10 Month Modified SMA Method (M-SMA)

[akpackfan]

That's exactly what I'm showing for a system return. Good to know that I'm keeping track correctly.

 

[RealMoneyIssues]

That's exactly what I'm showing for a system return. Good to know that I'm keeping track correctly.

I guess it depends on which days price you use in the spreadsheet. When Dave uploads a version with current prices, I will compare to see where I am different.

 

[david.alan.williams]

Here's the spreadsheet as of 30 Sept 2011. I'm starting to get the feeling that we will be in the F Fund until after the elections but maybe we can get back the 4.7% before 31 December.

 

[david.alan.williams]

14 October Mid-Month checkpoint has the system 100% F Fund. We would need to see about another 6% gain in the C Fund and about another 10% gain in the S and I funds before the system will move us out of the F Fund.

Now I know we don't talk politics here (Rep/Dem) and I'm not trying to start anything but I believe the economy will continue to improve, maybe even greatly, between now and the 2012 elections. I believe that large corporations and small business believe we have a great chance (better than 60/40) to change presidents to either Romney, Cain, or Hillary Clinton. (Yes I believe Clinton would easily win over Obama, but it wouldn't surprise me if Obama decides not to run and Hillary is the Democratic nominee.) In any case, I believe that the large and small business sense a change in the wind, for the better, reguardless of which of the 3 wins. I know I'm optimistic.

Have a great weekend!

 

[Happy_Trails]

Thanks, David. For some reason when I click on your link to the spreadsheet, it doesn't open. Thanks for keeping it up to date!

 

[david.alan.williams]

Strange...it opens for me. Hmmm

 

[RealMoneyIssues]

Thanks, David. For some reason when I click on your link to the spreadsheet, it doesn't open. Thanks for keeping it up to date!

Worked for me too. Try a right-click and save target as to see if that works.

 

[jkenjohnson]

Worked for me too. Try a right-click and save target as to see if that works.

What is this spreadsheet? Is it just a tracking mechanism?

 

[Happy_Trails]

Ok, it opened right up this morning. Jken, yes, it is a tracking spreadsheet of the 10 month simple moving averages of the TSP funds. Buy and sell signals are generated periodically when the price breaks above or below the 10 month averages of the stock funds. Right now, the system is in the F fund based on prices of the stock funds being below the 10 month simple moving averages.

 

[RealMoneyIssues]

14 October Mid-Month checkpoint has the system 100% F Fund. We would need to see about another 6% gain in the C Fund and about another 10% gain in the S and I funds before the system will move us out of the F Fund.

I have a different number for the mid July entries than you have in your spread sheet. What day did you use?

 

[david.alan.williams]

I have a different number for the mid July entries than you have in your spread sheet. What day did you use?

I used 15 July but thanks for pointing that out. I fat-fingered the G fund price. My entry was 13.6938 but should be 13.6958. The change doesnt really affect anything.

Thanks!

 

[akpackfan]

OK, as of COB Nov. 30 I have the system return at -4.58% and still staying in the F fund even with the big runup the last two days. Sound right?

 

[david.alan.williams]

That's correct. C to ~5%, S to ~3 1/2%, and I to ~0% would change us to the S Fund.

 

[david.alan.williams]

Hello everyone. Well it's been one heck of a rough ride this year and I can't wait until everything settles down a bit. Here is the spreadsheet as of COB 15 Dec 2011.

Have a great weekend!

View attachment Modified 10mo. Simple Moving Average with 2011 Worksheet and backtested data v3b as of 15DEC2011.xls

 

[akpackfan]

So it looks like this will be the first negative year for the system, unless we get a massive rally in the F fund before Dec. 31. Any input as to why this would be a worse year than 2008 when the market was down a lot? Could all the volatility this year come into play with how the system calculates where to be? Any insight would be appreciated.

 

[akpackfan]

David,

I noticed, looking at the "decision matrix" in the excel file, that the system won't go into stock funds unless the C, S, and I are ALL above their 10 month moving average. The I fund has a ways to go even after the last few days rally but the C fund is really close. Have you ever backtested to see if it would be more advantageous to go into or out of stocks if ANY of the three funds get above or below their respective 10 month moving average? Maybe it would catch an upturn or downturn quicker. The end of this month could very well signal a buy into stocks based on the C fund price but S and I would not meet the requirement and keep the system too long in F and miss some good gains. Thoughts? Sorry if you've answered this before.

 

[akpackfan]

So it looks like the C fund ended up being barely above its 10mo SMA with the S fund and I fund well below their 10mo SMA's (especially the I fund). If we used ANY fund being above its 10mo SMA the system would go into equities to start Jan. The system ended negative for the year. Any thoughts or insights on that?

 

[david.alan.williams]

So it looks like this will be the first negative year for the system, unless we get a massive rally in the F fund before Dec. 31. Any input as to why this would be a worse year than 2008 when the market was down a lot? Could all the volatility this year come into play with how the system calculates where to be? Any insight would be appreciated.

Looking at 2008, we started the year in the F Fund due to the downturn happening very late in 2007. We stayed safe in the F Fund most of 2008. This year, the downturn below the SMA occured in August with not enough time to recover before the year end. This year, we are starting the year in the F Fund just as we did in 2008.

 

[david.alan.williams]

David,

I noticed, looking at the "decision matrix" in the excel file, that the system won't go into stock funds unless the C, S, and I are ALL above their 10 month moving average. The I fund has a ways to go even after the last few days rally but the C fund is really close. Have you ever backtested to see if it would be more advantageous to go into or out of stocks if ANY of the three funds get above or below their respective 10 month moving average? Maybe it would catch an upturn or downturn quicker. The end of this month could very well signal a buy into stocks based on the C fund price but S and I would not meet the requirement and keep the system too long in F and miss some good gains. Thoughts? Sorry if you've answered this before.

Ohhh yeah, I tested using C only, S Only, I Only, CI Only, CS Only, SI Only, and then finally CSI. Out of all the testing, the C or S or I rule for entry's and exits had the best yearly averages and is what cause no negative years. (until now). The other options caused one or more negative years; some of them were double digit loses.

 

[david.alan.williams]

So it looks like the C fund ended up being barely above its 10mo SMA with the S fund and I fund well below their 10mo SMA's (especially the I fund). If we used ANY fund being above its 10mo SMA the system would go into equities to start Jan. The system ended negative for the year. Any thoughts or insights on that?

I'll be uploading the new sheet tomorrow. Honestly, I don't believe we are done with the "bad" yet. I'm actually glad to start the year in the F fund until the other funds edge above their SMA. I hope there is an upturn but I'm not optimistic. So far, the system now has a 9 year track record of 158.77%, an average of 17.64% per year with only one negative year. Not too bad.

Thanks!