david.alan.williams
Member
Send me the spreadsheet and I'd be happy to look at it.
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10 Month Modified SMA Method (M-SMA)
- Thread starter david.alan.williams
- Start date
Send me the spreadsheet and I'd be happy to look at it.
It's not in a spreadsheet, it's custom code that I wrote. I also can't share the (commercial) extended back test data. I'm just curious if anyone else has succeeded in replicating your results. I'm researching similar strategies, trying to decide how to best allocate my TSP. I'd like to use something like your strategy, but of course have to be able to replicate the results...
david.alan.williams
Member
Well, it's that time again. The end of the month checkpoint for the M-SMA is giving a BUY signal for the S-Fund and a SELL Signal for the F-Fund. I will be holding 100% S-Fund. The system is about 4% behind for the year toward my 20% goal. I will be doing May's mid-month checkpoint on COB 16 May.
Have a good evening!
Dangerous Dave
Have a good evening!
Dangerous Dave
David,
Do you have the data to know if you would be doing better by just doing a straight 10mo SMA method and looking at the closing price at the end of each month only instead of twice a month? This year it looks like you would have been better off with the original system. I'm surprised with all the backtesting you did that your modified system is where it's at right now. Thoughts???
Do you have the data to know if you would be doing better by just doing a straight 10mo SMA method and looking at the closing price at the end of each month only instead of twice a month? This year it looks like you would have been better off with the original system. I'm surprised with all the backtesting you did that your modified system is where it's at right now. Thoughts???
RealMoneyIssues
Well-known member
Used COB 7/15 data and system is in a Buy-S, Sell-F status. I will try to post the next one using COB 7/29 data in a couple weeks.
Now sure where David is, kinda MIA...
Now sure where David is, kinda MIA...
david.alan.williams
Member
Whew! This 2nd job is wearing me OUT! Sorry I've been away for a while and I miss not talking to all of you.
Well, as you might remember, after creating the M-SMA, I was asked to try and put some extra safeguards into the M-SMA system. One of the safeguards was to move us into a safe fund if a drop of around 2.8% -3% occured; even though we might still be above the M-SMA. I decided to add that protection in January and the backtest data looked good. (21% average per year, no negative years, and only one single digit year since 2003) This became version 3a or v3a. Currently at -6.58%
Even though the backtest data looked fine, we are really getting whiplashed in 2011 so I have decided to removed that safeguard (place the system back the way it was) and will now post version 3b or v3b. Version 3b or v3b is backtest as follows: 20.30% average per year, no negative years, and only 2 years in single digits. Currently at +7.95%.
I will change my signature block in a moment after this post hits.
View attachment Modified 10mo. Simple Moving Average with 2011 Worksheet and backtested data v3b.xls
Well, as you might remember, after creating the M-SMA, I was asked to try and put some extra safeguards into the M-SMA system. One of the safeguards was to move us into a safe fund if a drop of around 2.8% -3% occured; even though we might still be above the M-SMA. I decided to add that protection in January and the backtest data looked good. (21% average per year, no negative years, and only one single digit year since 2003) This became version 3a or v3a. Currently at -6.58%
Even though the backtest data looked fine, we are really getting whiplashed in 2011 so I have decided to removed that safeguard (place the system back the way it was) and will now post version 3b or v3b. Version 3b or v3b is backtest as follows: 20.30% average per year, no negative years, and only 2 years in single digits. Currently at +7.95%.
I will change my signature block in a moment after this post hits.
View attachment Modified 10mo. Simple Moving Average with 2011 Worksheet and backtested data v3b.xls
david.alan.williams
Member
JTH, how ya been? Ohhh, I'm watching you close and congrats! I'd be a fool not to listen to your advise and I'll research that for sure.
Happy_Trails
Active member
David, I like your change, thanks for updating the system. I read something interesting in "The Way of the Turtle" yesterday (a book Tom recommended on setting up a system). The book points out that the more conditions one places on the trading rules for future trades based on backtested data, the less likely the system will perform that way into the future as the backtested conditions are unlikely to keep occurring. You can optimize to death but since the conditions are always changing, the optimized trading rules that worked in the past may not and probably will not carry forward to the future. Simple, robust trading ideas like the 10 month SMA are more likely to perform consistently over multiple trading environments and conditions.
Happy_Trails
Active member
A simple tradable idea using the Stochastic recommended by JTH would be: Sell after %D rises above and then falls back below 80. Buy after %D falls below and then rises back above 20.
RealMoneyIssues
Well-known member
RealMoneyIssues
Well-known member
My tracking, based on the 8/31 prices keeps the 10 M-SMA Method in the F-fund until our next check on the 15th.
RealMoneyIssues
Well-known member
My tracking, based on the 9/15 prices keeps the 10 M-SMA Method in the F-fund until our next check on the 30th.
dpmp
Member
Thanks for keeping everyone posted, RMI. Do you use the tool to allocate your TSP funds?
I just stumbled on this thread and found the spreadsheet. The latest entry in the spreadsheet appears to be in mid-July, but with a typo. The entry was 13.6938, actual G fund value was 13.6958 for Jul 15th, on a Friday. The rest of the fund values were correct on that date. The rest of the columns (below it) were the same as of mid-July values. Could you confirm the typo? Probably won't make a dent in the moving average calculations, but...
I'm going to plug the rest of the numbers in since mid-July and keep track of it myself. I think there is some merit to this approach. I was able to eek out nearly 10% gain since Jan, but there was too much worries. The work of reading and dissecting the news and world events, and predicting the market behavior based on various TA method is time consuming and troublesome and I could only get half right, IMO.
dpmp
Member
Hi David, thanks for creating such a fine piece of work for the TSP community. I really appreciate it.
Hey RMI, my chart shows the system still in S as of COB 7/29 and not going to F until COB 8/15. I show the system yearly return as of 9/15 at -5.02% We may need to compare values we put in for each bi-monthly input.
RealMoneyIssues
Well-known member
What spreadsheet did you start with?
I will check my spreadsheet to make sure there isn't anything personal, then upload it later...
david.alan.williams
Member
Showing -3.84% as of COB 22 Sept. Maybe we can go into the green before the end of the year. Not feeling too badly about the system being -3.84% considering it could be A LOT worse.
