FundSurfer
Well-known member
imported post
Yes, nice trade...
System wise, what makes I more attractive than C-fund right now?
Yes, nice trade...
System wise, what makes I more attractive than C-fund right now?
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SystemTrader's Account Talk
- Thread starter SystemTrader
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SystemTrader
Member
imported post
I hope you don't mind if I do a modified cut & paste from an older post...
When I get a "buy" signal for stocks,I move tothesecond tier of thesystem.This tierdeterminesthe best performing stock fund. While it's long-term in nature (based on end-of-weekprices), it gives more significance or "weight" to recentprice changes.TheIFund hasremained the top-ranked fund in this model for quite some time. However, it's not dominating theothers quite as much as it was1-2 months ago.
Warning: tomorrow may not be nice for the I Fund, unless our friend the U.S. Dollar really tanks against the other major currencies. However, since the system is primarily designed for intermediate-to-long-term moves, I'm not too worried about one day's results.
Thanks,
John
John
FundSurfer wrote:
I hope you don't mind if I do a modified cut & paste from an older post...
When I get a "buy" signal for stocks,I move tothesecond tier of thesystem.This tierdeterminesthe best performing stock fund. While it's long-term in nature (based on end-of-weekprices), it gives more significance or "weight" to recentprice changes.TheIFund hasremained the top-ranked fund in this model for quite some time. However, it's not dominating theothers quite as much as it was1-2 months ago.
Warning: tomorrow may not be nice for the I Fund, unless our friend the U.S. Dollar really tanks against the other major currencies. However, since the system is primarily designed for intermediate-to-long-term moves, I'm not too worried about one day's results.
Thanks,
John
John
FundSurfer wrote:
SystemTrader
Member
imported post
Still 100% I Fund.
Wow, a rough week. I wish I could list 101 reasons why the market will move up this week, but I'm not in the business of cheerleading for the market or predicting its direction. When you follow a systematic approach, your comfort is in knowing that you should have more profitable trades than losing trades, and your winning trades should gain more (on average) than your losers.
The stock timing system has had 8 winning trades in a row. This includes one that was made during a backtesting period, but I've made all the others in real time. I hate to say it, but winning streaks like that don't go on forever. I certainly hope it extends through this trade though, and even reaches double digits! But I need warn those who may be following along: this system, like any other, will have some losing trades. That'sinevitable. The good news is that it's a pretty risk averse, so if we run into some huge downturn, I expect to get out before most of the damage is done.
One thing that's hurt the I Fund is the recent stength of the U.S. Dollar (USD). The USD has reached yearly highs against some of the other currencies. It will be interesting to see if this continues or if the USD snaps back like a stretched rubber band.
I watch the financial markets very closely. So far tonight,not much has changed. S&P 500 overnight futures aredown by a fraction. The Nikkei is down. Foreign exchange (FOREX) markets haven'tchanged much.However, the FOREX is trulya market that doesn't sleep. It runs 24/5, andthere are often big movesduring the Londontrading session (3 AM EST), so thingsmaybe different by tomorrow morning.
Until next time,
ST
Still 100% I Fund.
Wow, a rough week. I wish I could list 101 reasons why the market will move up this week, but I'm not in the business of cheerleading for the market or predicting its direction. When you follow a systematic approach, your comfort is in knowing that you should have more profitable trades than losing trades, and your winning trades should gain more (on average) than your losers.
The stock timing system has had 8 winning trades in a row. This includes one that was made during a backtesting period, but I've made all the others in real time. I hate to say it, but winning streaks like that don't go on forever. I certainly hope it extends through this trade though, and even reaches double digits! But I need warn those who may be following along: this system, like any other, will have some losing trades. That'sinevitable. The good news is that it's a pretty risk averse, so if we run into some huge downturn, I expect to get out before most of the damage is done.
One thing that's hurt the I Fund is the recent stength of the U.S. Dollar (USD). The USD has reached yearly highs against some of the other currencies. It will be interesting to see if this continues or if the USD snaps back like a stretched rubber band.
I watch the financial markets very closely. So far tonight,not much has changed. S&P 500 overnight futures aredown by a fraction. The Nikkei is down. Foreign exchange (FOREX) markets haven'tchanged much.However, the FOREX is trulya market that doesn't sleep. It runs 24/5, andthere are often big movesduring the Londontrading session (3 AM EST), so thingsmaybe different by tomorrow morning.
