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  • Sentiment Survey Results

    Sentiment Survey System Return as of
    - 11/06/09
    Sentiment System G Fund F Fund C Fund S Fund I Fund 20% Each
    2009 Totals: +3.14% +2.51% +6.11% +21.05% +26.00% +27.38% +16.99%
      L 2040 L 2030 L 2020 L 2010 L INC  
      +20.82% +18.66% +16.01% +8.53% +7.27%  
         
    System 2006 Results 2007 Results 2008 Results  
    **New - +27.96% * +21.32% * -6.14% *  
    Original - +27.96% * +21.32%    -38.32%      
    * 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:

    The surveys are posted on the site, and emailed out, each Thursday, and the final ratio is posted here each Friday morning.

    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 w
    ith 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


  •   *Starting New System Parameters in January '09      
        Effective 8/13/09: Bull Market Rules Apply      
    Week              S&P 500  S&P 500 Buy/   Bull/
    From:   To: Bulls  Bears Ratio   gain/loss Close Sell Fund Bear
    11/09/09 - 11/13/09 54% 34% 1.59 -1     Buy S Bull
    11/02/09 - 11/06/09 37% 49% 0.76 -1     Buy S Bull
    10/26/09 - 10/30/09 46% 41% 1.12 -1 -4.02% 1036.19 Buy S Bull
    10/19/09 - 10/23/09 54% 32% 1.69 -1 -0.74% 1079.60 Buy S Bull
    10/12/09 - 10/16/09 55% 34% 1.62 -1 1.51% 1087.68 Buy S Bull
    10/05/09 - 10/09/09 37% 50% 0.74 -1 4.51% 1071.49 Buy S Bull
    09/28/09 - 10/02/09 39% 49% 0.80 -1 -1.84% 1025.21 Buy S Bull
    09/21/09 - 09/25/09 55% 35% 1.57 -1 -2.24% 1044.38 Buy S Bull
    09/14/09 - 09/18/09 51% 34% 1.50 -1 2.45% 1068.30 Buy S Bull
    09/08/09 - 09/11/09 40% 45% 0.89 -1 2.59% 1042.73 Buy S Bull
    08/31/09 - 09/04/09 44% 41% 1.07 -1 -1.22% 1016.4 Buy S Bull
    08/24/09 - 08/28/09 50% 37% 1.35 -1 0.27% 1028.93 Sell G Bull
    08/17/09 - 08/21/09 51% 35% 1.46 -1 2.20% 1026.13 Sell G Bull
    08/10/09 - 08/14/09 47% 42% 1.12 -1 -0.63% 1004.09 Sell G Bear
    08/03/09 - 08/07/09 48% 40% 1.20 -1 2.33% 1010.48 Sell G Bear
    07/27/09 - 07/31/09 51% 37% 1.38 -1 0.84% 987.48 Sell G Bear
    07/20/09 - 07/24/09 46% 44% 1.05 -1 4.13% 979.26 Sell G Bear
    07/13/09 - 07/17/09 33% 53% 0.62 -1 6.97% 940.38 Sell G Bear
    07/06/09 - 07/10/09 40% 43% 0.93 -1 -1.93% 879.13 Sell G Bear
    06/29/09 - 07/02/09 36% 54% 0.67 -1 -2.45% 896.42 Sell G Bear
    06/22/09 - 06/26/09 38% 48% 0.79 -1 -0.25% 918.9 Sell G Bear
