10 Month Modified SMA Method (M-SMA)

[david.alan.williams]

Hey David,

I have an idea if you have time to check on it. Since you are going to look at the 1st and 3rd week, how about also looking at a modified SMA with a weekly check (weekly prices for the last 10 months / 40 using the rules you have developed for your existing system)? I would be curious to know if a weekly check could potentially reduce downside risk without hurting return. Only if you have the time and interest to check on it.

Hello Again,

I tried this and even tried changing other factors to boast the percentage but it didn't work. I think it was pulling us out of the F Fund too soon, before everything settles, and was causing a greater loss. Tried all sorts of safeguards also.

Also tried the end of the 1st and 3rd week as JTH suggested. It was about the same but it was a lower percentage.

Thanks for all the suggestions! We will keep trying to improve version 3.

D

 

[Happy_Trails]

Thanks for checking it David!

 

[JTH]

David

From 1950 to 2010 the most profitable Monthly S&P 500 moving average is the 16.

26 trades, 80.77% profitable, 21 winning trades, 5 losing trades, Average trade 20.95%, Average Winning trade 26.66%, Average Losing Trade -3.01%

Largest winning trade, 103.49% Largest losing trade -4.07%

Average time in market 598.15 Days

Those are under different conditions. Buy/Sell signals from the Monthly close are at triggered the next day at the open.

 

[david.alan.williams]

<ExtremeWX-- Started following the 10 Mo SMA>

Hey Bryan! Where's my $19.95?? :nuts:



D

 

[TSPNerd]

David,

In your spreadsheet version 3, column V (the one named Overall % Return) is calculating incorrectly. The correct calculation is (Period % Return + Overall % Return) for all time periods except for the colum you have labeled Mid Jan.

 

[david.alan.williams]

David,

In your spreadsheet version 3, column V (the one named Overall % Return) is calculating incorrectly. The correct calculation is (Period % Return + Overall % Return) for all time periods except for the colum you have labeled Mid Jan.

I think I know what you are saying. Column V is not in use so I assume you are talking about columns O and P.

If so, you can just add the percentages the way you would normally think.

This spreadsheet, like TSPTalk.com and TSP.gov calculates annualized returns.

Annualized Return = (100*(1+P26)*(1+O27)-100)/100

To prove that it works, go to E28 and plugin COB Fridays S Fund share price. (Which was 21.9685) The sheet will tell you that your YTD total is 3.41% which is exactly what is listed on the TSPTalk main page for the S Fund - 3.41%.

Maybe someone else can explain it better but calculating annualized returns is different than just adding the percentages together.

If I misunderstood what you were saying, please let me know.

D

 

[akpackfan]

OK, so how do you all think the best way to implement this strategy would be in a brokerage account and/or an IRA?

Resurrecting an earlier post of mine. Any strategies to suggest from anyone? Using ETF's, perhaps? I'd like to make this work outside of TSP.

 

[david.alan.williams]

Resurrecting an earlier post of mine. Any strategies to suggest from anyone? Using ETF's, perhaps? I'd like to make this work outside of TSP.

I'm looking at that also but I'm too green when it comes to ETF's and Mutual Funds. Maybe someone else has an idea.

 

[ExtremeWX]

David,
I'll gladly pay it if this in fact works out. lol.
I'm optimistic about your system even though I'm not all that smart with this kind of stuff.
quick question on the V3 spreadsheet...
Do you use the first trading day after the 15th of the month (mid month row) for the spreadsheet and the last trading day of the month for the other?

Thanks!
Bryan

<ExtremeWX-- Started following the 10 Mo SMA>

Hey Bryan! Where's my $19.95?? :nuts:



D

 

[david.alan.williams]

I try to use the 15th Close of Business COB in 30 and 31 day months, 14th COB for Feb. If the 15th isn't a trading day, I try to use what appears to be the most logical choice as close to the middle as possible.

The end of the month is COB on the last trading day of the month.

 

[TSPNerd]

I think I know what you are saying. Column V is not in use so I assume you are talking about columns O and P.