Until next time,
ST
SystemTrader
Member
imported post
Hi Smine,
I'm not quite sure what your question is...are you asking if this is a good opportunity to buy stocks/stock funds/etc.?
smine wrote:
Hi Smine,
I'm not quite sure what your question is...are you asking if this is a good opportunity to buy stocks/stock funds/etc.?
smine wrote:
SystemTrader
Member
imported post
Yep. It was a painful wait, but today was nice and hopefully tomorrow will be, too!
ST
Rod wrote:
Yep. It was a painful wait, but today was nice and hopefully tomorrow will be, too!
ST
Rod wrote:
SystemTrader
Member
imported post
New allocation: 100%F Fund
IFT date:31May 05
Moving to 100%F Fund as of COBTuesday,31May 05.
The stock timing system gave a sell signal as of27 May 05.
This past move was frustrating. The timing signal to re-enter stock funds at the close of 10 May was good. Unfortunately,the I Fund didn't cooperate. The C and S Fundshave donewell, as did most other stock funds. In fact, other EAFE-based funds such as the EFAand the Scudder EAFE mutual fund (BTAEX) have even had slight gainsduring this last signal. We do have one more day before the IFT,and a positive return for this signal is still possible. (The loss has been small so far, and the I Fund could certainly swing strongly eitherdirection on Tuesday.)
Some people question investing in the I Fund at all since its daily valuations seem so quirky. The folks at Barclays do these strange valuations to prevent"time zone arbitrage." Most (all?) other fund companiesdo this, too. At leastBarclays doesn'tadd redemption fees like Vanguard:
http://www.ifa.com/archives/articles/staff_20030508_vanguard_moves_to_stop_arbitrage_trading.asp
A few otherthoughts:
1) Despite the unpredictable daily (and perhaps even weeklyand monthly) valuations, the I Fund has been the top performing TSP Fundfor the lasttwo years. This isn't surprising, since international funds badly underperformed U.S. funds during most of the 1990s. When one asset class outperforms another for a long time, the tendency is for the classes to"revert to the mean," as statisticians say. This just means the underperforming class is likely to play catch up for awhile,bringing its relative returns back to normal. If you ignore the I Fund, you may continue missing out on a"mean reversion" period of strong performance.
2) The I Fund's unusual valuations should "wash out." Sometimes you'll get burned like I just did.Other times you'll catch the I Fund in an unusually strong period where valuationsseem to go your way. We've seen a few such periods already this year. Over the long-term,the times you get "burned" and the times you get "lucky" should be about the same if you invest with a consistent plan.
3) I did some backtesting of my system with a blend of the 3 stock funds instead of100% allocations to the strongest fund. The "100%" version I usehad higher returns over time, so that's why I use it. There were times when a 3-fund blend worked better, but the 100% concentration had enough strong periods to warrant its use. This was especially true in the late 1990s, when the C Fund dominated. (Too bad there wasn't a NASDAQ index fund back then!). It has also been trueduring thelast 4-5 years when the S and I have taken turns in the top seat and consistently outperformed the C.
Since Inception Returns (starting atfunds' closing prices on 17 Dec 04):
SystemTrader: +5.22%*
G Fund: +1.97%
F Fund: +1.83%
C Fund: +1.26%
S Fund: +0.55%
I Fund: +2.01%
20% in each fund: +1.52%
* I had this same figure for the last allocation, but it should've been 5.42% last time.
2005 Returns (starting atfunds' closing prices on31 Dec 04):
SystemTrader: +1.27%
G Fund: +1.78%
F Fund: +1.63%
C Fund: -0.31%
S Fund: -1.81%
I Fund: -1.23%
20% in each fund: +0.00%
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
4/18/2005: 100% F Fund
5/10/2005: 100% I Fund
5/31/2005: 100% F Fund
~John
http://www.ifa.com/archives/articles/staff_20030508_vanguard_moves_to_stop_arbitrage_trading.asp
New allocation: 100%F Fund
IFT date:31May 05
Moving to 100%F Fund as of COBTuesday,31May 05.
