JTH's Account Talk

[JTH]

Good morning


Off the Linear Regression channel, 12-sessions off the October bottom to fair value is just above us at 4451.44



Off the 2023 High (78 sessions) we are Overbought. The recent close is above Standard Deviation 2 where 95% of prices are expected to reside. Fair Value on this declining channel is listed at SPX 4249



From the 2023 Low (172 sessions) we are just under fair value at 4478.


Have a great day!

 

[JTH]

Gaps

Seems like a good time to talk about gaps.

This morning the S&P 500 gaped up at the open 1.08%

The last time we gaped up > 1% was on 13-Dec-2022, gaping 1.97% and closing the day up .73%. This day happened to be a swing high, it took the index 27 sessions to recover 13-Dec’s closing price.

Of the last 100 times the index gaped up > 1%, the win ratio was 93% and the average-of-gains was a remarkable 2.41%. Those 100 gaps take us back to 17-July-1980

 

[Epic]

Re: Gaps

How worried are you that we don't fall off a cliff at some point before the weeks end to close the gaps below, whether it's in C-Fund (S&P) or S-Fund (DWCPF) ???

 

[nasa1974]

Re: Winning....

I better put on a fresh pair of sticky pants and depends. I sure hope I won't need them.

 

[JTH]

Re: Gaps

How worried are you that we don't fall off a cliff at some point before the weeks end to close the gaps below, whether it's in C-Fund (S&P) or S-Fund (DWCPF) ???

It's a topic I've thought about, I'm curious as to how long it takes for gaps to get filled, but it would take some extensive work to process the right formulas. Going back to the Mar-2020 Pandemic low, there are currently 11 unfilled gaps below us. My estimate is that if a gap doesn't get filled on the next swing low, then I give it less weight.

As for the S-fund's (RUT) I count about 7 gaps below us, so perhaps it seems to get get filled faster or gaps less.

Only issue I have (at the moment) since I've been fading this rally, I'm starting to run out of things to sell. I most certainly would welcome another swing low, but I'm not holding my breath....

 

[Epic]

Re: Gaps

​Understood........ and Thank You ! ! !

 

[JTH]

Re: Gaps

​Understood........ and Thank You ! ! !

Aside from myself, I also manage accounts for my adult kids and dad.

On days like this, I like to call my dad and tell him his account balance

 

[JTH]

Wednesday

Good morning

On Tuesday the S&P 500 closed up 1.91%, the highest daily close since 27 April. Year 2022 saw 38 closes = or > 1.5%, thus far 2023 has 10 such closes.

In the short-term from the October bottom we’ve surged nearly 10% and would need to retrace -6% to fill in the 3 gaps below us. I’m not sure the markets are ready to retrace that deeply just yet, so for now I’m curious to watch 4394 (an area of both resistance and support) at the October Top.



We’ve closed Day-10 on the MTD Statistical Range chart at 7.20% MTD (the 2nd best). At this point in the chart Day-10 closed up 14 times with the month closing up 12 of 14 times for an average gain of 4.29%. In November of 2020, Day-10 was up 8.17% and finished the month 10.75% (twas the best November across 63 years).



Across 79 sessions the declining Linear Regression channel shows we pierced standard deviation 3 (not often seen). By this measure of price and time we are extremely overbought. From the current close it’s a -5.28% decline to the LRL (line of best fit) at 4258.

 

[JTH]

Re: Wednesday

Good morning (some pondering)

“The markets take the stairs up and the elevator down.” or so they say.

One of the reasons why timing the market can be difficult is due to the average-of-losses on down days being weaker than the average-of-gains on up days. So while the daily 54% win ratio is higher, you also gain less on those up days, then what we lose on the down days. So as they say Time in the market will outperform timing the market....


Here’s a look at what would happen if we were able to catch the best 10-Days in the market, or the worst, or both. From 2002 to today, the 10-best days from each year equals 577.26% giving us a 26.24% average gain. The 10-worst days of each year equals -597.13%% giving us a -27.14% average loss.

The difference between the 10-Best & 10-Worst days is -19.87%. From 2002-2022 this sample of data was negative 14 of 21 years.

 

[tsptalk]

Re: Wednesday

Always interesting!

 

[JTH]

Another Mid-Month blog, it's a good way for me to look ahead before we enter the next month.

BLOG: Preview Into December

 

[JTH]

Friday

Good morning

In comparison to the S&P 500’s recent 15-Day higher high from the October bottom, I've temporarily added a column reflecting each sector’s current candlestick conditions. While we've certainly improved from last week, 5 sectors with a combined weight of 27.78% are down YTD.


The Top-10 stats are very strong with not much room for improvement while the Top-50 have also gained traction.
YTD 35 of the Top-50 are in the green.


Here’s a quick snapshot of the Top-50’s Achievers & Underachievers.


Thanks for reading and have a great weekend.

 

[JTH]

Sunday

Good morning

I’m switching to a new format more inline with what I tend to post. Closing out Friday, our Top-50 has a 69% C-Fund allocation with an average 6.94% MTD gain. Our Top-600 is a bit more spread out between the funds, but still has an impressive average of 5.28% MTD.


Our TSP Fund’s performance across the past 27-Days shows us the F-Fund has the highest win ratio, while the C-Fund has the highest gains at 3.30%. On the shorter 11-day timeframe the S-Fund has the highest gains with 5.62%.

The G-Funds 12-Month projected performance is currently 4.92%. This is based on the difference between Thursday to Friday’s close, multiplied by the number of days across 12 months. Next year is a leap year with 366 days so we’ll get that extra day of pay on February 29th.



