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Thread: 10 Month Modified SMA Method (M-SMA)

  1. #13

    Join Date
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    Exclamation Re: 10 Month Modified SMA Method (M-SMA)

    That is a very interesting spreadsheet! Thank you for sharing it.
    It is as if the market knowledge is compounding (like interest) daily since
    Tom got this going!
    I'm so lucky!

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  3. #14

    Join Date
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    Default Re: 10 Month Modified SMA Method (M-SMA)

    Thanks Grandma!

    As you said a couple of days ago in another thread, it's about sharing idea's with each other and then making your on decisions as to what is best for you. I don't believe I would have changed anything if it hadn't been for JTH's MARCON thread, Birch's thread comments, Akpackfan and Happy Trails moral support, and many other contributors.

    Now today I'll be going on JTH's recommendation to test the system using the last day of the first and third weeks of a given month. (Maybe he just knew that would keep me busy for a while, thus I can't post) Just KIDDING!

    If I'd known how much enjoyment I would get from this site and how great the folks are here, I'd joined long ago.

    A California members meeting??? We have to get passports and VISA's right?

    D

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  5. #15

    Default Re: 10 Month Modified SMA Method (M-SMA)

    Hey David,

    I have an idea if you have time to check on it. Since you are going to look at the 1st and 3rd week, how about also looking at a modified SMA with a weekly check (weekly prices for the last 10 months / 40 using the rules you have developed for your existing system)? I would be curious to know if a weekly check could potentially reduce downside risk without hurting return. Only if you have the time and interest to check on it.

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  7. #16

    Join Date
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    Sahuarita, AZ, USA
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    Default Re: 10 Month Modified SMA Method (M-SMA)

    Quote Originally Posted by Happy Trails View Post
    Hey David,

    I have an idea if you have time to check on it. Since you are going to look at the 1st and 3rd week, how about also looking at a modified SMA with a weekly check (weekly prices for the last 10 months / 40 using the rules you have developed for your existing system)? I would be curious to know if a weekly check could potentially reduce downside risk without hurting return. Only if you have the time and interest to check on it.
    HT,

    You are suggesting a 40 period SMA in the above post and David is actually using a 20 period SMA with his mid-month thrown in. I ran a quick spreadsheet using the weekly closing price with a 10 week SMA over Jan - Dec 2010. Using David's rules, it generated a buy S signal on 31 Dec 09 so you would have been in the S fund during the first week of Jan 10. From there it had a cumulative return of 49.86% by the end of 2010. It would also have generated another 6.47% in 2011 as of the close yesterday. Might be worth backtesting the other years.

    One caveat with this system. If you get a fund change signal on Friday, you don't actually make the change until COB Monday. Not a huge deal when you're changing monthly, but becomes (possibly) a bigger deal as you go to weekly signals.

    Beavis
    I'd rather be lucky than good.

  8.  
  9. #17

    Join Date
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    Default Re: 10 Month Modified SMA Method (M-SMA)

    Hello HT,

    Great idea, I'll try that.

    Hi Beavis,

    This might be hard to explain but I'll give it a try. I think you made the same mistake that I DID when I first started out. It was hard to wrap my head around at first.

    Lets take a given week in your sheet. 26 Feb 10

    In the column "Allocation" is your prediction for the NEXT week thus those percentages can only be applied to compute your NEXT week earnings, not the current week.

    Look at the attached modified spreadsheet. I renamed "Allocation" to "Current Allocation" and added a new Column of "Future Allocation". The Future Allocation is your buy/sell signal for next week and will automatically be copied into next weeks "Current Allocation" columns.

    (I have a "Current Allocation" that is copied from the previous weeks prediction "Future Allocation")

    Glance back and forth between the Current and Future Allocation columns and you will notice that everything is delayed by 1 week.

    Gee, am I making any sense????

    Recalculate it would be 20.95% for 2010.

    D

  10.  
  11. #18

    Join Date
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    Sahuarita, AZ, USA
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    Default Re: 10 Month Modified SMA Method (M-SMA)

    Quote Originally Posted by david.alan.williams View Post
    Hello HT,

    Great idea, I'll try that.

    Hi Beavis,

    This might be hard to explain but I'll give it a try. I think you made the same mistake that I DID when I first started out. It was hard to wrap my head around at first.

    Lets take a given week in your sheet. 26 Feb 10

    In the column "Allocation" is your prediction for the NEXT week thus those percentages can only be applied to compute your NEXT week earnings, not the current week.

    Look at the attached modified spreadsheet. I renamed "Allocation" to "Current Allocation" and added a new Column of "Future Allocation". The Future Allocation is your buy/sell signal for next week and will automatically be copied into next weeks "Current Allocation" columns.

    (I have a "Current Allocation" that is copied from the previous weeks prediction "Future Allocation")

    Glance back and forth between the Current and Future Allocation columns and you will notice that everything is delayed by 1 week.

    Gee, am I making any sense????

    Recalculate it would be 20.95% for 2010.

    D
    Yeah I figured that one out. Instead of predicting the best fund for next week, it was telling me the best fund for last week. I also had the cumulative total wrong using simply addition instead of multiplying the percents; been a while since I worked with this stuff.

    Thanks for starting this process. I'm taking a look at the weekly data back to the same period you used. I'll let you know what I find out.
    I'd rather be lucky than good.


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  13. #19

    Default Re: 10 Month Modified SMA Method (M-SMA)

    Thanks to all of you who are willing to crunch the numbers and share your wisdom. You are appreciated.

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  15. #20

    Default Re: 10 Month Modified SMA Method (M-SMA)

    OK, so how do you all think the best way to implement this strategy would be in a brokerage account and/or an IRA?

  16.  
  17. #21

    Join Date
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    Default Re: 10 Month Modified SMA Method (M-SMA)

    Quote Originally Posted by Happy Trails View Post
    Hey David,

    I have an idea if you have time to check on it. Since you are going to look at the 1st and 3rd week, how about also looking at a modified SMA with a weekly check (weekly prices for the last 10 months / 40 using the rules you have developed for your existing system)? I would be curious to know if a weekly check could potentially reduce downside risk without hurting return. Only if you have the time and interest to check on it.
    Hello Again,

    I tried this and even tried changing other factors to boast the percentage but it didn't work. I think it was pulling us out of the F Fund too soon, before everything settles, and was causing a greater loss. Tried all sorts of safeguards also.

    Also tried the end of the 1st and 3rd week as JTH suggested. It was about the same but it was a lower percentage.

    Thanks for all the suggestions! We will keep trying to improve version 3.

    D

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  19. #22

    Default Re: 10 Month Modified SMA Method (M-SMA)

    Thanks for checking it David!

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  21. #23

    Join Date
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    Default Re: 10 Month Modified SMA Method (M-SMA)

    David

    From 1950 to 2010 the most profitable Monthly S&P 500 moving average is the 16.

    26 trades, 80.77% profitable, 21 winning trades, 5 losing trades, Average trade 20.95%, Average Winning trade 26.66%, Average Losing Trade -3.01%

    Largest winning trade, 103.49% Largest losing trade -4.07%

    Average time in market 598.15 Days

    Those are under different conditions. Buy/Sell signals from the Monthly close are at triggered the next day at the open.
    Retired, 100G (Paper Trading)_ BLOG: Stats for March, Stats for Q1, 2024 Stats

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  23. #24

    Join Date
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    Default Re: 10 Month Modified SMA Method (M-SMA)

    <ExtremeWX-- Started following the 10 Mo SMA>

    Hey Bryan! Where's my $19.95??



    D

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