The stock timing system gave a sell signal as of27 May 05.
This past move was frustrating. The timing signal to re-enter stock funds at the close of 10 May was good. Unfortunately,the I Fund didn't cooperate. The C and S Fundshave donewell, as did most other stock funds. In fact, other EAFE-based funds such as the EFAand the Scudder EAFE mutual fund (BTAEX) have even had slight gainsduring this last signal. We do have one more day before the IFT,and a positive return for this signal is still possible. (The loss has been small so far, and the I Fund could certainly swing strongly eitherdirection on Tuesday.)
Some people question investing in the I Fund at all since its daily valuations seem so quirky. The folks at Barclays do these strange valuations to prevent"time zone arbitrage." Most (all?) other fund companiesdo this, too. At leastBarclays doesn'tadd redemption fees like Vanguard:
http://www.ifa.com/archives/articles/staff_20030508_vanguard_moves_to_stop_arbitrage_trading.asp
A few otherthoughts:
1) Despite the unpredictable daily (and perhaps even weeklyand monthly) valuations, the I Fund has been the top performing TSP Fundfor the lasttwo years. This isn't surprising, since international funds badly underperformed U.S. funds during most of the 1990s. When one asset class outperforms another for a long time, the tendency is for the classes to"revert to the mean," as statisticians say. This just means the underperforming class is likely to play catch up for awhile,bringing its relative returns back to normal. If you ignore the I Fund, you may continue missing out on a"mean reversion" period of strong performance.
2) The I Fund's unusual valuations should "wash out." Sometimes you'll get burned like I just did.Other times you'll catch the I Fund in an unusually strong period where valuationsseem to go your way. We've seen a few such periods already this year. Over the long-term,the times you get "burned" and the times you get "lucky" should be about the same if you invest with a consistent plan.
3) I did some backtesting of my system with a blend of the 3 stock funds instead of100% allocations to the strongest fund. The "100%" version I usehad higher returns over time, so that's why I use it. There were times when a 3-fund blend worked better, but the 100% concentration had enough strong periods to warrant its use. This was especially true in the late 1990s, when the C Fund dominated. (Too bad there wasn't a NASDAQ index fund back then!). It has also been trueduring thelast 4-5 years when the S and I have taken turns in the top seat and consistently outperformed the C.
Since Inception Returns (starting atfunds' closing prices on 17 Dec 04):
SystemTrader: +5.22%*
G Fund: +1.97%
F Fund: +1.83%
C Fund: +1.26%
S Fund: +0.55%
I Fund: +2.01%
20% in each fund: +1.52%
* I had this same figure for the last allocation, but it should've been 5.42% last time.
2005 Returns (starting atfunds' closing prices on31 Dec 04):
SystemTrader: +1.27%
G Fund: +1.78%
F Fund: +1.63%
C Fund: -0.31%
S Fund: -1.81%
I Fund: -1.23%
20% in each fund: +0.00%
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
4/18/2005: 100% F Fund
5/10/2005: 100% I Fund
5/31/2005: 100% F Fund
~John
http://www.ifa.com/archives/articles/staff_20030508_vanguard_moves_to_stop_arbitrage_trading.asp
SystemTrader
Member
imported post
New allocation: 100%G Fund
IFT date:14Jun 05
Moving from 100% F Fund to 100%G Fund as of COBTuesday,14Jun 05.
Sorry, I try to post these the night before, and I usually include a history of returns and fund allocations. I'm a little short on time right now.
I'm working on an update/improvement to the system. I'm using a new model to rotate among C/S/I when the stock timing system is on, and it invests in two funds at a time (50%/50% ratio). I need to test it a little further, but so far it definitelylooks like an improvement.The system will definitely be in its final state after I backtest it with the new fund switching model.
ST
New allocation: 100%G Fund
IFT date:14Jun 05
Moving from 100% F Fund to 100%G Fund as of COBTuesday,14Jun 05.
Sorry, I try to post these the night before, and I usually include a history of returns and fund allocations. I'm a little short on time right now.
I'm working on an update/improvement to the system. I'm using a new model to rotate among C/S/I when the stock timing system is on, and it invests in two funds at a time (50%/50% ratio). I need to test it a little further, but so far it definitelylooks like an improvement.The system will definitely be in its final state after I backtest it with the new fund switching model.
