fabijo's account talk

[fabijo]

Welcome, me.
Last week, I went into F thinking it would rise - maybe it will. Though I keep thinking I is too high, I can't help but notice the $USD trend headed downward and the EFA trend heading upward. The markets here may be waiting for a dip, but I'm not so sure that is happening abroad. COB 4/28/06, I'll be:
100% I

[fabijo]

Looks like COB today, I fund will be up pretty good. I'll be jumping half out of it into the F to catch some F upside next week (we'll see).

from 100% I
to 50% I , 50% F

[fabijo]

I'm an idiot for not just staying 100% I. All the articles I'm reading that you guys are posting have me convinced to stay international and avoid U.S. I'll be sitting in I for a while.

[fabijo]

I was going to get out of I after the long ride down, but oh well. I'll just let myself enjoy the ride. I gotta stop making decisions out of fear and greed. My fear is telling me to get out, but that was the same thing telling me to get in just before the big drop. This year is one of the toughest learning experiences in my life. Hey, I still got at least 25 years left. That should be long enough for it to recover!

[lacaprup]

I actually just decided to jump back into I. Although, my transaction won't be posted until today's huge losses take effect. I'm expecting the rebound to come quickly, and only last a day or two. This move is all about timing.

[fabijo]

... and perfect timing you did! I'm hoping this is the return of the bull!

[fabijo]

I'd like to remove my name from the tsp returns tracking. I know it is hard work updating everyone's moves. Also, I'm more just following other moves now, so there's no point in tracking mine.

[Rod]

Would you also like us to delete your account threads?

[fabijo]

Would you also like us to delete your account threads?

That's fine with me. Maybe in a year or two, I'll be a little wiser and feel I can come up with my own reasons for moving between funds. The past couple of months has been either following what someone else said or just wildly making decisions from fear or greed.

[fabijo]

Well, I've been reading and studying. I think I am disciplined enough to stick to a plan. I've been sitting in the F fund since 9/27, but for the tracker, we can just say F Fund by COB 11/13/06.

[EW_ret]

Got you covered! I will add you to the Weekly Tracker effective 11-13-2006 at 100% F.

[fabijo]

I'm getting out of F and plan to get back into the market. I would like to go to I, but I'm afraid there will be a positive FV today. I'll give it a little time to decide where to this week.

[fabijo]

I would like to go to I, but I'm afraid there will be a positive FV today. I'll give it a little time to decide where to this week.

Ah, no FV. So far, it looks like I should've went to the I fund. Let's see how the rest of the night plays out.

[fabijo]

Well, I only waited until today to go 100% I. So far, it is looking to be a down day for the I fund, so a good time to buy. The Slow Stochastics is not way into overbought and the price has been hovering around here for the past week or so. I don't think this flat movement will lead the prices down just yet. There's still more upside to go.

[fabijo]

Despite my fears of a correction, I'm going against my emotions and staying in the I Fund 100%. ebbnflow says there's an 80 to 90% probability for red all week. To me, that says if there is green this week it could be BIG. I'll let myself be the guinea pig.

[fabijo]

Despite my fears of a correction, I'm going against my emotions and staying in the I Fund 100%. ebbnflow says there's an 80 to 90% probability for red all week. To me, that says if there is green this week it could be BIG. I'll let myself be the guinea pig.

Then again... Looking at the US Dollar index, it seems the dollar is at a support level.

[fabijo]

Despite my fears of a correction, I'm going against my emotions and staying in the I Fund 100%.

So far, it looks like I made a good choice fighting my emotions.

[fabijo]

I went 100% C fund earlier this week. Today's actions haven't scared me out just yet. If I waited a little longer, I'd be jumping in today. The Slow STO hasn't triggered the sell sign just yet.

[350zCommTech]

I went 100% C fund earlier this week. Today's actions haven't scared me out just yet. If I waited a little longer, I'd be jumping in today. The Slow STO hasn't triggered the sell sign just yet.

