SystemTrader's Account Talk

[lookywhatigot@yahoo.com]

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This isn't a "significant downturn"? I hope you don't plan on charging too much.

 

[SystemTrader]

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lookywhatigot wrote:

This isn't a "significant downturn"? I hope you don't plan on charging too much.

Hi Look,

None of the 3 stock fundshave dropped more than 5% from their recent peak price. (This is also known as "maximum drawdown.")The S Fund has had the worse decline at a little under 4.7%.The I Fundand the C Fund have dropped somewhere inthe 2to 2.5% range.

No, I don't consider this significant. If you want to invest in stocks for the long-term (through buy-and-hold or market timing), you should expect drawdowns like this and worse. It's how you pay your dues to get higher returns.I've heard ofworld-class money managers whomake 10-12% annually with 3-5% max drawdowns, but they use all sorts of hedging techniques and instrumentsthat aren't available inthe TSP.

 

[lookywhatigot@yahoo.com]

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SystemTrader wrote:

lookywhatigot wrote:

This isn't a "significant downturn"? I hope you don't plan on charging too much.

Hi Look,

None of the 3 stock fundshave dropped more than 5% from their recent peak price. (This is also known as "maximum drawdown.")The S Fund has had the worse decline at a little under 4.7%.The I Fundand the C Fund have dropped somewhere inthe 2to 2.5% range.

No, I don't consider this significant. If you want to invest in stocks for the long-term (through buy-and-hold or market timing), you should expect drawdowns like this and worse. It's how you pay your dues to get higher returns.I've heard ofworld-class money managers whomake 10-12% annually with 3-5% max drawdowns, but they use all sorts of hedging techniques and instrumentsthat aren't available inthe TSP.

But the S&P averages 10% a year by itself, why pay for that type of return? How much can you make?

Sorry, just trying to understand.

 

[coolhand]

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SystemTrader wrote:

I startedinvesting byusing a combination of news events, chart reading, indicators, advice from others, hunches, etc. I quickly and painfully found out that I'm not a very good intuitive trader. I can't filter thenear infinite amountof market info we're bombarded with and consistently make good decisions with it. That's why I prefer systematic approaches. If done correctly, they filter the most important parts of this data and remove all of your emotions and second guessing. No, they're not perfect, but if done properly, they are,in my humble opinion, the best way to approach the future. My system is doing just as well (if not better) right now as it did in the early 90s, so Ihave no reason to doubt it will continue to perform well in the future.

I guess I'm at that point in the learning curve where you once were some time ago. If nothing else I suppose it helps develop one's perspective and provides some measure of an education in ecomomics (the dismal science). I am intrigued with your system and look forward to your continued posts.

 

[SystemTrader]

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Coolhand,

Thanks forthe comment.



Look,

Re: outperforming the S&P 500. Tom doesn't allow "Monday Morning Quarterbacking" (postingpast returns that can't be verified on this board). I respect that, so I can't giveany details here. I didn't read his rules of engagement close enough at first, though, and did post somebacktested results ofthe system in my "Account" folder. They may still bethere; I'm not sure. Suffice it to say that the system outpeformed theS&P 500 substantially in backtesting. I strongly expect it will continue to outperform in the long term, thoughit maynot do soevery quarter oreven every year.

If you were referring to my commentgetting 10-12% returns with extremelylow drawdowns, I wasreferring to certain professional money managers, not my system.I can't say for sure why their (very wealthy) clients prefer this to a stock index fund. My guess is these clients mostlylive off their investing income and don't want their capital subject to huge drawdowns like the 2000-2002 bear market.

Take care,

John

 

[Skip]

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SystemTrader...

What indicators do you use as a system... I trade 85% by systems the other 15%

gets me in trouble....

Skip

 

[SystemTrader]

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Skip,

Sorry, I can't give all the details since I plan to go commercial with the system. Buthere's thegeneral concept. It takes a weighted score of several types of indicators:

1) Intermarket (based on relationships between stocks, bonds, interest rates, commodity prices, etc.)

2) Overall stock market trends (price, volume, the # of advancing vs. declining stocks)

3) Seasonal patterns

4) A few other things, including measures of sentiment and comparisons ofhow different types of stocks are performing (ratio analysis)

When the weighted score reaches a certain level, it givesa buy signal. If it falls below this level, it gives a sell signal.

That's the stock timing system.When it's on a buy signal, I choose one of the stock fundsusing adifferentmodelthat's strictlybased on thelong-term trend.

If you were asking about the specific type of indicators (moving averages [MAs], stochastics, RSI, etc.), Iuse MAs more than anything else. Iuseseveral typesof MAs and sometimeseven do MAs of MAs!

