Charmed855's Post FV analysis

[charmed855]

I just did a quick check and found that when a -FV followed a +FV, the day following the -FV was green 9 out of 11 times (+4.07% cumulative return). I thought I was on to something, but found days after a -FV/+FV cycle were nearly as good, 7 of 10 green (4.54%). Without more research, I'm guessing that says more about the overall market than the FV effect.

 

[Griffin]

Re: Paladin's Account Talk

I'm not quite getting this - are you saying that when an +FV was applied and then subsequently returned the next, the day after that (i.e. two days after the initial +FV was applied), was green 9 out of 11. Part two: the same process in reverse (a negative FV on day one, returned on day two and day three was green 7 out of 10 times)?

If this is the case - you are on to something - i.e. playing the backside of FVs; which is nice because there is very little TSP can do to disrupt the strategy.

I just did a quick check and found that when a -FV followed a +FV, the day following the -FV was green 9 out of 11 times (+4.07% cumulative return). I thought I was on to something, but found days after a -FV/+FV cycle were nearly as good, 7 of 10 green (4.54%). Without more research, I'm guessing that says more about the overall market than the FV effect.

 

[charmed855]

Re: Paladin's Account Talk

If this is the case - you are on to something - i.e. playing the backside of FVs; which is nice because there is very little TSP can do to disrupt the strategy.

Surprisingly, that is what I'm finding. I really owe this a little more analysis - I wouldn't want anyone buying into the I fund based on 20 minutes of research. Now, if only I could get my hand on a complete set of FV dates for the last 12 months+.

 

[qibovin]

Re: Paladin's Account Talk

I thought I was on to something, but...says more about the overall market than the FV effect.

you are on to something

I agree you should investigate this further!!

Sure, the market is up more days than down, so it may be nothing (or it may actually be the reverse effect you are expecting), but I was also amazed when Ebb first published his statistics on the Ebbtracker in that it was only "in" on up days something like 0.5% more than a random allocation would have been and "out" on down days 0.5% more than random (if I'm interpreting that right), but look at the huge effect on overall returns.

So if you can just tweak the monkey darts in your favor 0.5% of the time, that translates into a tremendous advantage and another useful tool for predicting or corroborating.

Thanks for the insight.

 

[Griffin]

Re: Paladin's Account Talk

Now, if only I could get my hand on a complete set of FV dates for the last 12 months+.

Search the I-fund threads for "Greg" while his profile has been erased, the posts remain.

 

[Griffin]

Re: Paladin's Account Talk

It's a strategy that makes sense - we know the FV is designed to err on the side of not diluting the funds, that means that the FV usually serves the purpose of making those.....

1) buying in pay more, when the market is moving up - which means that they are designed to overshoot the market - so the market comes up short on day two (and therefore the fund is priced lower then the actual market value when it gives back the FV) and has to be readusted higher day 3. I do see the strategy being useful in this situation but to catch the bottoms you would have to use the domestics initially.

2) (reverse scenario) moving out (capital preservation) the FV shaves off the profit you made while in so when the market is moving down, the fund price is dropped significantly below market value on day one, day two the fund gets back the FV, but since the turn arounds lately have been so quick, any readjustment gets rolled up into the dip buying on day three which is rebounding from two down days. I don't see the strategy being useful in this situation. And again, if you want to make the first strategy useful and still play the bottoms, then you need to use the domestics on the upswing. This assumes that the market goes from the top of the channel to the bottom of the channel in the two days effected by the -FV and rebounds on the third.

 

[charmed855]

Re: Paladin's Account Talk

Search the I-fund threads for "Greg" while his profile has been erased, the posts remain.

Griffin - that's what I did. I found up to six months before he was booted . After a little more calculation, here is what I found.

Some background. A “Post-FV” qualifying day is the day immediately following a two day +/-FV or -/+FV cycle. If a three day FV cycle occurred, I gathered two data points (the middle day being a compound FV of some type). I had FV data on hand for the period of 12/06/2006 - 6/18/2007 to analyze. Keep in mind that the total I fund (cumulative daily returns) was 16.68 for this period.