My friend,

IMHO, you might be making mistake.

Good luck to you.

[fabijo]

Thanks, 350z. I'm going to give it a little longer for me to decide.
By the way, does anyone happen to have historical data for the Lehman U.S. Bond Composite Index? I'm trying to put together a database that I can play with. So far, I have:

daily S&P 500 data from Jan 3, 1950
daily DJ Wilshire 4500 Completion data from Jan 30, 1987
daily MSCI EAFE Net (USD) from May 4, 2001

Lehman only issues the closing price of their index at the end of the day, but I think I would need to be a subscriber if I wanted to download their historical data. Since they only issue the closing price, I could just as easily use TSP's data for the F Fund, starting June 2, 2003.

[fabijo]

I feel much better now. I'm gonna do my best to follow what my spreadsheet tells me to do. For tomorrow, it says to go 100% C, so I'm sticking with it.

[fabijo]

Not that anybody really cares, but I now have a "system." Let's see what it does for this coming year. I created 5 spreadsheets. Each one tells you which fund to go into 100%, compared to other funds. These are the five different spreadsheets:

Sh1 All Funds - out of the G,F,S,C,I it tells you which one to go to.

Sh2 G C S I - out of these four choices, tells you which one to go to.

Sh3 C S I - out of these three, which one

Sh4 G S I - out of these three, which one

Sh5 S I - out of these three, which one

I ran the test on all of these sheets, giving an MACD of 19, 39, 9 as the parameters from June 2, 2003 to December 1, 2006. The worst performer was the one that allowed me to go into the F Fund. Here are the returns that each sheet would have given during those times:

Sh1 - 70.65% (choice between all funds)

Sh2 - 132.22% (choice between G S C I)

Sh3 - 128.18% (choice between S C I)

Sh4 - 133.37% (choice between G S I)

Sh5 - 143.14% (choice between S I)

Here are the returns for each fund during that time:

G - 16.7%
F - 12.64%
C - 53.84%
S - 86.07%
I - 111.8%
20% each - 56.21%

Add: I will be using the G S C I sheet. I believe the C Fund is going to start outperforming the small caps this coming year.

[fabijo]

For anyone who wants to play with it, here is a link to the spreadsheet (15.3 MB):

http://mircats.com/fabio/TrackerWithPrices2.xls

[ayla]

Thanks very much for posting all your data. I'm also working on a definite strategy so was very interested in what you have produced.

I was trying to get the total return for just 2006, i.e. January thru end of November and added the % numbers in column U of your first spreadsheet for each month, January thru November of 2006. I came up with a total of 13.83%.

Am I using the right columns and entries to come up with this number? Is this what you have for just the year 2006 so far?

[ChemEng]

Another spreadsheet fan! We definately need more people like us in the world. :) Ill give yours a look over, but it seems very counterintuitive that returns would decrease as the number of options increases. For instance, I would think that since SI is a subset of SCI, the return for SCI should be at least what the return for SI is. Let me think about it and Ill get back with you...

[fabijo]

Another spreadsheet fan! We definately need more people like us in the world. :) Ill give yours a look over, but it seems very counterintuitive that returns would decrease as the number of options increases. For instance, I would think that since SI is a subset of SCI, the return for SCI should be at least what the return for SI is. Let me think about it and Ill get back with you...

I was wondering the same thing. The way the spreadsheet works is that it calculates the percentage change of the MACD from one day to the next. Then it puts 100% into the fund that had the highest percentage change the previous day. Maybe the times that the MACD change more rapidly for the C Fund than the rest, being 100% C kept us from the gains that the I fund may gotten by following the U.S. markets.

Also, maybe the F Fund moves too slow to be using the same EMA as the other funds. I might have to update the spreadsheet to give the F Fund a different set of EMAs.

