Playing the I fund

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YIKES! I just finished my Excel Spreadsheet and used it with the TSP fund data from June 2, 2003 to December 1, 2006. The top performing fund was the I Fund, coming in at 111.80% for that period. The spreadsheet calculates the MACD of each fund and tells you which fund to put 100% in. You get to choose the variables for the MACD. I used 19, 39, 9. I got the 19 EMA and 39 EMA from Birchtree. If I strictly followed the allocations according to the spreadsheet, I'd have 114.20 % for that period! Now I just need to see how disciplined I am to actually follow this.
 
fabijo said:
YIKES! I just finished my Excel Spreadsheet and used it with the TSP fund data from June 2, 2003 to December 1, 2006. The top performing fund was the I Fund, coming in at 111.80% for that period. The spreadsheet calculates the MACD of each fund and tells you which fund to put 100% in. You get to choose the variables for the MACD. I used 19, 39, 9. I got the 19 EMA and 39 EMA from Birchtree. If I strictly followed the allocations according to the spreadsheet, I'd have 114.20 % for that period! Now I just need to see how disciplined I am to actually follow this.
Click to expand...

we don't hide it---we divide it
 
pogo said:
we don't hide it---we divide it
Click to expand...

Hey, I got no problem sharing. I've been tweaking it and adding new sheets. Plus, I had to fix the way it was calculating gains. It was counting the gains the day you go into the Fund, instead of counting what fund you were in the day prior. So, here's the link (it's 15.3MB):

http://mircats.com/fabio/TrackerWithPrices2.xls

On the right, you'll see EMA 1, EMA 2, and EMA 3. That's where you can put the parameters for the MACD. MACD is EMA 1 - EMA 2, plotted alongside the EMA 3 of the MACD line. The box that says Monkey is the total returns from June 2, 2003 to Now. Don't forget, there are five sheets. Look in my account talk thread for a little explaining.
 
Looks good, but if I may make a suggestion, possibly revise your system so you can be in more than one fund at one time, instead of all 100% in one fund at one time. Might work out to some better returns. Also, don't forget that just because the system backtests good, doesn't mean it will do well in the future. I've come up with many spreadsheets that have shown that they "would have" performed well during a certain time period, but have been complete flops in the future.
 
... in bullish uptrends this system will be effective, and with sideways zig zags it will be effective to, based on MACD avgs. Since the time frame is from 2003 till now the markets haven't seen any big dips/corrections. My assumption though is that this will still give us sell signals/defensive play on when the markets head down and below support levels if its based on a tech indicator MACD. I'd like to see what it gives for a period between 1998-2002. Yahoo.com will have the histroical prices for c-fund (s&p)... that may be good enough.
 
fabijo said:
YIKES! I just finished my Excel Spreadsheet and used it with the TSP fund data from June 2, 2003 to December 1, 2006. The top performing fund was the I Fund, coming in at 111.80% for that period. The spreadsheet calculates the MACD of each fund and tells you which fund to put 100% in. You get to choose the variables for the MACD. I used 19, 39, 9. I got the 19 EMA and 39 EMA from Birchtree. If I strictly followed the allocations according to the spreadsheet, I'd have 114.20 % for that period! Now I just need to see how disciplined I am to actually follow this.
Click to expand...


I've managed to ride about 60+% of this return within the time frame you have posted beginning in January of 2004 making only two transfers up to today. Of the last 35 months, I've been in the I Fund 31 of those months. I'm still banging my head for missing out on 2003. Oh well, it's very difficult to pick a bottom.
 
fedgolfer said:
... in bullish uptrends this system will be effective, and with sideways zig zags it will be effective to, based on MACD avgs. Since the time frame is from 2003 till now the markets haven't seen any big dips/corrections. My assumption though is that this will still give us sell signals/defensive play on when the markets head down and below support levels if its based on a tech indicator MACD. I'd like to see what it gives for a period between 1998-2002. Yahoo.com will have the histroical prices for c-fund (s&p)... that may be good enough.
Click to expand...

That's exactly what I am planning on doing when I return to my hotel room this afternoon. I've the the S&P closing prices from 1950 until current. I want to run this kind of test during the worst bull years to see what the results would have been.

I also have the Wilshire data from 1987 till now, so I can use that for the S Fund. I also MSCI EAFE from May 2001. EFA from Yahoo only gives from August, 2001. For the G Fund, it might be easier to just act like it never moves, since I don't have the data from back then.
 
fabijo said:
I also have the Wilshire data from 1987 till now, so I can use that for the S Fund. I also MSCI EAFE from May 2001. EFA from Yahoo only gives from August, 2001. For the G Fund, it might be easier to just act like it never moves, since I don't have the data from back then.
Click to expand...

Don’t forget to factor in those dart throwing monkeys! :D
 
:laugh:

I should make the monkeys throw darts when two or more funds have the same probabilities!
 
fabijo said:
For the G Fund, it might be easier to just act like it never moves, since I don't have the data from back then.
Click to expand...

As it really doesn't much, just use it as a safe haven, and any growth that does occur would just be a bonus...
 
EAFE +0.361%

That gives .078 for the I fund if no FV. Do they usually round down or up? (surely not up)
Jeff - you nailed it once again!
 
ayla said:
EAFE +0.361%

That gives .078 for the I fund if no FV. Do they usually round down or up? (surely not up)
Jeff - you nailed it once again!
Click to expand...

Hmmm, only thing I nailed today was the penny I may have in the F fund.
 
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