Thread: F R O "FrizzB. Rolo Oscillator ACCOUNT TALK

hehe...Oh, now I feel pressure! lol

Attachedis a screenshot of the FRO as of June 4th.

Notation:
δ = Differential
σ = Standard Deviation, upper or lower
1σ = One standard deviation, 68% of the time
2σ = Two standard deviations, 95% of the time
3σ = Three standard deviations, 99.7% of the time
See this link for more information.

If the σ listed are higher, I am bullish; if lower, bearish.

[line]

{Fund} = δ / {zero-base} / {1σ} / {2σ} {last tick direction}

Sδ=295:277/304/330 :}

Cδ=101:97/113/129 :}

Iδ=35:30/18/6 :{

[line]

My allocation is holding at 70S/30C

I have updated my highs and lows for the S to I, and the S to F differentials. With Rolo's help, we have taken the top high's and low's in each cycle and then divided that by the amt of entries.

F FUND = HIGH'S (1617/5=323) LOW'S (1235/5=247)

I FUND = HIGH'S (395/9=44) LOW'S (103/8=13)

I am going to do a 6 month history, so after June, I will be disregarding theJanuary's high's and low's and adding the July's high's and low's, and update accordingly. With this information, I am looking for these numbers.

F FUND will be in the range of 270 to 315, and the I FUND will be 20 to 40.

Rolo, what is your opinion.

Rolo was answering, while I was answering, kool, he beat me to it.

At first, I agreed; then I remembered why I used standard deviations. The normal distribution process "clips" those extraordinary highs for you (third SD). Read the above link I posted for an explanation and illustration.

You can "tighten" the SD's on the spreadsheet by playing with the zero-base. If you lengthen the moving average duration, you will get a smoother, less volatile curve. However, you lose accuracy when the market is more volatile.

I intend to re-examine the way I calculate zero-base; it is a simple moving average and I want to use exponential moving averages as soon as I figure out how...and what that exactly means, heh.

haha...did it again.

Tell you the truth Rolo, I had alot of people not understanding what I was doing, and how I was doing it. Now with yours in the mix they will totally be confused. Thanks

Frizz B. wrote:

Tell you the truth Rolo, I had alot of people not understanding what I was doing, and how I was doing it. Now with yours in the mix they will totally be confused. Thanks

LOL!

But I made a picture!

your right, i am confused.

Rolo, you are the one who made the pictures, now you get to explain it.

Awwwwwoh!

Okay.

1. The three fund's plotted, from top down: S, C, I
   
2. The yellow line is the differential (δ, lower-case Greek Delta) as designed by FrizzB no ee.
   
3. The grey line is the "zero-base", as explained by FrizzB no ee as, "You have to adjust...market conditions." I just plotted a moving average to show the "center".
   
4. The orange line marks one standard deviation (σ, lower-case Greek Sigma, or English SD) above the zero-base, and the lime line is 1σ below. These attempt to plotthe high and low differentials Frizz mentions. It is no coincidence that he observed those numbers, for the differential will stay within 1σ 68% of the time.
   
5. The red and green lines mark 2σ (two standard deviations). These plot the times Frizz says "I have seen it go as high as..." The δ will stay within 2σ 95% of the time.
   

Hover over the linesin the spreadsheetto see their values. Buy points are when the δ is low and sell signals are when it is high. For the eye-opener, correlate the δ peaks and valleys to the fund's share price by date and imagine buying and selling accordingly.

Download, unzip the attachment and open it. You can highlight and copy the whole row of share prices from the TSP site and paste it into the G Fund's cell for the daily update; the entire row will fit perfectly. Next, change the "G43" in the yellow cells to G42. This is to include the current date in the standard deviation formula. Click on the chart tab at the bottom.

We are at 295 today, if at 8:45 central time, we are above a 1% gain in the S fund, I will be transferring my funds to the G fund. At 1% we will be at 308 and hopefully it will still climb. I wish we could trade at the end of the day for tommorrow, instead of having to be waiting for the close.