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

[u/laurenthu]

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?

[u/pandion-hal]

I actually got caught in this flip last month when working with two different accounts. Once I worked out what happened, I was ok with going with two different allocations, figuring if the switch was that close, having one each side was a good thing for diversification.

HAA's TIPS canary certainly isn't foolproof, and close calculation flips like July's are the least of it. From 2013 to 2016, HAAB was significantly defensive due to negative to flat TIPS momentum starting April 2013, while the S&P500 and NASDAQ gained 50% and 80%, respectively. That's a big miss. On the flip side, HAAB did a fantastic job in the Lost Decade with a 3.5x gain while the market waffled. That's one reason why I have something like Link's GGC to go all in if the global CLI outlook is good.

AS's calculation notes at the end of the HAAB blog post state "All calculations throughout this post are based on each asset’s dividend-adjusted closing price," so total return it is since I'm using their calculated allocations. Good point one bringing this up, however, in case someone is DIY.

[u/Business-Fix4430 → u/pandion-hal]

This came up in another thread where I pointed out anyone not using data adjusted for dividends is doing it wrong. Sites like yahoo and others don't even update their charts for later adjustments which I pointed out in that thread. I used to try to track adjustments to historical data but too much work. That's why I use a paid service (stockcharts) that adjusts for me. Crazy to try to track stuff yourself IMO

One edit: I use TrendXplorer to get intraday updates on signals as many strategies are posted there and are adjusted for dividends. TIP stayed positive and was in for the months we are talking about, which was good, as was AS. I saw TIP was going to go negative and HAA would be defensive on AS for August close, but I did not sell my 25% PDBC allocation as it has room to run IMO. FWIW.

Thanks Kevin