[fabijo]

I was trying to get the total return for just 2006, i.e. January thru end of November and added the % numbers in column U of your first spreadsheet for each month, January thru November of 2006. I came up with a total of 13.83%.

Am I using the right columns and entries to come up with this number? Is this what you have for just the year 2006 so far?

Those are the right numbers, but you can't just add them up, but you could if you were just trying to generalize (you'll be a couple percent off). Also, there are five sheets. The one you are looking at might be the All funds sheet, which has the lowest return.

[VirginiaBob]

or maybe just have the F fund as an alternative to the G, when your other indicators show that you should be out of stocks completely. Maybe something as simple as if the F fund is down, it's time to buy instead of G. Also, consider incorporating the G-fund penny into this decision making process.

[ChemEng]

Another option would be to tie in each fund's variance within a given time period in the decision rule? IE. change the decision rule from greatest MACD%del to MACD%del*var or somesuch. Ill keep twiddling with it.

[fabijo]

I'm too much of a geek, because this has kept me up all night. I was highly caffeinated all night and only went to bed at 4am and woke up late for work.

[fabijo]

I'm on a quick lunch break and I just added three more sheets. Here they are and here are the results:

G I - 119.86%
G S - 79.42%
F I - 49.59%

So, playing just the G and the I fund would have been the best option out of those three scenarios for the past 3 1/2 years. Hopefully, I'll be done checking the S&P and Wilshire for bear periods (like 1999 to 2003) by tonight. I'd like to see what this does during those down years.

[Birchtree]

Can I use those sheets as bingo cards - I need some better edges.

[fabijo]

There was a Birchtree, had a dog. Thrify was his name-o.

G-F-C-S-I
G-F-C-S-I
G-F-C-S-I

and Thrifty was his name-o

[ayla]

If you keep what you've got but add an add'l criteria of being in a C/S or I fund only when the VIX index is less than its 200 day average, I GUARANTEE you will be amazed.

[fabijo]

Thanks for the advice, ayla. I'll have to try it out.

For some reason, every time I read one of your posts, I think about following the white rabbit and taking a red pill.

[ebbnflow]

...I ran the test on all of these sheets, giving an MACD of 19, 39, 9 as the parameters from June 2, 2003 to December 1, 2006. The worst performer was the one that allowed me to go into the F Fund...

Somehow I find that very disturbing (about the F-fund). :D

Congratulations on finding your own system. Hope you stick with it. It looks very promising. :)

[fabijo]

I knew you would find the F Fund results disturbing! I'm gonna modify the algorithms more, because I think the bond market moves slower than stocks.

[Birchtree]

The bond market moves slower than your lawn grows.

[fabijo]

Okay, I just ran some tests on data from December 1, 1998 to December 31, 2003. I only used the S&P 500. For the G Fund, I just kept it the same price from December 1, 1998 to June 2, 2003. I found something interesting. If I used EMA 19 and EMA 39 during that bear timeframe, I come up with a whopping loss of -25.18%. But if I adjusted the EMAs to react faster, I get better results. Using MACD parameters, 5, 10, 7, the Monkey gets a +27.65% return as he bounces from C to G.

This tells me that I need to come up with some formulas that check for rates of price changes in negative and positive directions. I could use the formula to check data from previous months. Maybe a 50 day and 100 day moving average could be a trigger that tells the spreadsheet to use faster EMAs for its decision making.

[fabijo]

I just added today's prices to the Monkey Tracker. The darts landed on 100% I fund, so that's where I'll be cob tomorrow.

[fedgolfer]

... thanks for posting. I hope you'll post everytime it spits out a change in allocation. Very curious to see how this will perform in the future :)

[fabijo]

No problem. I plan on posting it. I'm still trying to tweak it so that it will automatically react quicker during down markets. I can use the data from the S&P 500 and the Wilshire 4500 during really bad years as my testing ground. I hope it will be done by the end of this year.

