 years ago. I think it's wise to treat anything you are told by a dental or healthcare professional with a healthy dose of skepticism as your interests are often misaligned.
Comment · 2 years ago
We have the standard disclaimers in the TOS. Essentially, Grizzly Bulls is not a financial advisor, offers no financial advice, and only sells access to signals generated by proprietary models, not the underlying source code for the models. How subscribers choose to use those signals is entirely at their own discretion. There are hundreds of similar businesses out there, and really signals are no different than buy/sell ratings published by more mainstream sites like Seeking Alpha or Morningstar.
All that said, subscribers have generally been happy with Grizzly Bulls' service as evidenced by our low churn rate, especially for the higher tiers.
Comment · 2 years ago
Oh no, you are never required to take an action with equity index futures as they are cash settled every quarter. So whether you have an open long or short position at expiration time, it will automatically disappear from your account with your balance left exactly as it should based on the settlement price.
However, this does mean that you'd need to open an equivalent position in the next quarter's contract to maintain your hedge, if one was open, at expiration time which is regular trading hours opening time on the third Friday of expiration month.
Comment · 2 years ago
Good question - you won't be "called" or anything like that in this scenario as you are effectively market neutral. If VOO goes up, your ES/MES futures value will go down accordingly and your account's net liquidation value will remain unchanged and well above your maintenance margin figure.
The only way to really drop below your maintenance margin is if you are either leveraged long (i.e. more than 100% long) or short (i.e. less than 0% long), and the market moves significantly against you. In that scenario, your broker will automatically start liquidating some of your positions.
Comment · 2 years ago
Not yet, but I plan to write a revised edition incorporating some of the feedback I've gotten in the near future. I'll include a digital version with it.
Comment · 2 years ago
Yes, in fact non-bull regimes are where they earn most of their relative outperformance. During buy signals, it's impossible for the models to outperform as they are long the S&P 500. During sell signals, they are in cash with the hopes of rebuying lower (doesn't always work out as they are of course imperfect). When the market is rising with low volatility, there aren't as many opportunities for outperformance.
Comment · 2 years ago
I use Interactive Brokers for automated trade execution and as data source for real-time ES and VIX data. Data for the other indicators comes from a wide variety of sources. One of my favorites is https://fred.stlouisfed.org/.
Comment · 2 years ago
Yes, but that's why the preferred method of implementation is using the S&P 500 futures (ES and MES) as the hedging tool during sell signals. With this method, you hold your preferred ETFs/stocks of choice forever and continue to accumulate unrealized gains indefinitely. Then on sell signals, you sell ES and MES of equivalent value to your long holdings to effectively go market neutral.
At the end of each year, you'll only owe taxes on the net result of your hedging with futures, and futures are section 1256 contracts so they are taxed as 60% long term gains / 40% short term gains regardless of holding period. In practice, I've found that this usually works out to an effective capital gains tax of less than 15% of annual profits. If a strategy returns a gross 30%, then the after-tax return would be about 25.5%.
Also, if you implement in a retirement account which many of our members do, capital gains are irrelevant.
Comment · 2 years ago
https://grizzlybulls.com/how-it-works is the best page I have explaining the basics, but I probably need to be more accommodating to complete beginners. Grizzly Bulls is intended to be a great complement to the buy and hold passive indexing strategy that most people use.
The easiest way to use Grizzly Bulls is to hold VOO in any brokerage account, sell it when the model generates a sell signal, and then rebuy it when the model generates the next buy signal. A slightly more advanced but more tax efficient approach would be to open a margin account with futures trading permissions and sell S&P 500 Futures (ES or MES) of equal value to your VOO during sell signals, then repurchase the contracts you sold during the next buy signal. With this method, I've found you can usually reduce your overall tax burden to less than 15% and you'll only owe taxes on the net result of your futures trading.
