Thread: Charmed855's Post FV analysis

I'm not quite getting this - are you saying that when an +FV was applied and then subsequently returned the next, the day after that (i.e. two days after the initial +FV was applied), was green 9 out of 11. Part two: the same process in reverse (a negative FV on day one, returned on day two and day three was green 7 out of 10 times)?

If this is the case - you are on to something - i.e. playing the backside of FVs; which is nice because there is very little TSP can do to disrupt the strategy.

Originally Posted by charmed855

I just did a quick check and found that when a -FV followed a +FV, the day following the -FV was green 9 out of 11 times (+4.07% cumulative return). I thought I was on to something, but found days after a -FV/+FV cycle were nearly as good, 7 of 10 green (4.54%). Without more research, I'm guessing that says more about the overall market than the FV effect.

Originally Posted by Griffin

If this is the case - you are on to something - i.e. playing the backside of FVs; which is nice because there is very little TSP can do to disrupt the strategy.

Surprisingly, that is what I'm finding. I really owe this a little more analysis - I wouldn't want anyone buying into the I fund based on 20 minutes of research. Now, if only I could get my hand on a complete set of FV dates for the last 12 months+.

Originally Posted by charmed855

I thought I was on to something, but...says more about the overall market than the FV effect.

Originally Posted by Griffin

you are on to something

I agree you should investigate this further!!

Sure, the market is up more days than down, so it may be nothing (or it may actually be the reverse effect you are expecting), but I was also amazed when Ebb first published his statistics on the Ebbtracker in that it was only "in" on up days something like 0.5% more than a random allocation would have been and "out" on down days 0.5% more than random (if I'm interpreting that right), but look at the huge effect on overall returns.

So if you can just tweak the monkey darts in your favor 0.5% of the time, that translates into a tremendous advantage and another useful tool for predicting or corroborating.

Thanks for the insight.

Originally Posted by charmed855

Now, if only I could get my hand on a complete set of FV dates for the last 12 months+.

Search the I-fund threads for "Greg" while his profile has been erased, the posts remain.

It's a strategy that makes sense - we know the FV is designed to err on the side of not diluting the funds, that means that the FV usually serves the purpose of making those.....

1) buying in pay more, when the market is moving up - which means that they are designed to overshoot the market - so the market comes up short on day two (and therefore the fund is priced lower then the actual market value when it gives back the FV) and has to be readusted higher day 3. I do see the strategy being useful in this situation but to catch the bottoms you would have to use the domestics initially.

2) (reverse scenario) moving out (capital preservation) the FV shaves off the profit you made while in so when the market is moving down, the fund price is dropped significantly below market value on day one, day two the fund gets back the FV, but since the turn arounds lately have been so quick, any readjustment gets rolled up into the dip buying on day three which is rebounding from two down days. I don't see the strategy being useful in this situation. And again, if you want to make the first strategy useful and still play the bottoms, then you need to use the domestics on the upswing. This assumes that the market goes from the top of the channel to the bottom of the channel in the two days effected by the -FV and rebounds on the third.

Originally Posted by Griffin

Search the I-fund threads for "Greg" while his profile has been erased, the posts remain.

Griffin - that's what I did. I found up to six months before he was booted . After a little more calculation, here is what I found.

Some background. A “Post-FV” qualifying day is the day immediately following a two day +/-FV or -/+FV cycle. If a three day FV cycle occurred, I gathered two data points (the middle day being a compound FV of some type). I had FV data on hand for the period of 12/06/2006 - 6/18/2007 to analyze. Keep in mind that the total I fund (cumulative daily returns) was 16.68 for this period.

Post +/-FV Returns (total returns for day immediately following a two-day +FV/-FV cycle):

Occurrences: 9 days (8 up / 1 down)
Average daily return: .45%
Total return: 4.03%
Average positive return: .58%
Average negative return: -.62%

Post -/+FV Returns (total returns for day immediately following a two-day -FV/+FV cycle):

Occurrences: 10 days (7 up / 3 down)
Average daily return: .45%
Total return: 4.54%
Average positive return: .82%
Average negative return: -.39%

As you can see, there isn't a huge difference between the post -/+ and +/- FV ... maybe a little more return upside to a post -/+ but more consistency for the post +/-. In the following data set, I combine the two sets of data.

Post +/- AND -/+ Returns (combined returns for above scenarios, +/-FV and -/+FV)

Occurrences: 19 (15 up / 4 down)
Average daily return: .45%
Total return: 8.57%
Average positive return: .69%
Average negative return: -.45%

Now, to compare the post FV cycle days to the rest of the returns that could be earned in the period (Dec-Jun):

Non-post FV Returns (these are returns from every other day in the period [minus the above post-FV days])

Occurrences: 129 (78 up / 51 down)
Average daily return: .06%
Total return: 8.11%
Average positive return: .53%
Average negative return: -.65%

Given that the total return for the period was 16.68%, I find it pretty amazing that you could gain more than half of that by only playing the post FV cycles which made up for just 14.7% of the days in this 6 month period!


I'll leave this for others to possibly expand on or knock holes in.

By the way, sorry for high-jacking your thread Paladin.

c855

Originally Posted by charmed855

Given that the total return for the period was 16.68%, I find it pretty amazing that you could gain more than half of that by only playing the post FV cycles which made up for just 14.7% of the days in this 6 month period!

I'll leave this for others to possibly expand on or knock holes in.

c855

See, I knew there might possibly be something to this. Thanks for doing all the analysis!

