SystemTrader's Account Talk

[Wheels]

imported post

OK ST, I'm a believer. Each time that you've jumped into the F Fund, I've thought there was no way for any money to be made there (10 year yields were down well below 4.2 each time) and yet each you have made money (today's gains should be impressive with the jobs report). I am currently divided in the stock funds. I am not sure what I am doing before the close today but I do know that I will be looking carefully for your next move and likely following it.

Dave

 

[SystemTrader]

imported post

Wheels wrote:

OK ST, I'm a believer. Each time that you've jumped into the F Fund, I've thought there was no way for any money to be made there (10 year yields were down well below 4.2 each time) and yet each you have made money (today's gains should be impressive with the jobs report). I am currently divided in the stock funds. I am not sure what I am doing before the close today but I do know that I will be looking carefully for your next move and likely following it.

Dave

Thanks, Dave. The F Fund did great (a 4 pennyincrease in one day is a rarity), butthe C, S & I Funds were the real winners yesterday. It wasa wild day. Next week should really be interesting.

I checked my system last night and I'm staying 100% in the F Fund for now.

John

 

[sailor]

imported post

System trader, system trader where have you gone. I haven't seen any posts since february 5. What are you doing with your account. Looking for your system!!!! Speaking of systems do you know anything about one called timing 4 dollars. Claim high returns with only 4 moves per year.

sailor looking for system

 

[SystemTrader]

imported post

sailor wrote:

System trader, system trader where have you gone. I haven't seen any posts since february 5. What are you doing with your account. Looking for your system!!!! Speaking of systems do you know anything about one called timing 4 dollars. Claim high returns with only 4 moves per year.

sailor looking for system

Sailor,

I'm still here. No new transactions until now (see below). My stock timing modelcame very, veryclose to givinga buy signalaweek or two ago, but it never happened. If I had received the signal, I would've gone 100% in the I Fund and enjoyed part of itsrecent run up. Oh well...

I still may receive a stockbuy signal soon. The market isvery choppy and sending a lot of mixedmessages right now, so it's hard to tell.People who day trade stock index futures hate this sort of action--the S&P500is stayingwithin a 4-5 point range on some days.

I looked at the website of the service you mentioned. Their resultslook quite spectacular. It's hard to believe they could perform like that with 4 trades a year, even using highly leveraged long/short funds. (That's what theirresults arebased on, BTW.) They're not tracked by any third-party services to verify their results, though. If they'reresults have been that good, I don't know why theythey don't let a market timing service verify their performance.

John



New allocation:100%G Fund

IFT date:22Feb 05

Moving to 100%G Fund as of COBTuesday, 22 Feb.


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

SystemTrader: +3.31%

G Fund: +0.75%

F Fund: +0.58%

C Fund: +0.94%

S Fund: +0.07%

I Fund: +5.03%

20% in each fund: +1.49%

2005Returns (as of COB on31 Dec):

SystemTrader: -0.56%

G Fund: +0.56%

F Fund: +0.38%

C Fund: -0.62%

S Fund: -1.77%

I Fund: +1.10%

20% in each fund: -0.07%

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

2/22/05: 100% G Fund

~John

 

[pyriel]

imported post

John,

I'm tracking you with a -0.63. I am attaching my excel worksheet on you. Can you tell me why mine differs with yours?

Pyriel

 

[SystemTrader]

imported post

pyriel wrote:

John,

I'm tracking you with a -0.63. I am attaching my excel worksheet on you. Can you tell me why mine differs with yours?

Pyriel

Pyriel,

I don't have access to my spreadsheet right now. I'll take a look at it later, though.

Thanks,

John

 

[SystemTrader]

imported post

I still need to answer Pyriel's question re: why histally for my account is slightly different from mine. I think I know but I'll try to verify it tomorrow.

New allocation: 100% I Fund

IFT date: 24 Feb 05

Moving to 100% I Fund as of COB Thursday, 24 Feb.


