fabijo's account talk

[fedgolfer]

... thanks for posting. I hope you'll post everytime it spits out a change in allocation. Very curious to see how this will perform in the future

 

[fabijo]

No problem. I plan on posting it. I'm still trying to tweak it so that it will automatically react quicker during down markets. I can use the data from the S&P 500 and the Wilshire 4500 during really bad years as my testing ground. I hope it will be done by the end of this year.

 

[fabijo]

Okay, it's a miracle my spreadsheet would've worked for the past three years. I found a couple of areas where it was doing what I did not expect. I've still got plenty of tweaking to do, but I'm sticking with its recommendation for 100% S fund. After today's tweaks, it showed that I should've went to the S Fund today, instead of tomorrow. That's fine with me. I'll just stick to it.

 

[James48843]

Just remember-

Past performance is no guarentee of future results. Ask your doctor. Except in Nebraska.

 

[350zCommTech]

fabijo,

Your spread sheet is based on price right? I can see it working on all the funds except for the I fund because of the dollar's effect. It's one of the reasons why I don't use the EFA.

 

[fabijo]

Just remember-

Past performance is no guarentee of future results.

Yup. I know. So far, my spreadsheet just bases it's movements on which fund has the highest slope on the MACD Histogram. The slope is just comparing today's histogram with the histogram from 2 days ago.

What I'm researching and figuring out is that I would like the MACD automatically transition to using faster EMAs as the current price gets closer to longer term moving averages.

 

[fabijo]

fabijo,

Your spread sheet is based on price right? I can see it working on all the funds except for the I fund because of the dollar's effect. It's one of the reasons why I don't use the EFA.

Yup, just the actual TSP Fund prices. I would much rather use the real market data, but it gets too complicated. I'm just trying to come up with something kind of simple that kind of works, sometimes!

 

[fabijo]

Whew! Looks like I might have a lot of work ahead of me. What I've been doing so far is somewhat linear. I'm reading some math articles on volatility, so I'll be changing my Monkey math soon. If anyone is interested in what I'm looking into right now, here is the article I'm trying to grasp:

http://www.aetheling.com/MI/Volatility/math.html

When I think I understand it and when I figure out which formulas I want to use, I might just end up revamping my spreadsheet to measure the differences in rates of change between the funds, which is what I've been trying to do with the MACD.

If I don't have any logs or squares in my formulas, then I'm only working with linear measurements. As Griffin pointed out in his response to Desperado's thread, the linear data does not give you a real picture.

 

[fabijo]

Okay. This is getting tough to do. I'm gonna stick with the math and not my brain. I'm going 100% I fund tomorrow. I bet that dollar index is gonna screw everything up, but oh well.

 

[Birchtree]

We may be looking at some non-farm payroll numbers Friday 0830 that are stronger than anticipated supporting a healthy economy. If so, the dollar will rally - only means you can't count of FV. Go for it.

 

[fabijo]

With the rate my spreadsheet jumps funds, I could be out of the I fund by then.

 

[fabijo]

Okay. I've been playing with different numbers for the MACD and Bollinger Bands. Now I am slightly freaked out, because it just doesn't seem possible. Backtesting with all the fund data from June 2, 2003 till now, I get a 134.43% return.

Now here's where it gets crazy. I used the S&P 500 and the Wilshire 4500 data from December 1, 1998 till December 31, 2003. For the G Fund, I just kept the price constant until June 2, 2003 where I actually have the prices. I allowed the math monkey to choose between S&P, Wilshire, or G. I used the exact same parameters for the MACD and Bollinger Bands as I did for the past 3 1/2 years. The return from December 1, 1998 to December 31, 2003 comes to be 137.83%!!!! What the heck?? That's a better return than the past 3 1/2 years. Here's a link to the spreadsheet:

http://mircats.com/fabio/Fab.TSP.Trading.alpha.xls

There are three tabs. The one labelled All Funds, is the current data - and it allows the choice of the F Fund. The one labelled Bear Test is the test from 1998 to 2003. The one labelled All w VIX is current, but uses the VIX as part of its decision-making process.

I'm just gonna stick to this until it doesn't work any more. I'm constantly working on it and I hope to get it to where I don't have any negative months.

 

[fabijo]

I'm sticking with my sheet still. Going 100% F for tomorrow.

 

[ChemEng]

Its interesting that when you incorporated VIX into your decision rule, the returns dropped significantly.

 

[fedgolfer]

... i love it... keep going Fab. The search for the holy grail is neverending! I wonder if you/other members can add visuals to it?

Also, glad to see it finally spewed out a defensive move, more importantly one that got close to my gut IFT hunch-o-the-day. Thanks again.

 

[fedgolfer]

... the great return from '98 to '03 is amazing. I'm assuming since it's based on price technicals it does even better in bear markets when indicators are a bit more accurate for buy signals, and the up and down volitility swings tend to be in quicker and sometimes larger. It's kind of why I like sideways markets better than bull-runs... although my returns pale in comparison to this backtest.

 

[fedgolfer]

Its interesting that when you incorporated VIX into your decision rule, the returns dropped significantly.

...this kind of supports my hunch that the VIX is good for general direction but not day to day movements. In this bull run there have been days where the VIX has been green and the indices have been green, and days where its been red along w/ the indices... in a perfect world they should be oppopsite. They do tend to be opposite on days with large price movements in a convincing direction, but there have been many days with incremental movement where they've moved together not contrary to one another.

 

[fabijo]

Its interesting that when you incorporated VIX into your decision rule, the returns dropped significantly.

I agree. I think the returns dropped only because it was too safe, not because of incurring losses, but missing significant gains. It would have done great this year. I want to try adding some sort of moving average rule to the vix. I'm still not sure how I should do it. Using the vix this year would have saved you from the drops in May and June, but it would have also kept you out of some big moves up in other years. I've been doing some reading on volatility and still need to come up with the right logic to use volatility. Sometimes it is good to be highly volatile - that means moves are faster whether up or down. We just want to be in during the big up moves and out for the big down moves!

 

[fabijo]

... i love it... keep going Fab. The search for the holy grail is neverending! I wonder if you/other members can add visuals to it?

Also, glad to see it finally spewed out a defensive move, more importantly one that got close to my gut IFT hunch-o-the-day. Thanks again.

It is very hard to fully follow this spreadsheet, because some days I want to try to judge the market myself. Like today, I'm getting out of the I fun, which I just got into yesterday. But today, the I fund is down, so I'm losing. Normally, I would have tried to hold it longer. Maybe it is good I'm following something that is not emotional, because I normally do not make good choices. I got into the I fund at the top in May. On the day of the bottom, I made an IFT to the G fund, but Tom told me that might be a bad choice, so I cancelled my IFT. I'm glad I did, because that's when it started going up.

So my timing is perfect - if I want the maximum loss possible. I wish I had some sort of machine that read my emotions and told me the best market decision to make by going the opposite direction of my emotions.

 

[fedgolfer]

... ha, I know what you mean. I went from a completely defensive mindset to a completely offensive one by the ift deadline solely based on the S&P having an intraday bounce off of the 8 DMA in hopes of it testing the upper band on Monday/early next week. There's so much technical stuff out there it can point every which way and support every opposing arguement. I appreciate you putting time and careful thought into your spreadsheet, I tried digging into its inner workings but I'm clearly too dimwitted.