As I see some of you like mstrzerg's strategy (or modify from seasonal strategy) after I posted.
Here are some of comments from mstrzerg and other related to his strategy:
mstrzerg: Those dates were chosen using an algorithm which randomly modified the trade dates and funds to maximize returns. Repeat this about 1 billion times until you arrive at these numbers. While it yields impressive backtesting results, I'm not as happy with its real world performance.
Another professional tsp advice wrote: "I was intrigued by your results so I did some exploring on my own. I found if I used your dates and viewed them as potential windows of opportunity and applied traditional analysis to make a final decision the results were even more impressive. There were several instances where I would skip the trade entirely when the trend was obviously against it and other times I would let a trade ride longer than the exit date if the trend was running strong."
skiehawk11: mstrzerg, in your backtest you were able to duplicate a 10 year rolling seasonal strategy to predict the next year's strategy? Let me know if I read that correctly.
mstrzerg: Sort of... I really need to run it against just S&P500 data, using a stand-in for the G-fund. What I did:
Using data from 2003 to 2013 I developed a method for creating a seasonal trading pattern based on past years performance. This is where the crazy 20+% a year gains came from. Being suspicous, I tried a new strategy. If I created a pattern from 2003 data then applied it to 2004 data what would happen. Then take 03 and 04 data and apply it to 05. Continue until you run out of data. It worked great! Until 2008-09 where a change in market conditions caused the pattern to loose a ton of money AND miss the upside. Because of the crazy gains previously it still averaged about 7% through those years, but never recovered it's crazier high gains.
I messed around with this a bit more, trying different things, but ultimately have to recommend caution when dealing with backtesting. There is value there, but you have to be really careful how you apply it.
Keep up the good work and thanks for sharing.
Sometime I used his strategy when the trend is right and most of the times are not, as one of the professional advice aformentioned that there are several instances he would skip trade entirely. Each strategy or system has the strength and weakness or just like Dreamboat mentioned that other factors are affecting the market, so for this reasons not everyone willing to follow it 100%. As no one can predict the market, but based on historical we can learn from it and try to avoid as many mistake as we can to maximize our profit.
Here are some of comments from mstrzerg and other related to his strategy:
mstrzerg: Those dates were chosen using an algorithm which randomly modified the trade dates and funds to maximize returns. Repeat this about 1 billion times until you arrive at these numbers. While it yields impressive backtesting results, I'm not as happy with its real world performance.
Another professional tsp advice wrote: "I was intrigued by your results so I did some exploring on my own. I found if I used your dates and viewed them as potential windows of opportunity and applied traditional analysis to make a final decision the results were even more impressive. There were several instances where I would skip the trade entirely when the trend was obviously against it and other times I would let a trade ride longer than the exit date if the trend was running strong."
skiehawk11: mstrzerg, in your backtest you were able to duplicate a 10 year rolling seasonal strategy to predict the next year's strategy? Let me know if I read that correctly.
mstrzerg: Sort of... I really need to run it against just S&P500 data, using a stand-in for the G-fund. What I did:
Using data from 2003 to 2013 I developed a method for creating a seasonal trading pattern based on past years performance. This is where the crazy 20+% a year gains came from. Being suspicous, I tried a new strategy. If I created a pattern from 2003 data then applied it to 2004 data what would happen. Then take 03 and 04 data and apply it to 05. Continue until you run out of data. It worked great! Until 2008-09 where a change in market conditions caused the pattern to loose a ton of money AND miss the upside. Because of the crazy gains previously it still averaged about 7% through those years, but never recovered it's crazier high gains.
I messed around with this a bit more, trying different things, but ultimately have to recommend caution when dealing with backtesting. There is value there, but you have to be really careful how you apply it.
Keep up the good work and thanks for sharing.
Sometime I used his strategy when the trend is right and most of the times are not, as one of the professional advice aformentioned that there are several instances he would skip trade entirely. Each strategy or system has the strength and weakness or just like Dreamboat mentioned that other factors are affecting the market, so for this reasons not everyone willing to follow it 100%. As no one can predict the market, but based on historical we can learn from it and try to avoid as many mistake as we can to maximize our profit.
sad. CONGRESS WHY CANT MILITARY GET MATCHING?! YOU OVER PAYING SNAKES!!!!