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

SystemTrader: +3.21%

G Fund: +0.84%

F Fund: +0.58%

C Fund: +0.08%

S Fund: -1.18%

I Fund: +4.56%

20% in each fund: +1.00%

2005 Returns (as of COB on 31 Dec):

SystemTrader: -0.66%

G Fund: +0.66%

F Fund: +0.38%

C Fund: -1.47%

S Fund: -2.99%

I Fund: +0.65%

20% in each fund: -0.55%

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

2/22/05: 100% G Fund

2/24/05: 100% I Fund

~John

 

[SystemTrader]

imported post

Moving to the G Fund as of tomorrow's close. The futures look bleak tonight and the dollar is gaining strength.

After 5 days of winning or flat peformance, the I Fund looks like it could take a hit tomorrow. I'd be very happy just to get anotherflat day.

Pyriel, I still need to find out why our calclulations aren't quite in synch. I thought it may be because I compound my returns (i.e., I start with $100 asan arbitrary initial amount andcompound each fund/allocation daily), but thatdoesn't appear to be the reason, either...



New allocation: 100%G Fund

IFT date: 2Mar 05

Moving to 100% I Fund as of COB Wednesday, 2 Mar.


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

SystemTrader: +5.00%

G Fund: +0.94%

F Fund: +0.19%

C Fund: +1.73%

S Fund: +1.04%

I Fund: +6.38%

20% in each fund: +2.07%

2005 Returns (as of COB on 31 Dec):

SystemTrader: +1.06%

G Fund: +0.75%

F Fund: +0.00%

C Fund: +0.15%

S Fund: -0.81%

I Fund: +2.39%

20% in each fund: +0.50%

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

2/22/05: 100% G Fund

2/24/05: 100% I Fund

3/2/2005: 100% G Fund

~John

 

[pyriel]

imported post

Now I am tracking you with 1.00% return. I started from scratch again and reinputted the data according to your IFT and we are still different. Now the difference is .06. I'm baffled.

 

[FundSurfer]

imported post

Pyriel, are you using my spreadsheet or Tom's? I've noticed that mine and Tom's have little differences like the one you mention. I've never tracked down the reason, but I would be interested in knowing which you are using.

 

[pyriel]

imported post

I am using Tom's. I'm still trying to decipher yours. I'm one of those people that once I learn a system, it get pretty hard for me to change. Eventually i'm gonna have to follow yours because it seems easier with one line entry for fund price and it automatically changes all of the participants trackers. Thanks... I am going to try to learn it when I fly out to Alabama this Saturday.

 

[SystemTrader]

imported post

Still 100% in the G Fund.

While my stock timing system doesn't factor in support and resistance levels, I do think they're important. Today we breached the S&P 500 low set on 22 Feb of 1184.16. A continuation of this downward move may signal the first leg of a longer-term bearish trend.

 

[Spaf]

imported post

SystemTrader wrote:

Today we breached the S&P 500 low set on 22 Feb of 1184.16. A continuation of this downward move may signal the first leg of a longer-term bearish trend.

On March 7th we set a new higher high of 1225.31 on the S&P 500. That false break out was shortly lived. Maybe the lower end break out of today will be shortly lived?

Who knows! But playing the market now is like ordering a Martini and trying to suck the olive through the straw!

 

[SystemTrader]

imported post

Spaf wrote:

On March 7th we set a new higher high of 1225.31 on the S&P 500. That false break out was shortly lived. Maybe the lower end break out of today will be shortly lived?

Who knows! But playing the market now is like ordering a Martini and trying to suck the olive through the straw!

Well, Spaf, I was wondering if the break below 1184 would be a small/short,too, but wow, it broke, broke, and broke some more today!

My stock timing system has a very strong sell signal right now. The bond timing system does too. So it looks like 100% "G" for awhile. I've been short the S&P 500 via the Rydex Ursa fundsincemy stock sell signal on 2 March. So far, so good...we'll see if it remains profitable until the next buy signal.



John

 

[Spaf]

imported post

ST

The Big Chief let the horsemen out. Mayhem today!

The charts are looking rather bad.

This has been some what of a hard market so far this year.

Where is the bottom, reminds me of the Wendys commercial of where is the beef?

Spaf

 

[SystemTrader]

imported post

Since I believe in usingasystematic, tested, strategy-basedinvesting style, I thought I'd postthis excerpt from an email I received. It's from some site/service called www.financialmentor.com. I have no experience with this service, so this isn't a recommendationfor the site.