Post +/-FV Returns (total returns for day immediately following a two-day +FV/-FV cycle):

Occurrences: 9 days (8 up / 1 down)
Average daily return: .45%
Total return: 4.03%
Average positive return: .58%
Average negative return: -.62%
​

Post -/+FV Returns (total returns for day immediately following a two-day -FV/+FV cycle):

Occurrences: 10 days (7 up / 3 down)
Average daily return: .45%
Total return: 4.54%
Average positive return: .82%
Average negative return: -.39%
​

As you can see, there isn't a huge difference between the post -/+ and +/- FV ... maybe a little more return upside to a post -/+ but more consistency for the post +/-. In the following data set, I combine the two sets of data.

Post +/- AND -/+ Returns (combined returns for above scenarios, +/-FV and -/+FV)

Occurrences: 19 (15 up / 4 down)
Average daily return: .45%
Total return: 8.57%
Average positive return: .69%
Average negative return: -.45%
​

Now, to compare the post FV cycle days to the rest of the returns that could be earned in the period (Dec-Jun):

Non-post FV Returns (these are returns from every other day in the period [minus the above post-FV days])

Occurrences: 129 (78 up / 51 down)
Average daily return: .06%
Total return: 8.11%
Average positive return: .53%
Average negative return: -.65%
​

Given that the total return for the period was 16.68%, I find it pretty amazing that you could gain more than half of that by only playing the post FV cycles which made up for just 14.7% of the days in this 6 month period! :nuts:


I'll leave this for others to possibly expand on or knock holes in.

By the way, sorry for high-jacking your thread Paladin. :embarrest:

c855

 

[qibovin]

Re: Paladin's Account Talk

Given that the total return for the period was 16.68%, I find it pretty amazing that you could gain more than half of that by only playing the post FV cycles which made up for just 14.7% of the days in this 6 month period! :nuts:

I'll leave this for others to possibly expand on or knock holes in.

c855

See, I knew there might possibly be something to this. Thanks for doing all the analysis!

This makes sense in a bull market, if you consider the presence of an FV in either direction an indicator of volatility, it makes sense that the majority of the gains (and probably the losses as well, but in a bull market the average is up, up , up) would be made in these times of volatility.

Do you have, or could you reasonably easily obtain, the information on how these days capture the gains/losses of the C & S funds as well? I suspect they will yield similar results since the volatily tends to affect all the equities relatively simultaneously. But it would be interesting to note if there were a significant difference.

 

[Griffin]

Re: Paladin's Account Talk

Do you have, or could you reasonably easily obtain, the information on how these days capture the gains/losses of the C & S funds as well? I suspect they will yield similar results since the volatily tends to affect all the equities relatively simultaneously. But it would be interesting to note if there were a significant difference.

I agree with qibovin here -

The question I would be looking for the analysis to answer is: how does the I fund stack up in returns following an FV cycle, compared to the domestic stocks.

Again, this follows along the theory I mentioned earlier about the playing the backside of FVs. If I am not mistaken, wheels had done a similar analysis about a year ago or at least discussed his conclusions. I don't know if that info is useful.

 

[charmed855]

Post FV analysis

Do you have, or could you reasonably easily obtain, the information on how these days capture the gains/losses of the C & S funds as well? I suspect they will yield similar results since the volatily tends to affect all the equities relatively simultaneously. But it would be interesting to note if there were a significant difference.

Q, Here's a break down for each of the funds. I tightened up my formulas so you might see a small change from my earlier post (fortunately, it gets better, not worse ).

Again, some background for reading: A “Post-FV” qualifying day is the day immediately following a two day +/-FV or -/+FV cycle. A +/- FV cycle is one that begins with a +FV and finishes with a -FV. A -/+ FV cycle starts with a -FV and ends with a +FV. If a three day FV cycle occurred, I gathered two data points (the middle day being a compound FV of some type). I had FV data on hand for the period of 12/06/2006 - 6/18/2007 to analyze.


