Alternate LMBF methods

[jonfresno]

Hi Cactus. Thanks for crunching these numbers. Really cool stuff. Love the thread.

Question along the lines of C--> S. What do you think about C or I --> S? I would think there isn't much correlation since it's a different "market", but, I guess I'm askin' if you have a chance and it's not too difficult, can you try it?

Thanks!

 

[ILoveTDs]

Thanks for tracking these Cactus

 

[Cactus]

Yes. Here are the first numbers ILoveTDs ran against LMBF: http://www.tsptalk.com/mb/longer-te...-best-fund-method-strategy-30.html#post388869. And here are the numbers I ran against LMBF-1: http://www.tsptalk.com/mb/longer-term-fund-strategies/15018-alternate-lmbf-methods-3.html#post399058. I wasn't too excited about the results compared to LMBF-1C>S (substituting S for C). You can see the seasonal adjustment introduces a lot more yearly volatility in a method that already jumps around quite a bit month-to-month.

I will be posting the results here for the seasonal variant to see how this looks real time. Posting back-tested results on historical data is one thing; being invested in it in our continuing bull market is quite another.

If you are considering following this method, I would suggest you read JTH's recent blog on seasonallity here: http://www.tsptalk.com/mb/blogs/jth/2409-trading-stats-month-may-2013.html. I found it quite good.

 

[PLANO]

Thanks Cactus, do you know if anyone has crunched the numbers using the seasonal adjustment?

 

[Cactus]

Here are the monthly returns as of 4/29/13.

[TD="bgcolor: #FFFF99, align: left"] Date [/TD]
[TD="bgcolor: #FFFF99, align: center"] G FUND [/TD]
[TD="bgcolor: #FFFF99, align: center"] F FUND [/TD]
[TD="bgcolor: #FFFF99, align: center"] C FUND [/TD]
[TD="bgcolor: #FFFF99, align: center"] S FUND [/TD]
[TD="bgcolor: #FFFF99, align: center"] I FUND [/TD]

[TD="bgcolor: #FFFF99, align: left"] 29-Apr-2013 [/TD]
[TD="bgcolor: #CCFFCC, align: right"]0.12% [/TD]
[TD="bgcolor: #CCFFCC, align: right"]1.04% [/TD]
[TD="bgcolor: #CCFFCC, align: right"]1.67% [/TD]
[TD="bgcolor: #CCFFCC, align: right"]0.00% [/TD]
[TD="bgcolor: #99CC00, align: right"]4.60% [/TD]

The best fund is I so LMBF-1 goes into the I Fund by noon eastern tomorrow. This is also the time where the seasonal varaiant branches off. LMBF-1SIM goes into the F Fund and stays there through October, syncing back up with LMBF-1 in November.

 

[JTH]

Sorry about that. I didn't mean to imply that the S Fund had lost a large amount, only that our chosen Fund for April had come in last place. At least so far.

Nothing to be sorry about my friend, it's no secret I have a personal bias towards the S-Fund and equally against the I-Fund (within Europe's current situation.) May is a tricky Month to play all in all the LMBF system isn't something that strikes my fancy, but the long-term circuit protection it provides does have its advantages.

 

[Cactus]

Sorry about that. I didn't mean to imply that the S Fund had lost a large amount, only that our chosen Fund for April had come in last place. At least so far.

 

[JTH]

Yes, with the lead the I Fund has right now it looks like LMBF-1 will be going into I on Tuesday. We will have to see the closing prices Monday night to be sure, but it would take quite a one-day-change to upset this trend.

Looks like our S Fund is the big loser this month. So much for April being the 2nd best month for the market. Oh well, the question you have to ask yourself now is are you going to stick with the traditional LMBF/LMBF-1 or try ILoveTD's seasonal variant where you Sell-In-May and walk away. ILoveTD automatically has you in the F Fund from May through October and in LMBF the other months. I will track that here as LMBF-1SIM, but probably won't use it myself. It should be interesting to see the difference this summer.

I'd hardly call the S-Fund's -.72% being the big loser and we still have 2 days to go.

 

[Cactus]

Yes, with the lead the I Fund has right now it looks like LMBF-1 will be going into I on Tuesday. We will have to see the closing prices Monday night to be sure, but it would take quite a one-day-change to upset this trend.

Looks like our S Fund is the big loser this month. So much for April being the 2nd best month for the market. Oh well, the question you have to ask yourself now is are you going to stick with the traditional LMBF/LMBF-1 or try ILoveTD's seasonal variant where you Sell-In-May and walk away. ILoveTD automatically has you in the F Fund from May through October and in LMBF the other months. I will track that here as LMBF-1SIM, but probably won't use it myself. It should be interesting to see the difference this summer.