[fabijo]

Okay, it's a miracle my spreadsheet would've worked for the past three years. I found a couple of areas where it was doing what I did not expect. I've still got plenty of tweaking to do, but I'm sticking with its recommendation for 100% S fund. After today's tweaks, it showed that I should've went to the S Fund today, instead of tomorrow. That's fine with me. I'll just stick to it.

[James48843]

Just remember-

Past performance is no guarentee of future results. Ask your doctor. Except in Nebraska.

[350zCommTech]

fabijo,

Your spread sheet is based on price right? I can see it working on all the funds except for the I fund because of the dollar's effect. It's one of the reasons why I don't use the EFA.

[fabijo]

Just remember-

Past performance is no guarentee of future results.

Yup. I know. So far, my spreadsheet just bases it's movements on which fund has the highest slope on the MACD Histogram. The slope is just comparing today's histogram with the histogram from 2 days ago.

What I'm researching and figuring out is that I would like the MACD automatically transition to using faster EMAs as the current price gets closer to longer term moving averages.

[fabijo]

fabijo,

Your spread sheet is based on price right? I can see it working on all the funds except for the I fund because of the dollar's effect. It's one of the reasons why I don't use the EFA.

Yup, just the actual TSP Fund prices. I would much rather use the real market data, but it gets too complicated. I'm just trying to come up with something kind of simple that kind of works, sometimes!

[fabijo]

Whew! Looks like I might have a lot of work ahead of me. What I've been doing so far is somewhat linear. I'm reading some math articles on volatility, so I'll be changing my Monkey math soon. If anyone is interested in what I'm looking into right now, here is the article I'm trying to grasp:

http://www.aetheling.com/MI/Volatility/math.html

When I think I understand it and when I figure out which formulas I want to use, I might just end up revamping my spreadsheet to measure the differences in rates of change between the funds, which is what I've been trying to do with the MACD.

If I don't have any logs or squares in my formulas, then I'm only working with linear measurements. As Griffin pointed out in his response to Desperado's thread, the linear data does not give you a real picture.

[fabijo]

Okay. This is getting tough to do. I'm gonna stick with the math and not my brain. I'm going 100% I fund tomorrow. I bet that dollar index is gonna screw everything up, but oh well.

[Birchtree]

We may be looking at some non-farm payroll numbers Friday 0830 that are stronger than anticipated supporting a healthy economy. If so, the dollar will rally - only means you can't count of FV. Go for it.

[fabijo]

With the rate my spreadsheet jumps funds, I could be out of the I fund by then.

[fabijo]

Okay. I've been playing with different numbers for the MACD and Bollinger Bands. Now I am slightly freaked out, because it just doesn't seem possible. Backtesting with all the fund data from June 2, 2003 till now, I get a 134.43% return.

Now here's where it gets crazy. I used the S&P 500 and the Wilshire 4500 data from December 1, 1998 till December 31, 2003. For the G Fund, I just kept the price constant until June 2, 2003 where I actually have the prices. I allowed the math monkey to choose between S&P, Wilshire, or G. I used the exact same parameters for the MACD and Bollinger Bands as I did for the past 3 1/2 years. The return from December 1, 1998 to December 31, 2003 comes to be 137.83%!!!! What the heck?? That's a better return than the past 3 1/2 years. Here's a link to the spreadsheet:

http://mircats.com/fabio/Fab.TSP.Trading.alpha.xls

There are three tabs. The one labelled All Funds, is the current data - and it allows the choice of the F Fund. The one labelled Bear Test is the test from 1998 to 2003. The one labelled All w VIX is current, but uses the VIX as part of its decision-making process.

I'm just gonna stick to this until it doesn't work any more. I'm constantly working on it and I hope to get it to where I don't have any negative months.

[fabijo]

I'm sticking with my sheet still. Going 100% F for tomorrow.

[ChemEng]

Its interesting that when you incorporated VIX into your decision rule, the returns dropped significantly.