    06/15/09 - 06/19/09 49% 38% 1.29 -1 -2.64% 921.23 Sell G Bear
    06/08/09 - 06/12/09 52% 34% 1.53 -1 0.65% 946.21 Sell G Bear
    06/01/09 - 06/05/09 44% 41% 1.07 -1 2.28% 940.09 Sell G Bear
    05/26/09 - 05/29/09 37% 53% 0.70 -1 3.62% 919.14 Sell G Bear
    05/18/09 - 05/22/09 34% 56% 0.61 -1 0.47% 887.00 Sell G Bear
    05/11/09 - 05/15/09 47% 42% 1.12 -1 -4.99% 882.88 Sell G Bear
    05/04/09 - 05/08/09 43% 45% 0.96 -1 5.89% 929.23 Sell G Bear
    04/27/09 - 05/01/09 34% 51% 0.67 -1 1.30% 877.52 Sell G Bear
    04/20/09 - 04/24/09 38% 45% 0.84 -1 -0.39% 866.23 Sell G Bear
    04/13/09 - 04/17/09 35% 47% 0.74 -1 1.52% 869.60 Sell G Bear
    04/06/09 - 04/10/09 49% 35% 1.40 -1 1.67% 856.56 Sell G Bear
    03/30/09 - 04/03/09 47% 37% 1.27 -1 3.26% 842.50 Sell G Bear
    03/23/09 - 03/27/09 34% 52% 0.65 -1 6.17% 815.94 Buy C Bear
    03/16/09 - 03/20/09 36% 48% 0.75 -1 2.37% 768.54 Buy C Bear
    03/09/09 - 03/13/09 26% 64% 0.41 -1 9.86% 750.74 Buy C Bear
    03/02/09 - 03/06/09 34% 55% 0.62 -1 -7.03% 683.38 Buy C Bear
    02/23/09 - 02/27/09 27% 60% 0.45 -1 -4.54% 735.09 Buy C Bear
    02/17/09 - 02/20/09 34% 51% 0.67 -1 -6.87% 770.05 Buy C Bear
    02/09/09 - 02/13/09 34% 51% 0.67 -1 -4.81% 826.84 Buy C Bear
    02/02/09 - 02/06/09 26% 58% 0.45 -1 5.17% 868.60 Buy C Bear
    01/26/09 - 01/30/09 37% 50% 0.74 -1 -0.73% 825.88 Sell G Bear
    01/20/09 - 01/23/09 35% 53% 0.66 -1 -2.14% 831.95 Sell G Bear
    01/12/09 - 01/16/09 32% 52% 0.62 -1 -4.52% 850.12 Sell G Bear
    01/05/09 - 01/09/09 45% 42% 1.07 -1 -4.45% 890.35 Sell G Bear
    01/02/09 - 01/02/09 34% 50% 0.68 -1 3.16% 931.80 Sell G* Bear
    12/29/08 - 12/31/08 34% 50% 0.68 -1 3.49% 903.25 B S  
    12/22/08 - 12/26/08 47% 37% 1.27 -1 -1.70% 872.80 B S  
    12/15/08 - 12/19/08 29% 54% 0.54 -1 0.93% 887.88 B S  
    12/08/08 - 12/12/08 29% 54% 0.54 -1 0.42% 879.73 B S  
    12/01/08 - 12/05/08 38% 46% 0.83 -1 -2.25% 876.07 B S  
    11/24/08 - 11/28/08 29% 61% 0.48 -1 12.03% 896.24 B S  
    11/17/08 - 11/21/08 31% 58% 0.53 -1 -8.39% 800.03 B S  
    11/10/08 - 11/14/08 28% 60% 0.47 -1 -6.20% 873.29 B S  
    11/03/08 - 11/07/08 48% 36% 1.33 -1 -3.90% 930.99 B S  
    10/27/08 - 10/31/08 27% 58% 0.47 -1 10.49% 968.75 B S  
    10/20/08 - 10/24/08 30% 56% 0.54 -1 -6.78% 876.77 B S  
    10/13/08 - 10/17/08 35% 55% 0.64 -1 4.60% 940.55 B S  
    10/06/08 - 10/10/08 38% 47% 0.81 -1 -18.20% 899.22 B S  
    09/29/08 - 10/03/08 41% 44% 0.93 -1 -9.40% 1099.23 B S  
