SystemTrader's Account Talk

[SystemTrader]

New Allocation for 2 Mar 06

New allocation: 100% G Fund

IFT date: 2 Mar 06

 

[FundSurfer]

What was your trigger?

Just feeling overbought?

 

[SystemTrader]

No, just following the system.

There are quite a few factors involved (seasonal, interaction between different stock indices, crude oil prices, etc.) and they're keeping my system right on the threshold of a buy vs. sell signal. It just tipped back over to the sell side again.

ST

Just feeling overbought?

 

[SystemTrader]

New allocation: 50% S Fund and 50% I Fund

IFT date: 27 Mar 06

 

[SystemTrader]

New allocation: 100% G Fund
IFT date: 4 Apr 06

 

[SystemTrader]

New allocation: 50% S Fund and 50% I Fund
IFT date: 12 Apr 06

 

[SystemTrader]

Out for Now...

New allocation: 100% G Fund
IFT date: 19 Apr 06

 

[SystemTrader]

Back In

New allocation: 50% S Fund and 50% I Fund
IFT date: 24 Apr 06

 

[Master]

The Nikkei seems to be falling hard. If european markets follow, I will emulate you and also jump from 100% G, but probably to 100% I.
Good luck!

 

[Birchtree]

I think I'd be inclined to wait on the next 1000 points before jumping - but if you are so inclined - jump and I'll hold the net for ya'll. Shake out time.

 

[SystemTrader]

Thanks for the input, Master. It's not always easy following my system, but I've definitely had better success with it than my "gut feel." I don't expect this to be a long-term move. I may be back in the G fund pretty soon.

So far, I'm surprised by the muted reaction of the EFA today re: the Nikkei's huge drop last night. The weakness of the U.S. Dollar may be propping it up. Of course, we know the I Fund doesn't always correlate with the EFA on a daily basis. But I won't be in the I fund until after COB today, anyway.

Take care,
ST

The Nikkei seems to be falling hard. If european markets follow, I will emulate you and also jump from 100% G, but probably to 100% I.
Good luck!

 

[SystemTrader]

April/May Seasonal Patterns

Here's an example of a seasonal trading strategy courtesy of a trading friend of mine.

April End-of-Month

If you buy the S&P 500 during the last two days in April and sell it at the close of the 3rd trading day of May, this has historically produced:

Winning Trades: 65%
Annualized Return while Invested: 47% (About six times the normal appreciation rate of the S&P 500)

Now, you may think this is just another backtested, "works-great-in-hindsight" strategy. However, some traders have known and recommended this since 1995. If you'd been doing this every year since then, the results would be

Winning Trades: 55%
Annualized Return while Invested: 58% (Even higher than 1942-1995's results for the S&P 500)

Of course, the April End-of-Month strategy doesn't always work, and I don't follow it verbatim. (I use a variation.) However, the idea is to do as many profitable things like this as possible to stack the odds in your favor.

So what happens after this period? The post-Cinco de Mayo effect:

If you owned the the S&P 500 starting on the close of May 5th (or the next trading day if the 5th falls on a weekend) since 1942, you'd have the following results:

Days Later %Winners Compounded annualized return:
1st day later 44% winners -12.9%
2nd day later 50% winners -21.0%
3rd day later 41% winners -22.4%
4rth day later 44% winners -18.8%

So buying the S&P 500 at the close on May 5th and holding four days historically gives you a -18.8% annualized return since 1942.

ST

 

[SystemTrader]

New allocation: 100% G Fund
IFT date: 28 Apr 06

 

[SystemTrader]

Update: April/May Seasonal Patterns

Here's how the two April/May seasonal strategies I mentioned on 27 April performed this year:

#1: Buy the S&P 500 during the last two days in April and sell it at the close of the 3rd trading day of May: a gain of 0.19% or 10.23% compounded annually.

#2: "The Cinco de Mayo exit" (sell on the 5th day of May and wait 4 days): avoided a loss of -1.5% or -60.04% compounded annually.