Total fund returns during sample period (6 Dec-18 Jun):
C: 9.17%
S: 9.69%
I: 13.44%

Post +/- FV Total Returns (total returns for day immediately following a two-day +FV/-FV cycle)
C: 1.13% (9 occurances, 7 up / 2 down)
S: 1.10% (9 occurances, 6 up / 3 down)
I: 4.03% (9 occurances, 8 up / 1 down)

Post -/+ FV Total Returns (total returns for day immediately following a two-day -FV/+FV cycle)
C: 1.99% (10 occurances, 5 up / 5 down)
S: 4.22% (10 occurances, 6 up / 4 down)
I: 4.54% (10 occurances, 7 up / 3 down)

Total Post FV Returns (sum of the previous two data sets):
C: 3.12% (19 occurances, 12 up / 7 down)
S: 5.32% (19 occurances, 12 up / 7 down)
I: 8.57% (19 occurances, 15 up / 4 down)

Non-Post FV Returns (returns for days in the sample period that did not follow a FV):
C: 6.05% (113 occurances, 62 up / 51 down)
S: 4.37% (113 occurances, 65 up / 48 down)
I: 4.87% (113 occurances, 67 up / 46 down)

Percent of total fund returns realized during sample period (Dec-Jun) that fell on Post-FV days:
C: 34.0% :blink:
S: 54.9%
I: 63.7% :nuts:

Percent of days in sample period that triggered a Post-FV buy signal:
14.4% (19 out of 132).

So, we can see that the S and C funds benefit as well, especially after a -/+ FV (versus a +/-). It's interesting that the +/- FV sequence does not seem to effect the I fund. Again, this is a relatively small sample size (6 months) but it looks promising and seems to support common sense as you mention.

 

[Griffin]

Re: Post FV analysis

Charmed855,

Excellent work - that is what I am talking about - that fits my "start a rally in domestics and switch over to internationals after the FV" hypothesis.

Post +/- FV Total Returns (total returns for day immediately following a two-day +FV/-FV cycle)
C: 1.13% (9 occurances, 7 up / 2 down)
S: 1.10% (9 occurances, 6 up / 3 down)
I: 4.03% (9 occurances, 8 up / 1 down)

 

[qibovin]

Re: Post FV analysis

Q, Here's a break down for each of the funds.

Awesome! Thanks.

7 up

This reminds me of a story I read recently in Trump/Kiyosaki's Why We Want You To Be Rich about persistence:

Some guy who really liked soda tried to market "3 up," but it failed. He then tried "4 up," then "5 up," and "6 up," which also failed, so he gave up. Then along comes another guy who markets "7 up," and the rest is history.​

Anyway, the story ended there, but I had to laugh as I was reading this post and was suddenly confronted with the conundrum of what might have happened if somebody were stuck with having to market

8 up

I'm not so sure the same lesson could have been taught with this ate-up epithet.

Anyway, I digress...

So, we can see that the S and C funds benefit as well, especially after a -/+ FV (versus a +/-). It's interesting that the +/- FV sequence does not seem to effect the I fund. Again, this is a relatively small sample size (6 months) but it looks promising and seems to support common sense as you mention.

Does anyone else see how this knowledge could be used to avoid much of the volatility of the S and I funds but make better returns overall? This could be the new "modified Birchtree strategy." Simple remain 100% C fund most of the time, with a one day excursion to the I fund after every FV. This could result in capturing 66% of the C fund returns PLUS 64% of the I fund returns. In 2006 that would have been over 27% return for the year.

 

[James48843]

According to your theory then, Monday should be a good day for the "I" fund.

Correct?

 

[charmed855]

According to your theory then, Monday should be a good day for the "I" fund.

Correct?

That's right - Monday will be the first test! 8 to 1 odds of a green day according to the sample data.

 

[nnuut]

Great theory, this is what the board is about, thinking out of the box, ideas etc. Even if they don't work as planned we gain knowledge and a little knowledge here, a little there, we all gain. Looks promising, keep up the good work!!:laugh:View attachment 1760

 

[Gilligan]

Re: Paladin's Account Talk

.... Now, if only I could get my hand on a complete set of FV dates for the last 12 months+.

