Sentiment Survey System Return as of - 07/02/09
|
Sentiment |
System |
G Fund |
F Fund |
C Fund |
S Fund |
I Fund |
20% Each |
|
2009 Totals: |
+0.39% |
+1.38% |
+2.26% |
+0.74% |
+5.48% |
+4.95% |
+3.56% |
|
|
|
L 2040 |
L 2030 |
L 2020 |
L 2010 |
L INC |
|
|
|
|
+3.34% |
+3.28% |
+3.11% |
+2.28% |
+2.19% |
|
* Back-tested result
To take the sentiment survey each week via
e-mail
click here.
In a bull market, when the Ratio is:
2.00 and higher, it tends to be bearish
1.25 or less, it tends to be bullish.
In a bear market, when the Ratio is:
0.99 and higher, it tends to be bearish
0.49 or less, it tends to be bullish.
How to use this system:
If the ratio is 1.25 or less, a buy signal is given.
Stay in the buy allocation, using the allocation in either
method #1 or #2
below, until a sell signal is given (ratio of 2.00 or
higher). Stay in the sell allocation (100% G fund) until another buy signal is given.
** The sentiment system seemed to have
lost its effectiveness with
the bear market playing out. It
needed an adjusted. At the risk of data-mining, I
have played with some variations - adjusting the buy/sell
signals based on the position of the 50-day moving average
The original rules were:
When the Bulls to Bears Ratio is:
2.00 or higher, it is overly bullish, which is bearish for the
market and we have a sell signal.
Less than 1.25, it is overly bearish, which is bullish for the
market and we have a buy signal.
The change is going to be this:
If the 50-day exponential moving average (EMA) of the S&P 500 is above the 200-day
exponential moving average (EMA), we will use the above original ratios.
If the 50-day EMA of the S&P 500 is below the 200-day
EMA, we will use these new ratios:
1.00 or higher, it is overly bullish, which is bearish for the
market and we have a sell signal.
Less than 0.50, it is overly bearish, which is bullish for the
market and we have a buy signal.
The theory being that if the 50-day EMA is above the 200-day EMA, we
will consider ourselves in a bull market. If the 50 is below
the 200, we'll consider it a bear market.
The other change
is that instead of always using the S-fund for a buy signal, we will
use the C-fund when on a buy signal and the 50-day moving average of
the S&P 500 is below the 200-day moving average.
In 2008, the ratio has never reached 2.00 so it has been on a buy
signal, and 100% S-fund all year. Obviously this is
unacceptable. Through Friday 11/14/08, that was a loss of
42.85%, the same as the S-fund. The new system would have
given us a loss of "just" 6.14%.
I will start 2009 with the new adjustment and we'll see how it goes.
Thanks,
TSP Talk
|
|
