Thread: amoeba's Account Talk

Amoeba,

You trade within 1 Standard Deviation of S&P500 Daily Returns. That is, you tend to make moves based on normal market noise. Market noise is about -1% through +1%. Any move within this range happens about 70% of the time. It is VERY bad to be out of the market based on nothing more than market noise since the market moves up in general.

I am trying to get the 2nd Standard Deviation of actual S&P500 Daily Returns. Personally, I will probably consider those noise as well. They should occur about 95% of the time. Reality is a bit different. The returns a peaky and they have fat tails. That source summarizes the StD for each decade and from 1950 onward. Very nice, but would have liked the actual percentage breakdown. But, basically 96% of the time the S&P500 daily returns fall within 2 StDs.

I am interested in computationally tracking on market downward turns. I got the Top/Bottom 20 days from Wikipedia and that demonstrated a correlation but it wasn't fine enough. I think I am interested in the Top/Bottom 50. That might catch the turns. I want to avoid market head fakes.

Anyway, consuming one of your two IFTs on a -0.50% Daily move means that you are out of the market a huge percentage of the time.

Last week witnessed a grossly overextended rally fueled by reaction to Fed comments:

This ignored a tick up in jobless claims, declining oil inventories, rising PPI, and hence, other slight signs of inflation. Plus - volatility has fallen to concerning (low) levels.

I am expecting this week to be flat, but tomorrow (7/15/13), to be slightly negative; A 0.17% drop in the share price of the C-fund, with perhaps a further drop on wednesday.

I see no near-term opportunity to make money at these levels; but markets can, and have in the past - gone to much farther overextended levels and multiples. I say no. Staying out for now.

Money Talks and Those With the Most Money Have the Most Control? | Marty Chenard | Safehaven.com

My inability to properly strategize and invest continues, but for the sake of insanity, I continue with my daily prediction, confident in my efforts to build to a weekly prediction - less confident that I will be right even a quarter of the time:

Tomorrow will witness the first of several larger moves - this first one, tomorrow (7/16/13) will be an exhaustion sell on the order of a negative 0.51% decline in the C-fund; more of a decline in the S-fund. Market could bop around directionless for a few days - unless there is a psychological challenge level, say, to or just short of 1,700 in the SPY? There isn't any economic data which would justify it, but who ever said there has to be.

If this happens (a barrier challenge), and tomorrow is down sharply - then it could be a shorter-term albeit risky opportunity. Not for the faint.

0.51% one way or the other is well within a normal market day...

You have to allow that deviation from the mean if you are investing in the 'C Fund'. Now, instead of worrying about a half point here and there should't one be more worried about:

Date S&P500 Percent

29-Sep-2008 1106.39 -8.79%
30-Sep-2008 1166.36 5.42%
1-Oct-2008 1161.06 -0.45%
2-Oct-2008 1114.28 -4.03%
3-Oct-2008 1099.23 -1.35%
6-Oct-2008 1056.89 -3.85%
7-Oct-2008 996.23 -5.74%
8-Oct-2008 984.94 -1.13%
9-Oct-2008 909.92 -7.62%
10-Oct-2008 899.22 -1.18%
13-Oct-2008 1003.35 11.58%
14-Oct-2008 998.01 -0.53%
15-Oct-2008 907.84 -9.03%
16-Oct-2008 946.43 4.25%
17-Oct-2008 940.55 -0.62%
20-Oct-2008 985.4 4.77%
21-Oct-2008 955.05 -3.08%
22-Oct-2008 896.78 -6.10%
23-Oct-2008 908.11 1.26%
24-Oct-2008 876.77 -3.45%
27-Oct-2008 848.92 -3.18%
28-Oct-2008 940.51 10.79%
29-Oct-2008 930.09 -1.11%
30-Oct-2008 954.09 2.58%
31-Oct-2008 968.75 1.54%
3-Nov-2008 966.3 -0.25%
4-Nov-2008 1005.75 4.08%
5-Nov-2008 952.77 -5.27%
6-Nov-2008 904.88 -5.03%
7-Nov-2008 930.99 2.89%
10-Nov-2008 919.21 -1.27%
11-Nov-2008 898.95 -2.20%
12-Nov-2008 852.3 -5.19%
13-Nov-2008 911.29 6.92%
14-Nov-2008 873.29 -4.17%
17-Nov-2008 850.75 -2.58%
18-Nov-2008 859.12 0.98%
19-Nov-2008 806.58 -6.12%
20-Nov-2008 752.44 -6.71%
21-Nov-2008 800.03 6.32%
24-Nov-2008 851.81 6.47%
25-Nov-2008 857.39 0.66%
26-Nov-2008 887.68 3.53%
28-Nov-2008 896.24 0.96%
1-Dec-2008 816.21 -8.93%

There were some wonderful head fakes in that mess. I got caught in a few of them. We could make some money together if we could read that data (and the data that led to it). We could make some money if we could figure out a reasonable allocation that would have survived that period. I was lucky, not good. I would rather be good, not lucky...

Right now my meager collection of brain cells is tracking on covariance - but, I think that would miss the value of investments having their own waves. I have no clue, but it is there somewhere...

Unbelievably light trading today, 76 million SPY shares, suggests all eyes on the fed and BB's remarks tomorrow:

No matter how much he tries to be neutral, anything but a stiff upper lip will produce a reaction, and absent that - it will be a big one. My guess is that it will be negative....not the comments themselves....but the market reaction - and it will be 1 hour after the IFT deadline, so if you wade in on the expectation of an overactive downside move, it will be a guess.

Mine for 7/17/13 is an intermediate drop in the C-fund share price; down 1.21%; SPY to close 1,660, give or take 1 point.

BB speaks, people listen:

No end in sight for QE and, even after it ends, no end in sight for low interest rates, and he says, will hold securities for a "period of time" so may not sell these either.

Translation: pump the market. Expect a new high every day. Prediction for 7/19/13 is up 0.74% in the C-fund share price. SPY close at 1,701. Putting a few chips in the pot for this one (40% S fund). I am also predicting an exhaustion sell monday, so watch out, but no break in the uptrend.

Just about flat everywhere:

Very low volume; economics meeting expects. or thereabouts; the drift up to 1,700 did not quite happen, but then no breakdown either and no reason to.

Threw another pile of chips at this; now 75% in the market; spread around a bit. I have no good experiences to learn from. No matter how short, or long, I have held position, I have ended up wanting.

I expect this (low volume, low volatility) to continue through the week; expecting a test and close above 1,700 this week. Expected C-fund close will be up 0.12% tomorrow (7/23/13). SPY close at 1,697.

Summer is a time for stomach churn. You should have enough in equities to get some bang, but not so much that you bang out.

My guess is that you are over-allocated in equities and you will bang out within a week. Maybe if that happens look into cutting your equities by slices - like drop to a 50% holding. And, hold that. Don't burn an IFT - which you can do by burning it in a week or by getting all out and needing to burn one in early August to get an equities position. Again, I don't think you can sleep with a 75% holding. We shall see...

This year is very odd with the steep July move; as well as cresting a SPY P/E of 15 for the first time in years; I am watching this closely - my tolerance (for gains or losses) doesn't have to be high with 2 more IFT's coming up in a week. I think I can end up ahead on this one.....we'll see......

I actually like your allocation, for what it is worth...

I should have checked it before opening my yak. A nice balanced allocation...