Here is some FV data that Greg posted under his “Enio” alias:

Tally of them fudging the daily I-fund prices in 2006
======================================
Jan 03 Overpriced by 1.480%
Jan 04 Underpriced by 0.707%
Jan 05 Underpriced by 0.478%

Jan 06 matched MSCI (0.983% to 1.013%)
Jan 09 matched MSCI (-0.108% to -0.135%)
Jan 10 matched MSCI (-0.920% to -0.917%)
Jan 11 matched MSCI (0.820% to 0.844%)
Jan 12 matched MSCI
Jan 13 matched MSCI
Jan 17 matched MSCI
Jan 18 matched MSCI
Jan 19 matched MSCI

Jan 20 Underpriced by 0.498%
Jan 23 Overpriced by 0.513%

Jan 24 matched MSCI (0.165% to 0.145%)
Jan 25 matched MSCI (0.550% to 0.565%)
Jan 26 matched MSCI (0.930% to 0.888%)
Jan 27 matched MSCI (0.813% to 0.815%)
Jan 30 matched MSCI (-0.269% to -0.226%)
Jan 31 matched MSCI (0.647% to 0.607%)
Feb 01 matched MSCI (0.054% to 0.072%)
Feb 02 matched MSCI (-0.589% to -0.618%)
Feb 03 matched MSCI (-0.808% to -0.787%)
Feb 06 matched MSCI (0.054% to 0.078%)

Feb 07 Underpriced by 0.492% (-0.760% to -0.268%)
Feb 08 Overpriced by 1.047% (0.055% to -0.992%)
Feb 09 Underpriced by 0.497% (0.546% to 1.043)

Feb 10 matched MSCI (-0.652% to -0.623%)
Feb 13 matched MSCI (-0.3285 to -0.341%)

Feb 14 Overpriced by 0.698% (0.823% to 0.125%)
Feb 15 Underpriced by 0.769% (-0.653% to 0.116%)

Feb 16 Overpriced by 0.524% (0.877% to 0.353%)
Feb 17 Underpriced by 0.538 (-0.652% to -0.114%)
Feb 21 matched MSCI (on 20th MSCI = 0.0%, on 21st 0.437% to 0.430%)
Feb 22 matched MSCI (0.272% to 0.206% - this was actually a penny high but I'll let it slide)
Feb 23 matched MSCI (0.977% to 0.960%)
Feb 24 matched MSCI (0.000% to 0.041% - they could have paid a penny but maybe needed to make up for the 22nd extra penny)
Feb 27 matched MSCI (0.591% to 0.559%)
Feb 28 matched MSCI (-0.481% to -0.458%) Feb 21 matched MSCI (on 20th MSCI = 0.0%, on 21st 0.437% to 0.430%)
Feb 22 matched MSCI (0.272% to 0.206%)
Feb 23 matched MSCI (0.977% to 0.960%)
Feb 24 matched MSCI (0.000% to 0.041%)
Feb 27 matched MSCI (0.591% to 0.559%)
Feb 28 matched MSCI (-0.481% to -0.458%)
Mar 01 matched MSCI (0.215% to 0.157%)
Mar 02 matched MSCI (-0.322% to -0.318%)
Mar 03 matched MSCI (-0.215% to -0.264%)
Mar 06 matched MSCI (0.323% to 0.358%)
Mar 07 matched MSCI (-1.289% to -1.330%)
Mar 08 matched MSCI (-0.490% to -0.545%)
Mar 09 matched MSCI (1.148 to 1.151%)
Mar 10 matched MSCI (0.000% to 0.009%)
Mar 13 matched MSCI (1.297% to 1.247%)

May17th I-fund down -3.02%- MSCI down 1.929%
May 18th I-fund down 0.20% - MSCI down 0.885%
May 19th I-fund up 0.26% - MSCI down 0.897%
May 22 down 2.40% - MSCI down 1.811%
May 23rd I-fund up 1.52%- MSCI up 1.491%
May 24th I-fund down 1.29% - MSCI down 1.269%
May 25th I-fund up 1.41% - MSCI up 0.632%
May 26th I-fund up 0.67% - MSCI up 1.416%
May 30th I-fund down 1.28% - MSCI up 0.255% on Monday & down 0.646% today
05/31/06 I-Fund up 0.52%, MSCI down 0.425%
06/01/06 I-Fund up 0.21%, MSCI up 0.171%
06/02/06 I-Fund up 1.44%, MSCI up 1.434%
06/05/06 I-Fund down 1.78%, MSCI down 0.566%
06/06/06 I-Fund down 1.70%, MSCI down 2.922% <-- back to being even
06/01/06 I-Fund up 0.21%, MSCI up 0.171% <-- Matched
06/02/06 I-Fund up 1.44%, MSCI up 1.434% <-- Matched