This makes sense in a bull market, if you consider the presence of an FV in either direction an indicator of volatility, it makes sense that the majority of the gains (and probably the losses as well, but in a bull market the average is up, up , up) would be made in these times of volatility.

Do you have, or could you reasonably easily obtain, the information on how these days capture the gains/losses of the C & S funds as well? I suspect they will yield similar results since the volatily tends to affect all the equities relatively simultaneously. But it would be interesting to note if there were a significant difference.

Originally Posted by qibovin

Do you have, or could you reasonably easily obtain, the information on how these days capture the gains/losses of the C & S funds as well? I suspect they will yield similar results since the volatily tends to affect all the equities relatively simultaneously. But it would be interesting to note if there were a significant difference.

I agree with qibovin here -

The question I would be looking for the analysis to answer is: how does the I fund stack up in returns following an FV cycle, compared to the domestic stocks.

Again, this follows along the theory I mentioned earlier about the playing the backside of FVs. If I am not mistaken, wheels had done a similar analysis about a year ago or at least discussed his conclusions. I don't know if that info is useful.

Originally Posted by qibovin

Do you have, or could you reasonably easily obtain, the information on how these days capture the gains/losses of the C & S funds as well? I suspect they will yield similar results since the volatily tends to affect all the equities relatively simultaneously. But it would be interesting to note if there were a significant difference.

Q, Here's a break down for each of the funds. I tightened up my formulas so you might see a small change from my earlier post (fortunately, it gets better, not worse ).

Again, some background for reading: A “Post-FV” qualifying day is the day immediately following a two day +/-FV or -/+FV cycle. A +/- FV cycle is one that begins with a +FV and finishes with a -FV. A -/+ FV cycle starts with a -FV and ends with a +FV. If a three day FV cycle occurred, I gathered two data points (the middle day being a compound FV of some type). I had FV data on hand for the period of 12/06/2006 - 6/18/2007 to analyze.


Total fund returns during sample period (6 Dec-18 Jun):
C: 9.17%
S: 9.69%
I: 13.44%

Post +/- FV Total Returns (total returns for day immediately following a two-day +FV/-FV cycle)
C: 1.13% (9 occurances, 7 up / 2 down)
S: 1.10% (9 occurances, 6 up / 3 down)
I: 4.03% (9 occurances, 8 up / 1 down)

Post -/+ FV Total Returns (total returns for day immediately following a two-day -FV/+FV cycle)
C: 1.99% (10 occurances, 5 up / 5 down)
S: 4.22% (10 occurances, 6 up / 4 down)
I: 4.54% (10 occurances, 7 up / 3 down)

Total Post FV Returns (sum of the previous two data sets):
C: 3.12% (19 occurances, 12 up / 7 down)
S: 5.32% (19 occurances, 12 up / 7 down)
I: 8.57% (19 occurances, 15 up / 4 down)

Non-Post FV Returns (returns for days in the sample period that did not follow a FV):
C: 6.05% (113 occurances, 62 up / 51 down)
S: 4.37% (113 occurances, 65 up / 48 down)
I: 4.87% (113 occurances, 67 up / 46 down)

Percent of total fund returns realized during sample period (Dec-Jun) that fell on Post-FV days:
C: 34.0%
S: 54.9%
I: 63.7%

Percent of days in sample period that triggered a Post-FV buy signal:
14.4% (19 out of 132).

So, we can see that the S and C funds benefit as well, especially after a -/+ FV (versus a +/-). It's interesting that the +/- FV sequence does not seem to effect the I fund. Again, this is a relatively small sample size (6 months) but it looks promising and seems to support common sense as you mention.

Charmed855,

Excellent work - that is what I am talking about - that fits my "start a rally in domestics and switch over to internationals after the FV" hypothesis.

Originally Posted by charmed855

Post +/- FV Total Returns (total returns for day immediately following a two-day +FV/-FV cycle)
C: 1.13% (9 occurances, 7 up / 2 down)
S: 1.10% (9 occurances, 6 up / 3 down)
I: 4.03% (9 occurances, 8 up / 1 down)

Originally Posted by charmed855

Q, Here's a break down for each of the funds.

Awesome! Thanks.

Originally Posted by charmed855

7 up

This reminds me of a story I read recently in Trump/Kiyosaki's Why We Want You To Be Rich about persistence:

Some guy who really liked soda tried to market "3 up," but it failed. He then tried "4 up," then "5 up," and "6 up," which also failed, so he gave up. Then along comes another guy who markets "7 up," and the rest is history.

Anyway, the story ended there, but I had to laugh as I was reading this post and was suddenly confronted with the conundrum of what might have happened if somebody were stuck with having to market

Originally Posted by charmed855

8 up

I'm not so sure the same lesson could have been taught with this ate-up epithet.

Anyway, I digress...

Originally Posted by charmed855

So, we can see that the S and C funds benefit as well, especially after a -/+ FV (versus a +/-). It's interesting that the +/- FV sequence does not seem to effect the I fund. Again, this is a relatively small sample size (6 months) but it looks promising and seems to support common sense as you mention.

Does anyone else see how this knowledge could be used to avoid much of the volatility of the S and I funds but make better returns overall? This could be the new "modified Birchtree strategy." Simple remain 100% C fund most of the time, with a one day excursion to the I fund after every FV. This could result in capturing 66% of the C fund returns PLUS 64% of the I fund returns. In 2006 that would have been over 27% return for the year.