John

 

[Spaf]

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SystemTrader wrote:

Skip,

Sorry, I can't give all the details since I plan to go commercial with the system.

OK. SystemTrader I'll buy, show me what you have got! Please don't tease us with systems and theories that we have listened to in the past. Other so called members have stated the same damn thing.

Give us the facts, evidence, etc., or shut up!

Don't theaten my friends! :? Spaf

 

[SystemTrader]

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1) Re: "facts/evidence": I'm giving myreal-time(not after-the-fact) allocation recommendations. I've also said a good bitabout the rationale and general concepts of what I'm doing. Tom doesn't want historical/backtested results on this board, so I'm not givingthose any longer. Whatotherfacts/evidencecan I give?

2) I haven't been involved in anypast disputes on this board and won't be involved infuture ones. I'vehad nothing to do with controversies involving other/former board members who alsodesignedtheir ownTSP systems. Please don't lump me in with all of that.

3)"Threaten"? No one is forced to read my posts or follow what I'm doing. I haven't insultedanybody. I haven't made negativeor degrading replies to other people's comments about their TSP allocations,investing approach,etc.

Peace,

John

 

[Wheels]

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Spaf, where the hell did that come from.



John, I for one am watching with great interest.

Dave

 

[Spaf]

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My apology to all, especially System Trader. Never more. Spaf

 

[SystemTrader]

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Thanks, Dave!

No hard feelings, Spaf.



John

 

[Wheels]

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Man ST Very nice move getting back into I today. Of course I got out of I today. It seems like I am frequently exactly one day off on my moves.

Dave

 

[pyriel]

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Wheels wrote:

Man ST Very nice move getting back into I today. Of course I got out of I today. It seems like I am frequently exactly one day off on my moves.

Dave

Dave, If you did your IFT today, you will receive today's closing before the transfer is made. Unless of course you were talking about yesterday, then you really missed out.

 

[SystemTrader]

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One more day inthe I Fund...it hasbeen a nice ride the lastcouple ofdays!

The next week or twoshould be interesting with the Fed decision and Group of Seven meeting.

---------------------------------------------------------

New allocation:100%F Fund

IFT date:2Feb 05

Moving to 100% F Fund as of COBWednesday, 2 Feb.


Since Inception Returns (as of COB on 17 Dec):

SystemTrader: +3.60%

G Fund: +0.56%

F Fund: +0.77%

C Fund: -0.24%

S Fund: -0.97%

I Fund: +2.82%

20% in each fund: +0.61%

2005Returns (as of COB on31 Dec):

SystemTrader: -0.28%

G Fund: 0.37%

F Fund: 0.58%

C Fund: -1.78%

S Fund: -2.78%

I Fund: -1.03%

20% in each fund: -0.70%

Allocation History:
(Note:each date = the IFT date)

12/17/04 (start): 100% I Fund

1/18/05: 100% F Fund

1/25/05: 100% I Fund

2/02/05: 100% F Fund

~John

 

[tsptalk]

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Real nice John. Good job!

 

[SystemTrader]

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Thanks!

 

[Citizen]

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When I guess that the market will go down, I park the money in the G fund as a safe place. When you move to the F fund, do you have some specific feeling that it will perform well, or is it a place to park like I consider the G?

I'm really new at this, if you couldn't tell.

 

[SystemTrader]

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Citizen,

Yes to both questions. I considerbothFand G as"parking places," but Ialso analyzethe bond market (and related factors) to choose between them. This is important because the F Fund can decline (unlike the G). But it canalso outperform the G by asizeable margin. It was a great parking place duringmost of the 2000-2002 bear market. It was also a good performer in the summer/early fall of 2004 when the stock indices weregenerally choppy and directionless.

When I say "analyze" the bond market, here's what I mean. When my stock timingsystemgives a "sell signal," I check my bond system. If it says "buy,"I go for the F Fund. If it says "sell," I park in the G Fund.

The bond system is based on bond prices, bond yields, interest rates, commodity prices and a few other things. It's been on a buy signal since 6/15/2004. However, Iwent 100% in stocks whenthe stock system said to buyin October. Recently, I've been in a switching mode between stocks and bonds.

Regards,

John

 

[Skip]

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ST I tried to get the 2 cents friday in the f fund It paid the 2cents friday the day I got in... Day late... If you look at the g and f funds... a good play when your not in stocks is to go back and forth in the g and f Get the penny in g and then go to the f fund...

My system told me to go to stocks your's to bonds ? And we both will make $$$$$

Skip