06/05/06 I-Fund down 1.78%, MSCI down 0.566% - underpriced by 1.2%
06/06/06 I-Fund down 1.70%, MSCI down 2.922% - overpriced by 1.2% <-- back
to being even

06/07/06 I-Fund down 0.420%, MSCI down 0.485% <-- Matched
06/08/06 I-Fund down 2.586%, MSCI down 3.631% - overpriced by 1.0%
06/09/06 I-Fund up 0.650%, MSCI up 1.702% - underpriced by 1.0% <-- back to
being even

06/12/06 I-Fund down 1.668%, MSCI down 0.844% - underpriced by 0.8%
06/13/06 I-Fund down 2.956%, MSCI down 2.945% <-- Matched
06/14/06 I-Fund up 1.410%, MSCI up 0.599% - overpriced by 0.8% <-- back to
being even

06/15/06 I-Fund up 3.226%, MSCI up 1.996% - overpriced by 1.2%
06/16/06 I-Fund down 0.539%, MSCI up 0.614% - underpriced by 1.2% <-- back
to being even

06/19/06 I-Fund down 0.325%, MSCI down 0.34% <-- Matched
06/20/06 I-Fund up 0.217%, MSCI up 0.217% <-- Matched

06/21/06 I-Fund up 0.922%, MSCI up 0.367% - overpriced by 0.5%
06/22/06 I-Fund up 0.054%, MSCI up 0.58% - underpriced by 0.5% <-- back to
being even

06/23/06 I-Fund down 0.430%, MSCI down 0.39% <-- Matched
06/26/06 I-Fund up 0.054%, MSCI up 0.006% <-- Matched
1.
Last edited by eino : 07-24-2006 at 04:58 AM.

 

[Griffin]

Re: Post FV analysis

I wouldn't build a whole system around this, but combine it with other useful analysis that are gaining credibility. I think we have begun to flesh out when the C-fund is a better choice then the S-fund, then combine that with the FV switch to the I-fund. Integrate that into the short term cycles of the S&P500 as the foundation, and you are well on your way to a strategy that could consistently yield some outstanding results. I don't like any strategy that require me to be consistently in the market, because the "BLACK ___DAYS" usually follow a short term peak and often occurr in conjunction with other sell signals. I would like to think that any system would keep me out of at least 50% of the bigones.

Anyway, I digress...Does anyone else see how this knowledge could be used to avoid much of the volatility of the S and I funds but make better returns overall? This could be the new "modified Birchtree strategy." Simple remain 100% C fund most of the time, with a one day excursion to the I fund after every FV. This could result in capturing 66% of the C fund returns PLUS 64% of the I fund returns. In 2006 that would have been over 27% return for the year.

 

[airlift]

Charmed,
You have opened a great dialogue that has gathered momentum in an effort to improve market timing. Keep up the fine work. I know that Ebbnflow is constantly trying to improve the ebbtracker's performance. In your own right, as I have read the various posts in this new thread, I have noted you have gathered some of the finest minds, of colleagues interested in improving performance. Griffin stated above that "I would like to think that any system would keep me out of at least 50% of the bigones." It's interesting to see that ebbnflow's system stays invested in the stock funds only around 54% of the time (I forget the exact percentage). The important thing is that he also is attempting to improve performance. In Ebbnflow's thread, Beavis decided to split Monday's IFT between the I and S funds, instead of going 100% I fund. You guys could add your own improved allocation to the mix, and this is highly commendable! Best wishes to all.

 

[James48843]

Great ideas, all.


One thing:

I remember this from the crash of 1987-- I was fully invested, and so was everyone else.

I remember walking down the hall at college, and hearing one student tell another student to put all his student loan money into stocks, because "you can't go wrong- I've got this system....."

A week later the market tanked.

I still remember that.

Just when you think you have a system that "can't go wrong..."

It's time to look for safe havens.

 

[charmed855]

Re: Post FV analysis

Friday will be the 11th post +/-FV day of the year as described below. The I-fund has moved to the up side on 9 of the past 10 post +/-FV days for an average daily gain of .58%. Something to consider.