    09/22/08 - 09/26/08 36% 55% 0.65 -1 -3.33% 1213.27 B S  
    09/15/08 - 09/19/08 38% 55% 0.69 -1 0.27% 1255.08 B S  
    09/08/08 - 09/12/08 31% 55% 0.56 -1 0.76% 1251.70 B S  
    09/02/08 - 09/05/08 43% 43% 1.00 -1 -3.16% 1242.31 B S  
    08/25/08 - 08/29/08 33% 53% 0.62 -1 -0.73% 1282.83 B S  
    08/18/08 - 08/22/08 33% 49% 0.67 -1 -0.46% 1292.20 B S  
    08/11/08 - 08/15/08 38% 43% 0.88 -1 0.15% 1298.20 B S  
    08/04/08 - 08/08/08 40% 44% 0.91 -1 2.86% 1296.32 B S  
    07/28/08 - 08/01/08 39% 49% 0.80 -1 0.20% 1260.31 B S  
    07/21/08 - 07/25/08 46% 41% 1.12 -1 -0.23% 1257.76 B S  
    07/14/08 - 07/18/08 36% 55% 0.65 -1 1.71% 1260.68 B S  
    07/07/08 - 07/11/08 29% 61% 0.48 -1 -1.85% 1239.49 B S  
    06/30/08 - 07/03/08 28% 61% 0.46 -1 -1.21% 1262.90 B S  
    06/23/08 - 06/27/08 32% 56% 0.57 -1 -3.00% 1278.38 B S  
    06/16/08 - 06/20/08 29% 62% 0.47 -1 -3.10% 1317.93 B S  
    06/09/08 - 06/13/08 47% 41% 1.15 -1 -0.05% 1360.03 B S  
    06/02/08 - 06/06/08 44% 40% 1.10 -1 -2.83% 1360.68 B S  
    05/27/08 - 05/30/08 31% 57% 0.54 -1 1.78% 1400.38 B S  
    05/19/08 - 05/23/08 44% 38% 1.16 -1 -3.47% 1375.93 B S  
    05/12/08 - 05/16/08 38% 51% 0.75 -1 2.67% 1425.35 B S  
    05/05/08 - 05/09/08 44% 39% 1.13 -1 -1.81% 1388.28 B S  
    04/28/08 - 05/02/08 44% 44% 1.00 -1 1.15% 1413.90 B S  
    04/21/08 - 04/25/08 49% 39% 1.26 -1 0.54% 1397.84 B S  
    04/14/08 - 04/18/08 38% 48% 0.79 -1 4.31% 1390.33 B S  
    04/07/08 - 04/11/08 44% 43% 1.02 -1 -2.74% 1332.83 B S  
    03/31/08 - 04/04/08 43% 46% 0.93 -1 4.20% 1370.40 B S  
    03/24/08 - 03/28/08 35% 54% 0.65 -1 -1.07% 1315.22 B S  
    03/17/08 - 03/21/08 30% 58% 0.52 -1 3.21% 1329.51 B S  
    03/10/08 - 03/14/08 26% 61% 0.43 -1 -0.40% 1288.14 B S  
    03/03/08 - 03/07/08 34% 53% 0.64 -1 -2.80% 1293.37 B S  
    02/25/08 - 02/29/08 28% 53% 0.53 -1 -1.66% 1330.63 B S  
    02/18/08 - 02/22/08 43% 44% 0.98 -1 0.23% 1353.11 B S  
    02/11/08 - 02/15/08 31% 56% 0.55 -1 1.40% 1349.99 B S  
    02/04/08 - 02/08/08 40% 48% 0.83 -1 -4.60% 1331.29 B S  
    01/28/08 - 02/01/08 43% 41% 1.05 -1 4.87% 1395.42 B S  
    01/21/08 - 01/25/08 26% 65% 0.40 -1 0.41% 1330.61 B S  
    01/14/08 - 01/18/08 34% 52% 0.65 -1 -5.41% 1325.19 B S  
    01/07/08 - 01/11/08 35% 53% 0.66 -1 -0.75% 1401.02 B S  
    12/31/07 - 01/04/08 43% 43% 1.00 -1 -4.52% 1411.63 B S  

     


     

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