 

[Hallatauer]

So as we approach the end of the month... looks like the I fund is the move to make for May. Prepared to transfer early next week.

 

[Cactus]

Have you heard of the 1st of the month strategy...the 1st has been the most positive day for the markets...thought you would have a take on that...in day before then take profits next day... once a month...hardly any market exposure for as much success this strategy seems to be

Yes, Frixxxx pointed that out in this thread here: http://www.tsptalk.com/mb/longer-term-fund-strategies/15018-alternate-lmbf-methods.html#post391788.

It's one of the ideas of why LMBF-1 often outperforms LMBF. It jumps into the leading fund a day early to already be there on the 1st of the month.

Of course this doesn't always work. Today could be one of those days where LMBF benefits by still being in C when it doesn't drop as much as S. Check out 2007 & 2011 for years where LMBF outperformed LMBF-1 .

 

[rcknfrewld]

Looks like I have jinxed the 1st of the month strategy...futures down...just like I planned...I fund don't let me down

 

[rcknfrewld]

In those two combined years you would have beat index by circa 20%...not too shabby

 

[JTH]

Have you heard of the 1st of the month strategy...the 1st has been the most positive day for the markets...thought you would have a take on that...in day before then take profits next day... once a month...hardly any market exposure for as much success this strategy seems to be

I've gone down this road before, it's just not enough exposure and it doesn't protect you under bear market conditions.

2008 -6.13%
2012 2.63%

 

[rcknfrewld]

Have you heard of the 1st of the month strategy...the 1st has been the most positive day for the markets...thought you would have a take on that...in day before then take profits next day... once a month...hardly any market exposure for as much success this strategy seems to be

 

[Hallatauer]

Moved to the S fund for April... I made the move on Thurs so I will be in for Monday Apr 1.

 

[Cactus]

Here are the results for the 1st Quarter of 2013 and it's no surprize that the Buy-and-Hold crowd are in the lead.



Holding S and/or C Funds so far this year is the way to go. The results for the LMBF family of methods I'm tracking weren't too shabby either, though. I'd take them! They're doing better than I am. :blink: The LMBF method is now @ 155 placing it in the coveted top 20% crowd.

 

[Cactus]

This sounds a lot like the 2nd Best Fund that I analyzed here: http://www.tsptalk.com/mb/longer-te...ths-second-best-fund-method-2.html#post390873. That didn't work out very well either.

The thing about these types of systems is you are basically following a trend (~20 day SMA). When you decide to choose another fund instead, you break the connection to that trend. I guess you can preserve some of it by come up with a modification like: If the best fund is an equities fund (C, S, or I) replace it with the 2nd best or worst equities fund. That's basically what I did with the C>S substitution I analyzed earlier. I do like using the C Fund as an indicator for the S Fund, but C really doesn't show up as often as the other Funds in this system.

If we look at the LMWF so far this year we have these results:

[TABLE="width: 144"]
[TR]
[TD="class: xl66, width: 64, bgcolor: #bfbfbf"]Month
[/TD]
[TD="class: xl66, width: 64, bgcolor: #bfbfbf"]Fund
[/TD]
[TD="class: xl66, width: 64, bgcolor: #bfbfbf"]Return
[/TD]
[/TR]
[TR]
[TD="class: xl66, bgcolor: #bfbfbf"]Jan
[/TD]
[TD="bgcolor: transparent"]F
[/TD]
[TD="class: xl69, bgcolor: transparent, align: right"]-0.56%
[/TD]
[/TR]
[TR]
[TD="class: xl66, bgcolor: #bfbfbf"]Feb
[/TD]
[TD="bgcolor: transparent"]F
[/TD]
[TD="class: xl65, bgcolor: transparent, align: right"]0.51%
[/TD]
[/TR]
[TR]
[TD="class: xl67, bgcolor: #bfbfbf, align: right"]27-Mar
[/TD]
[TD="bgcolor: transparent"]I
[/TD]
[TD="class: xl65, bgcolor: transparent, align: right"]0.53%
[/TD]
[/TR]
[TR]
[TD="class: xl66, bgcolor: #bfbfbf"]YTD
[/TD]
[TD="class: xl66, bgcolor: #bfbfbf"][/TD]
[TD="class: xl68, bgcolor: #bfbfbf, align: right"]0.48%
[/TD]
[/TR]
[/TABLE]

It looks to me like you are fighting the trend in this strong bull market and, so far a least, your not winning.

 

[craigerv]

I actually tried a few of those thinking the same, it doesn't work very well, especially in the really down years. I tried a few variations with stop losses but they were pretty random and mostly just not very effective.

 

[rcknfrewld]

What about LMWF....last months worst fund...I have always thought that made more sense....low odds of a fund doing poorly back to back months