Thiswas the#1 entry on their list of the "Ten Commandments to
Profitable Investing."

1st Investment Strategy Commandment: Thou Shalt Not Gamble

If you follow hunches, guess, take tips, or "play the
market" then you are a gambler and not an investor. If you
put money at risk on "one-off" investments, special
situations, or economic forecasts then you are also a
gambler. What separates an investor from a gambler is the
principle of expectancy.

Expectancy is a formula that shows the average amount of
money you can expect to make per dollar risked if you follow
your investment strategy consistently enough to achieve
statistical validity.

Gamblers put money at risk on unknown or negative expectancy
situations. Investors only put money at risk on known,
positive expectancy situations.

Thorough and accurate research is required to know your
investment strategy's expectancy with confidence. You must
understand the assumptions underlying the research and know
when those assumptions may no longer be valid. Anything less
is gambling.

The principle of expectancy implies a systematic and
methodical investment strategy (an investment plan);
otherwise, you cannot have confidence that you will
ultimately profit. Your disciplined investment strategy
should include one or more of the following characteristics
to create positive expectation:

(1) A Positive Paying Attribute: For example,
positive expectancy results from certain value-based
strategies in the stock market such as Tobin's Q-
ratio and Graham's intrinsic value. Additionally,
well located and properly purchased investment real
estate is so well known for its positive expectancy
under most economic conditions (not all) that a myth
about "real estate never going down" resulted.

(2) An Exploitable Inefficiency: For example, many
bond mutual funds are mispriced during rapidly
moving interest rate markets because of the
infrequent trading of the underlying portfolio of
individual bonds and mark-to-market accounting
rules.

(3) A Competitive Edge: For example, in real estate
some people have a competitive edge in foreclosure
properties through their banking network and
marketing systems. In paper assets, some firms
have a competitive edge in computer systems to
exploit option pricing inefficiencies. Competitive
edge is usually the result of a business system or
specialized knowledge applied to investing.

Most people don't want the scientific rigor and discipline
of mathematical expectation. They prefer the fun and
adventure of "story" stocks, investing by the seat of the
pants, or trusting in an advisor. My only question is, "do
you invest for fun, or do you invest for profit?" Don't
confuse the issues. If you want financial security and
consistent profits then expectancy is a required investment
discipline.

Growing wealth is governed by mathematics. It is a science
based around the core principle of mathematical expectation.
Insurance companies don't gamble and neither do casino
owners ... only their customers do. Both types of
businesses rely on mathematical expectation to profit
reliably. You should do the same with your investment
strategy.

The reality is you are either investing scientifically with
the odds in your favor based on known, positive, expectation
strategies, or you are gambling with your financial future.
There is no other alternative.

 

[Rolo]

imported post

That is awesome!

 

[sailor]

imported post

System trader,

Whats the trading symbol for rydex ursa that you have shorted during this downturn. Seems like a good idea to make some money on the side while waiting to get out of the G.

 

[SystemTrader]

imported post

sailor wrote:

System trader,

Whats the trading symbol for rydex ursa that you have shorted during this downturn. Seems like a good idea to make some money on the side while waiting to get out of the G.

Symbol = RYURX

A word of caution: personally, I wouldn't short the market at this point. I shorted it as soon asI had a sell signal. The S&P 500closed around1210 that day. The market hasdeclined a good bit since thenand Ihave a pretty nice "cushion" in case it moves back up.

As of today, it looks like marketis attempting to rally.If it ralliesback to the 1200+ range,but fails to take out the high of 1225 on March 7, then I think you'll have another good shorting opportunity...especially if you can short around the"signal level" at 1210.

Regards,

John

 

[SystemTrader]

imported post

Still 100% G.

For those who like reading this sort of thing, here's a link to an academic paper on the relationship between oil prices and stock market returns. It includes a simple market timing model that produced statistically significant positive returnsbased on the oil/stock price (inverse) relationship.

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=460500

The papercame out a couple of years ago, before oil prices rose so much and before we heard so much about oil affecting the market and the economy.

~John