Overall, the bullish seasonal strategy #1 performed about the same as historical buy-and-hold performance for the S&P 500. The bearish strategy #2, however, did a very good job of avoiding a large loss that mostly occured today.

Here's an example of a seasonal trading strategy courtesy of a trading friend of mine.

April End-of-Month

If you buy the S&P 500 during the last two days in April and sell it at the close of the 3rd trading day of May, this has historically produced:

Winning Trades: 65%
Annualized Return while Invested: 47% (About six times the normal appreciation rate of the S&P 500)

Now, you may think this is just another backtested, "works-great-in-hindsight" strategy. However, some traders have known and recommended this since 1995. If you'd been doing this every year since then, the results would be

Winning Trades: 55%
Annualized Return while Invested: 58% (Even higher than 1942-1995's results for the S&P 500)

Of course, the April End-of-Month strategy doesn't always work, and I don't follow it verbatim. (I use a variation.) However, the idea is to do as many profitable things like this as possible to stack the odds in your favor.

So what happens after this period? The post-Cinco de Mayo effect:

If you owned the the S&P 500 starting on the close of May 5th (or the next trading day if the 5th falls on a weekend) since 1942, you'd have the following results:

Days Later %Winners Compounded annualized return:
1st day later 44% winners -12.9%
2nd day later 50% winners -21.0%
3rd day later 41% winners -22.4%
4rth day later 44% winners -18.8%

So buying the S&P 500 at the close on May 5th and holding four days historically gives you a -18.8% annualized return since 1942.

ST

 

[SystemTrader]

New allocation: 50% C Fund and 50% S Fund
IFT date: 25 May 06

 

[Wheels]

The Tally leader has made a move. I, for one, am taking note.

Dave
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[SystemTrader]

New allocation: 100% G Fund
IFT date: 26 May 06

 

[SystemTrader]

Unfortunately, I was a day behind my system on this one. The system's buy signal was at the close on 5/24, so I should've pocketed 1%+ already. Oh wellThe good news is that I now have provisions in place to ensure this won't happen again.

Speaking of which, I just posted a new allocation (back to 100% G) and this will be my last one here. My site is now up and running. I'll be sending FundSurfer my allocations so he can continue to include me in the monthly/yearly tallies.

I'll still be writing the TSP Tip articles and will visit the other folders here from time to time. Hope everyone has a nice 3-day weekend!

The Tally leader has made a move. I, for one, am taking note.

Dave
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[Wheels]

Unfortunately, I was a day behind my system on this one. The system's buy signal was at the close on 5/24, so I should've pocketed 1%+ already. Oh wellThe good news is that I now have provisions in place to ensure this won't happen again.

Speaking of which, I just posted a new allocation (back to 100% G) and this will be my last one here. My site is now up and running. I'll be sending FundSurfer my allocations so he can continue to include me in the monthly/yearly tallies.

I'll still be writing the TSP Tip articles and will visit the other folders here from time to time. Hope everyone has a nice 3-day weekend!

You played this pretty well I'd say, especially if we end up today and then the lows are retest sometime next week. You should maintain the tally lead for a while which should be a nice ad for your site. Are you sharing the link here or no. My fear (since I didn't yet get back in) is that those lows will not be retested and the market will not give me another opportunity to get back in.

Dave
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[SystemTrader]

Hi Dave,

I'm not putting the link on here, since this site hosts Rev. Shark's service. I don't want there to be any conflict of interest.

As for the markets, this should be an interesting week--and an interesting summer. I thought we'd see a bounce when the S&P 500 hit the 1250 area last week. If that area is re-tested and decisively broken to the downside, it won't bode well for stocks.

Another scenario is that the S&P will stay in a tight channel this summer between 1250-1300. And I guess we could have a strong breakout to new highs like last summer. But that doesn't look likely right now, and historically it doesn't usually happen until the fall.

Take care,
John

You played this pretty well I'd say, especially if we end up today and then the lows are retest sometime next week. You should maintain the tally lead for a while which should be a nice ad for your site. Are you sharing the link here or no. My fear (since I didn't yet get back in) is that those lows will not be retested and the market will not give me another opportunity to get back in.

Dave
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