ST
G
Guest
Guest
imported post
Thank you for sharing your thoughts.
I find you are very insightful.
Happy trading.
Thank you for sharing your thoughts.
I find you are very insightful.
Happy trading.
SystemTrader
Member
imported post
vectorman wrote:
Hi Vector,
Sorry for the belated reply. The new system is looking good, but I need to do a little more extensive testing. The only change will be how I select the stock funds. I'll use the same models to determine the asset class: either100% stocks (C, S and/or I Fund), 100% bonds (F Fund) or 100% cash (G Fund). When I'm in stocks, though, I'll use a different model that picks the top 2 funds for a 50/50 allocation.
My old "fund selection" model performed well overall, butwas somewhat lagging and a few times it stayed in a deteriorating fund for too long. My venture with the I Fundthis May was a good example. However, my biggest concern was in March of 2000. (Since the TSP funds didn't have daily valuations then,Ibacktested using funds/indicessimilar to the TSP funds.)
During this time, my old system would've stayed in the S Fund untilthe overall stock timing model gave a signal to sell during the first week in April 2000. This 100% S Fund allocationworked great in early 2000, gaining nearly 20%, but backfired as the S Fundgave back much of its gainsduring the last fewweeks of March 2000. My new system would've switched tothe C and IFunds duringmid-March,preserving most of the gains before exiting stocks altogether.
The new system would've also bought the C and S Funds when I went to a 100% stock allocation from the close of 10 May to the close of 31 May this year. Instead of losing allmy 2005 gains as the I Fund tanked,it would've gained somewhere in the +2.5 to 3% range. Woulda, coulda, shoulda, I know, but I'll be ready next time.
I'm still 100% in theG Fund. Bothmy stock and bond timing modelhavesell signals.And while I use systems, and not charts, to determine my allocations, I prepared a chart of the S&P 500 here:
http://charts.dacharts.com/2005-06-26/SystemTrader07.png
Last week was a big test for the S&P 500. It was close to surpassing its March high..which was actually the high for the last few years. Breaching this would've been very bullish. Instead, it failedmiserably. While I neverpredict where or how farthe market will go, I will say that things aren't looking up for now.
ST
vectorman wrote:
Hi Vector,
Sorry for the belated reply. The new system is looking good, but I need to do a little more extensive testing. The only change will be how I select the stock funds. I'll use the same models to determine the asset class: either100% stocks (C, S and/or I Fund), 100% bonds (F Fund) or 100% cash (G Fund). When I'm in stocks, though, I'll use a different model that picks the top 2 funds for a 50/50 allocation.
My old "fund selection" model performed well overall, butwas somewhat lagging and a few times it stayed in a deteriorating fund for too long. My venture with the I Fundthis May was a good example. However, my biggest concern was in March of 2000. (Since the TSP funds didn't have daily valuations then,Ibacktested using funds/indicessimilar to the TSP funds.)
During this time, my old system would've stayed in the S Fund untilthe overall stock timing model gave a signal to sell during the first week in April 2000. This 100% S Fund allocationworked great in early 2000, gaining nearly 20%, but backfired as the S Fundgave back much of its gainsduring the last fewweeks of March 2000. My new system would've switched tothe C and IFunds duringmid-March,preserving most of the gains before exiting stocks altogether.
The new system would've also bought the C and S Funds when I went to a 100% stock allocation from the close of 10 May to the close of 31 May this year. Instead of losing allmy 2005 gains as the I Fund tanked,it would've gained somewhere in the +2.5 to 3% range. Woulda, coulda, shoulda, I know, but I'll be ready next time.
I'm still 100% in theG Fund. Bothmy stock and bond timing modelhavesell signals.And while I use systems, and not charts, to determine my allocations, I prepared a chart of the S&P 500 here:
http://charts.dacharts.com/2005-06-26/SystemTrader07.png
Last week was a big test for the S&P 500. It was close to surpassing its March high..which was actually the high for the last few years. Breaching this would've been very bullish. Instead, it failedmiserably. While I neverpredict where or how farthe market will go, I will say that things aren't looking up for now.