This week we have the Thanksgiving Holiday, you can find those stats in the more recent blog. Thanks for reading, take care and have a great week.

 

[JTH]

Monday

Good morning

The Day of Week Chart shows some minor changes with the index gaining a little strength.

The last 9 of 11 days have closed up.
The last 10 of 11 days which gaped up closed up.
The last 8 of 11 days which gaped down closed down.
The last 4 Thursdays have closed up.


On the Daily view we can see from Friday’s Intraday high we are just -1.89% below the 2023 top. With the past 3 sessions having traded within a tight .74% range, perhaps this is consolidation where we begin to coil & compress before breaking out into the next higher/lower level.



At some point in time (perhaps 6 months out) the large cap/sector trades might rotate out and not be as effective. For myself, I’m starting to focus on 2024 and may begin to track & trade more small to medium cap stocks & ETFs.

For the Top chart, Most of us know the S-Fund tracks the Dow Jones U.S. Completion Total Stock Market Index. I’m not keen on tracking this Index because I don’t have daily volume & it’s difficult to get the weightings of the individual stocks within the index.

The bottom chart is VXF (Vanguard Extended Market Index Fund ETF). As you can see it closely matches DWCPF in performance over both short & long periods of time. For this purpose, I’ll begin tracking the VXF ETF which may also be used as a proxy for tracking the S-Fund.

 

[JTH]

Re: Gaps

All hail Tech

The NASDAQ 100 has breached its previous 2023 high.

 

[JTH]

Tue

Good morning

At the recent highs, It seems like a good time to review 2023’s status within the historical 63-year percentage closing ranges across the Monthly, Quarterly, & Yearly timeframes.

At 8.43% MTD we are currently on track for a Top-6 close. Monday's close would rank in the Top 6% of Novembre across the past 63 years.


At 6.05% QTD, about mid-way through our 4th quarter we are currently above the average of closes, and just below the average-of-gains. Monday's close would rank in the Top 47% of 4th quarters across the past 63 years.


On the yearly at 18.44% YTD we are roughly in the middle between the average-of-gains and the average intra-year high. Monday's close would rank us in the Top 33% of 63 years.

 

[JTH]

Wed

Good morning

We’re just -1.08% under the 2023 highs (having recently pierced above the September top). This would be an area I’d expect sellers to step out and buyers to chase the gains they missed. With the holidays at our doorstep, we can also see volume has declined over the past 6 sessions.


We’ve closed Day-15 on the MTD Statistical Range chart at 8.21% MTD (the 2nd best). At this point in the chart Day-15 closed up 15 times with the month closing up 13 of 15 times for an average gain of 3.96%. In November of 2020, Day-15 was up 8.79% and finished the month 10.75% (twas the best November across 63 years).

 

[JTH]

Friday

Good morning

Per the usual, the Tech sector leads the pack followed in a distant 2nd by Communication Services (Meta, Google, Disney, AT&T, etc).


I’ve separated the Top-10 from the Top 11-50 to make it easier to visualize the differences in performance. On the S&P 500 it’s amazing to think this year the Top-10 is by weight 31% of the index, and has earned an estimated 25.66% YTD.


As a proxy for the S-Fund, I'm using the Vanguard Extended Market ETF. VXF has about 3,650 holdings (but by weight) the Top 50 comprise 20% of the ETF. As with the S&P 500, most of the estimated gains this year have come from the Top-10.


This is a hypothetical S&P 500 portfolio, where you own the Top-5 weighted stocks in each of the 11 sectors. I've normalized their weightings (within each sector bringing the Top-5 up to 100% (while keeping proportionality)) then allocating the weightings of each sector within the index.

This gives us 55 stocks with 38% to 60% exposure in each of the 11 sectors, and 54% exposure to the entire index. I suppose it would be best to re-balance the weights quarterly to minimize selling stocks which fall out of the Top-5.

YTD you’d be up an estimated 42%. Of the 55 stocks, 31 would be up for a total of 44% while the other 24 would be down for a total of -2%. Across the sectors 9 of your 11 would be up YTD.


Have a great weekend

 

[JTH]

Sunday

Good afternoon

Our TSP Fund’s performance across the past 27-Days shows us the F-Fund has had the highest win ratio, followed by the C-fund. The I fund has the highest 27-day gain at 6.85%. While on the shorter 11-day timeframe the S-Fund has the highest gains with 7.09%.



Allocation wise, the Top-50 increased their CSI holdings by 14% (or some folks climbed into the Top-50 (or both)). Hardly anyone in the F-Fund, does that mean it’s time to buy?

 

[JTH]

Monday

Good morning

On the Day of Week Chart the 27-Day win ratio has increased to 63% which is the strongest reading on file since we peaked at 63% on 18-Jul-2023 (7-sessions before the July yearly peak). A 63% win ratio is also the highest reading we’ve had YTD (13 times from 226 sessions). To see a reading higher than this we'd need to go back to Nov-2021 (501 sessions).

The last 10 of 11 gap ups, closed the day up. The last 4 Wed & Fri have closed up.


Below we have a Fibonacci comparison drawn across 3 Index/ETFs referencing the Jul-2023 yearly high to our most recent October Low.

Upper left: The 2nd strongest chart is the S&P 500 which is -.84% below the yearly High.
Lower left: The weakest, but perhaps the most to gain is VXF (roughly -6% below its yearly high).
Far right: The strongest chart is the S&P 500 Top-50 ETF XLG which has climbed 1.93% above the Jul-2023 highs.


Only 4 trading days left this month, have a great week