As a place to start discussion, I think fabijo has a pretty good one--thanks again for posting it! (His spreadsheet can be found here: http://mircats.com/fabio/Fab.TSP.Trading.beta.xls) It takes the TSP share prices and then computes the MACD (References at http://stockcharts.com/education/IndicatorAnalysis/indic_MACD1.html) for each day. Then decides which fund has the greatest positive %age change and recommends a 100% move into that fund.
There have been several recommendations and comments made about this system on the boards that may be worth incorporating. These certainly arent criticisms, just a point for us to launch from.
1. The can suffer from the inherent lag built into MACD.
2. It does not incorporate any penny g-fund strategy.
3. Instead of looking at magnitude of MACD %age changes, look at direction of MACD.
4. It does not include any effects from the $ index.
5. Fabijo had this insightful comment: the MACD automatically transition to using faster EMAs as the current price gets closer to longer term moving averages.
6. It uses TSP share prices, instead of market prices.
7. It doest not consider VIX.
These are areas that are ripe for exploring, but I think a better starting point is with the simple MACD spreadsheet as its listed above. Are there places for improving this decision metric? Are there places where the decision rule recommended a poor transfer? Can we improve on that?
I have several thoughts about it that I will post later today--probably tonight. But I wanted to get everyone who wants to work on this pointed in the right direction... Look forward to your thoughts!
There have been several recommendations and comments made about this system on the boards that may be worth incorporating. These certainly arent criticisms, just a point for us to launch from.
1. The can suffer from the inherent lag built into MACD.
2. It does not incorporate any penny g-fund strategy.
3. Instead of looking at magnitude of MACD %age changes, look at direction of MACD.
4. It does not include any effects from the $ index.
5. Fabijo had this insightful comment: the MACD automatically transition to using faster EMAs as the current price gets closer to longer term moving averages.
6. It uses TSP share prices, instead of market prices.
7. It doest not consider VIX.
These are areas that are ripe for exploring, but I think a better starting point is with the simple MACD spreadsheet as its listed above. Are there places for improving this decision metric? Are there places where the decision rule recommended a poor transfer? Can we improve on that?
I have several thoughts about it that I will post later today--probably tonight. But I wanted to get everyone who wants to work on this pointed in the right direction... Look forward to your thoughts!