ST
SystemTrader
Member
imported post
An update to the chart I posted Sunday, in case anyone is interested.
http://charts.dacharts.com/2005-06-30/SystemTrader09.png
I believe Spaf has posted this before, but for a good primer on understanding the primary trend and basic price action, see this link:
http://www.stockcharts.com/education/MarketAnalysis/dowtheory1.html
Have a great 4th,
ST
An update to the chart I posted Sunday, in case anyone is interested.
http://charts.dacharts.com/2005-06-30/SystemTrader09.png
I believe Spaf has posted this before, but for a good primer on understanding the primary trend and basic price action, see this link:
http://www.stockcharts.com/education/MarketAnalysis/dowtheory1.html
Have a great 4th,
ST
SystemTrader
Member
imported post
I try to post my changes the evening (or weekend) beforehand, but this one is a little "last minute." I realized my bond timing model moved back to a "buy" signal after Friday's close.
New allocation: 100%F Fund
IFT date:5Jul 05
Moving from 100%G Fund to 100%F Fund as of COBTuesday,5Jul 05.
ST
I try to post my changes the evening (or weekend) beforehand, but this one is a little "last minute." I realized my bond timing model moved back to a "buy" signal after Friday's close.
New allocation: 100%F Fund
IFT date:5Jul 05
Moving from 100%G Fund to 100%F Fund as of COBTuesday,5Jul 05.
ST
SystemTrader
Member
imported post
I posted this earlier in my "Account" folder, before the cutoff time. Sorry,a little late in posting to my "Account Talk" folder.
As I typewe're within a hair of exceeding thehighs of last March...hard to believe!
-------------------------------------------------------------------------
New allocation: 100%G Fund
IFT date:12Jul 05
Moving from 100%F Fund to 100%G Fund as of COBTuesday,12Jul 05.
ST
I posted this earlier in my "Account" folder, before the cutoff time. Sorry,a little late in posting to my "Account Talk" folder.
As I typewe're within a hair of exceeding thehighs of last March...hard to believe!
-------------------------------------------------------------------------
New allocation: 100%G Fund
IFT date:12Jul 05
Moving from 100%F Fund to 100%G Fund as of COBTuesday,12Jul 05.
ST
SystemTrader
Member
imported post
New allocation: 100%F Fund
IFT date:15Aug 05
Moving from 100%G Fund to 100%F Fund as of COBMonday,15Aug 05.
ST
New allocation: 100%F Fund
IFT date:15Aug 05
Moving from 100%G Fund to 100%F Fund as of COBMonday,15Aug 05.
ST
SystemTrader
Member
imported post
A heads-up: I'm going to add a little tweakwhenever I'm in theF Fund, as I am right now.
I've noticed the F Fund almost always gets slammed on days when theNon-Farm Payroll (NFP) numbers are announced. NFP numbersalways seem to be better than expected and this drives up bond yields temporarily.
So, whenever I'm in the F Fundand the monthly NFP dayis approaching, I'll allocate 100% to the G Fund for that one day, then switch back to the F. If I'd done this for the whole year, my return would probably be 1-2% higher. The modest gains I've made in the F Fund have pretty much been erased by NFP days so far.
Note: I'm not going to comment on the accuracy of theemployment numbers. There's been some discussion elsewhere on this board about the "hedonic" adjustments. Or you can read one person's view here:
http://www.[[financialsense.com/fsu/editorials/kirby/2005/0304.html
A heads-up: I'm going to add a little tweakwhenever I'm in theF Fund, as I am right now.
I've noticed the F Fund almost always gets slammed on days when theNon-Farm Payroll (NFP) numbers are announced. NFP numbersalways seem to be better than expected and this drives up bond yields temporarily.
So, whenever I'm in the F Fundand the monthly NFP dayis approaching, I'll allocate 100% to the G Fund for that one day, then switch back to the F. If I'd done this for the whole year, my return would probably be 1-2% higher. The modest gains I've made in the F Fund have pretty much been erased by NFP days so far.
Note: I'm not going to comment on the accuracy of theemployment numbers. There's been some discussion elsewhere on this board about the "hedonic" adjustments. Or you can read one person's view here:
http://www.[[financialsense.com/fsu/editorials/kirby/2005/0304.html
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