[fedgolfer]

... i love it... keep going Fab. The search for the holy grail is neverending! I wonder if you/other members can add visuals to it?

Also, glad to see it finally spewed out a defensive move, more importantly one that got close to my gut IFT hunch-o-the-day. Thanks again.

[fedgolfer]

... the great return from '98 to '03 is amazing. I'm assuming since it's based on price technicals it does even better in bear markets when indicators are a bit more accurate for buy signals, and the up and down volitility swings tend to be in quicker and sometimes larger. It's kind of why I like sideways markets better than bull-runs... although my returns pale in comparison to this backtest.

[fedgolfer]

Its interesting that when you incorporated VIX into your decision rule, the returns dropped significantly.

...this kind of supports my hunch that the VIX is good for general direction but not day to day movements. In this bull run there have been days where the VIX has been green and the indices have been green, and days where its been red along w/ the indices... in a perfect world they should be oppopsite. They do tend to be opposite on days with large price movements in a convincing direction, but there have been many days with incremental movement where they've moved together not contrary to one another.

[fabijo]

Its interesting that when you incorporated VIX into your decision rule, the returns dropped significantly.

I agree. I think the returns dropped only because it was too safe, not because of incurring losses, but missing significant gains. It would have done great this year. I want to try adding some sort of moving average rule to the vix. I'm still not sure how I should do it. Using the vix this year would have saved you from the drops in May and June, but it would have also kept you out of some big moves up in other years. I've been doing some reading on volatility and still need to come up with the right logic to use volatility. Sometimes it is good to be highly volatile - that means moves are faster whether up or down. We just want to be in during the big up moves and out for the big down moves! :)

[fabijo]

... i love it... keep going Fab. The search for the holy grail is neverending! I wonder if you/other members can add visuals to it?

Also, glad to see it finally spewed out a defensive move, more importantly one that got close to my gut IFT hunch-o-the-day. Thanks again.

It is very hard to fully follow this spreadsheet, because some days I want to try to judge the market myself. Like today, I'm getting out of the I fun, which I just got into yesterday. But today, the I fund is down, so I'm losing. Normally, I would have tried to hold it longer. Maybe it is good I'm following something that is not emotional, because I normally do not make good choices. I got into the I fund at the top in May. On the day of the bottom, I made an IFT to the G fund, but Tom told me that might be a bad choice, so I cancelled my IFT. I'm glad I did, because that's when it started going up.

So my timing is perfect - if I want the maximum loss possible. I wish I had some sort of machine that read my emotions and told me the best market decision to make by going the opposite direction of my emotions.

[fedgolfer]

... ha, I know what you mean. I went from a completely defensive mindset to a completely offensive one by the ift deadline solely based on the S&P having an intraday bounce off of the 8 DMA in hopes of it testing the upper band on Monday/early next week. There's so much technical stuff out there it can point every which way and support every opposing arguement. I appreciate you putting time and careful thought into your spreadsheet, I tried digging into its inner workings but I'm clearly too dimwitted.

[fabijo]

I appreciate you putting time and careful thought into your spreadsheet, I tried digging into its inner workings but I'm clearly too dimwitted.

Maybe some time next week, or by the end of the month, I'll be done making so many changes. When I get the chance, I'll attempt a clear explanation and an in-depth explanation in the TA Tools subforum.

[fedgolfer]

before 9/03... VIX was calculated differently (see below). Not sure if this greatly alters the returns of your spreadsheet? The 2nd to last paragraph confirms how i've been using it the past couple months in the bull run.

from http://www.decisionpoint.com/TAcourse/AboutVIX.html


"In September 2003 the CBOE changed the way the VIX is calculated. The new VIX is derived from the prices of all near-term at-the-money SPX puts and calls and out-of-the-money puts and calls. Deep-in-the-money options are excluded. This methodology is also used to calculate the Nasdaq 100 (NDX) volatility index (symbol: VXN).