If so, you can just add the percentages the way you would normally think.

This spreadsheet, like TSPTalk.com and TSP.gov calculates annualized returns.

Annualized Return = (100*(1+P26)*(1+O27)-100)/100

To prove that it works, go to E28 and plugin COB Fridays S Fund share price. (Which was 21.9685) The sheet will tell you that your YTD total is 3.41% which is exactly what is listed on the TSPTalk main page for the S Fund - 3.41%.

Maybe someone else can explain it better but calculating annualized returns is different than just adding the percentages together.

If I misunderstood what you were saying, please let me know.

D

EDIT: Had the wrong forumula in there. Never mind.

 

[david.alan.williams]

EDIT: Had the wrong forumula in there. Never mind.

Oh OK, I just tried what you said and it worked perfectly. Good to go.

 

[halibutk]

I was noticing in the back tested data that 2003 may be skewed as the actual percentage gained using the system. I might be wrong but in Mid may it looks like there was a readjustment of the prices to 10.00.

Im wondering if you should be including 2003 in the system average performance because of that.

 

[tsptalk]

I was noticing in the back tested data that 2003 may be skewed as the actual percentage gained using the system. I might be wrong but in Mid may it looks like there was a readjustment of the prices to 10.00.

Im wondering if you should be including 2003 in the system average performance because of that.

Welcome halibutk! There actually weren't any share prices before mid 2003. They started them at 10.00.

I'm guessing that d.a.w. used $10 as a starting point and them used assumed prices before June '03 based on the fund's percentage gains and losses.

 

[TSPNerd]

From my calculations, checking stock prices 20x a year works much better than a weekly check. I tried doing an EOW check in the 10 month SMA spreadsheet and while I never lost any money from 2006 - 2010, the returns in 07 - 09 were lower than only checking 2x a month. 2007 was almost 15% lower, 2008 was 4.35% lower & 2009 was 3.71% lower.

However, 2010 was 5.17% higher with the weekly check. Overall though, 2x a month seems to work the best for consistency.

 

[david.alan.williams]

I was noticing in the back tested data that 2003 may be skewed as the actual percentage gained using the system. I might be wrong but in Mid may it looks like there was a readjustment of the prices to 10.00.

Im wondering if you should be including 2003 in the system average performance because of that.

I can't explain the May 2003 share prices all being at 10.0000. Very strange. Maybe there was some type of adjustment, but I don't have a clue. The TSP website does confirm the 2003 End of Year earnings listed on the sheet. Very good question.

 

[david.alan.williams]

From my calculations, checking stock prices 20x a year works much better than a weekly check. I tried doing an EOW check in the 10 month SMA spreadsheet and while I never lost any money from 2006 - 2010, the returns in 07 - 09 were lower than only checking 2x a month. 2007 was almost 15% lower, 2008 was 4.35% lower & 2009 was 3.71% lower.

However, 2010 was 5.17% higher with the weekly check. Overall though, 2x a month seems to work the best for consistency.

Yup! You and I came up with the same results. I added to you reputation (turned your Gray box green)

 

[Happy_Trails]

You guys are great.

 

[tsptalk]

I can't explain the May 2003 share prices all being at 10.0000. Very strange. Maybe there was some type of adjustment, but I don't have a clue. The TSP website does confirm the 2003 End of Year earnings listed on the sheet. Very good question.

They all started at $10 in June 2003. That was the day they started daily transactions. There were no share prices before then.

 

[david.alan.williams]

They all started at $10 in June 2003. That was the day they started daily transactions. There were no share prices before then.

I guess the TSP Board was tracking those funds before allowing us to start investing in them becasue the S Fund and I Fund fact sheets downloaded from TSP website shows the Inception dates for these funds as 1 May 2001

The link that JTH gave me to "Peaceful gains TSP share price history" also shows the first share price for the S and I funds were 1 May 2001

They probably monitored them from 1 May 2001 to June 2003 when they opened the gates.


1 May 2001 S Fund 11.0329 I Fund 13.1310

D