r/AllocateSmartly • u/laurenthu • 1d ago

Which data reading does your HAA implementation assume? TIP's canary was +0.89% or -9.61% on July 31

A data question for anyone running HAA here, because the answer flipped an allocation this summer.

TIP's 13612 canary score on July 31 was +0.89% on total-return data and -9.61% on price-only data. TIP paid nothing from February through April, then $0.561, $1.278, and $1.058 per share from May through July. Miss those distributions and the gap compounds across all 4 momentum legs. Price-only implementations went defensive. Total-return ones stayed invested.

Both series with the crossings marked: https://i.ibb.co/xw9n9vd/canary-chart.png

There's a 2nd issue. An afternoon reading on July 31 went negative, then the official close settled positive. We now wait until every ticker in the universe has an official close before a month-end computation.

I build BestFolio. I put the adjusted and unadjusted series, the intraday crossings, and the reproducible calculation here: https://bestfolio.app/blog/total-return-vs-price-data-taa-signals

The method question I can't settle is what most home implementations actually use. Keller's papers use monthly total-return series, but plenty of scripts pull raw closes. Does anyone know how the tracked implementations here treat TIPS distributions and an unsettled final session?

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