Comment · 2 years ago
For inspiration, I highly recommend "The Man Who Solved the Market" about James Simons and Renaissance Technologies. Some of Ernie Chan's books are great for learning about the basics, but ultimately finding an edge is the most difficult part. Books can teach you some of the best practices for researching edges, how to avoid common pitfalls in backtesting, etc, but no book will ever lay out the details of any strategy that contains alpha of course.
Grizzly Bulls is currently a one man (and wife) venture :)
Comment · 2 years ago
I expect the long term CAGR for the top models to be in the 20-40% annual range. That's certainly high enough to get wealthy over a couple decades, or sooner if you are already starting with 8 figures, but it's not overnight Roaring Kitty style fast money. Grizzly Bulls' growing revenue helps even out my overall income, and I could definitely see it growing to $10M+ ARR over the long term, very significant even with a 9 figure net worth.
The models are not HFT. Swing-trading the most liquid instrument in the world (ES futures) has extremely high strategy capacity, well into the billions or perhaps 10s of billions, so selling signals does not (currently) in any way negatively impact my own returns.
The alternative would be to start a hedge fund, but that's an expensive and highly regulated endeavor that appeals to a different audience.
Comment · 2 years ago
Building algorithmic trading models. So far results continue to be good with every model outperforming the market on both absolute and risk-adjusted basis since going live.
Since launching https://grizzlybulls.com in January 2022:
Model | Return | Max drawdown
-------------------
S&P 500 (benchmark) | 21.51% | -27.56%
VIX TA Macro MP Extreme | 64.21% | -16.48%
VIX TA Macro Advanced| 59.13% | -19.12%
VIX TA Advanced | 35.20% | -22.96%
VIX Advanced | 33.39% | -23.93%
VIX Basic | 24.29% | -24.23%
TA - Mean Reversion | 22.30% | -19.92%
TA - Trend | 27.07% | -24.98%
This is an unleveraged, apples to apples comparison. These are not high frequency trading models. Most of them only change signal once every 2-4 weeks on average. During long signals, the models are simply long the S&P 500 and during short signals, they go to cash.
One of the pros of this macro swing-trading/hedging style is high tax efficiency, by holding a core ETF long position that never gets sold and then selling S&P 500 futures (ES or MES) of equal value to the ETFs against the long position. This way your account will accumulate unrealized capital gains indefinitely and you'll only pay tax on the net result of successful hedging. The cherry on top is that the S&P 500 futures are section 1256 contracts that are taxed at 60% long term / 40% short term capital gains rates regardless of the duration they are held.
The models use a variety of indicators, many of them custom built. Most important are various VIX metrics (absolute level, VIX futures curve shape/slope, divergences against S&P 500 price, etc), trend-following TA metrics (MACD, EMV, etc), mean-reversion TA metrics (Bollinger Bands, CMO, etc), macroeconomic (unemployment, housing starts, leading composite), and monetary policy (yield curve inversion, equity risk premium, dot plot, etc). They've been backtested very cautiously to avoid overfitting to the best of my ability.
Comment · 2 years ago
I think most would agree $250k is a comfortable lifestyle, but if your neighbor is making $1M/year in the same profession just because he works at a different company, a bit of bitterness and or desire for more is hard to combat. Your neighbor can retire at 45 with $10M+, why should you be content with the low end of upper middle class and working until 60 for a more average retirement?
Comment · 2 years ago
It's a bit ironic that knowledge work will become obsolete before blue collar work. I disagree with the author that it will become completely obsolete in the next 20 years (although certainly in the next 200), but it will change significantly and there will be a massive downward pressure on knowledge worker compensation as the barriers to entry have been decimated. On the other hand, good luck getting your AI to unclog your sink, remodel your kitchen or fix your AC any time soon.
Comment · 2 years ago
73 is less than a decade into retirement age; hopefully she has much more than a few! Looks like 14.5 years life expectancy
Algorithmic trading models and hedging systems to complement index investing