The old VIX is still avaliable but is now has the symbol VOX. It still uses the old calculation method, which uses the Black-Scholes pricing model. The VOX is calculated by taking the weighted average of the implied volatility of 8 OEX calls and puts with an average time to expiration of 30 days.

The VIX (and VOX and VXN) measures fear and optimism as manifested in options activity. When large numbers of traders become fearful, the VIX reading rises, and when complacency about the market reigns, the VIX reading falls. And since the vast majority of put/call buyers are wrong and lose money, it's usually a smart move to fade (go counter to) what the VIX says the the crowd is doing.

The VIX is an INVERSE indicator, which means that high readings are oversold (excess of bearishness) and low readings are overbought (excess of bullishness). Because of this Decision Point displays the VIX chart with an inverted scale to make its interpretation more intuitive -- overbought readings show at the top of the chart and vice versa.

Raw VIX numbers are of limited value. The VIX indicator is most useful when used in combination with some type of overlay, and preferably one that employs channels or bands. Some technicians use Bollinger Bands for this purpose, others use a short term (3 months or so) linear regression channel or percent bands. When used in this fashion, it is the VIX position within the channel that's important, rather than the raw number reading.

The CBOE calculated severals years history of closing values for the VIX. That data was not live and doesn't have an open, high, or low associated with it. Those days will display as dots on the daily chart. The same is true for the VXN, which is only a few years older than the new VIX.

More detailed information about the VIX is available at http://www.cboe.com.

[ayla]

before 9/03... VIX was calculated differently (see below).
from http://www.decisionpoint.com/TAcourse/AboutVIX.html

Raw VIX numbers are of limited value. The VIX indicator is most useful when used in combination with some type of overlay, and preferably one that employs channels or bands. Some technicians use Bollinger Bands for this purpose, others use a short term (3 months or so) linear regression channel or percent bands. When used in this fashion, it is the VIX position within the channel that's important, rather than the raw number reading. [/url].

Thanks for the very interesting info about the VIX. As I said in the other thread, I agree the VIX raw numbers are not enough. But if the 20, 50 and 200 VIX SMA values are added, from the charts I've seen, the VIX predicts "on the nose", the major and minor downturns that we have been experiencing periodically every three to five months or so (but not the smaller downturns that occur on daily or weekly basis or for other reasons such as news). Thanks again.

[fabijo]

Well, I am on my way to becoming a true mechanical investor. I'm going 100% G fund, because the numbers told me to do it. I will not try to figure out the market, I can only do what the momentum does.

[Foghorn]

Well, I am on my way to becoming a true mechanical investor. I'm going 100% G fund, because the numbers told me to do it. I will not try to figure out the market, I can only do what the momentum does.

Fabijo, you sound a little discouraged. Don't be. Remember, no one knows what's going to happen. You can only try to predict the market to smooth out the drastic drops, short term, or hold on to rollercoaster bar, for the long term.

If anyone could predict the market with 100% accuracy, they'd likely be doing something illegal.

I, for one, think you're on the right track. I've been reading your posts and they've helped me.

So, keep it up. You're doing well.

Foghorn

[fabijo]

Fabijo, you sound a little discouraged. Don't be. Remember, no one knows what's going to happen. You can only try to predict the market to smooth out the drastic drops, short term, or hold on to rollercoaster bar, for the long term.

True. True.

Thanks for the encouragement. I'm still not happy with my spreadsheet. I think I could simplify it more to do what I am thinking about. Once this week is passed, I'll be free from college courses until January. Maybe I'll be able to get the spreadsheet where I want it during that off time.

[fabijo]

Now it's time to hop on over to the C fund. This thing has me on my toes.

[fabijo]

I feel like I am chasing the funds around. That's okay for now. Today the sheet says to go to I fund. This thing jumps around almost every day. I'll be working on smoothing out the calculations so it doesn't jump so much. YTD return of this sheet (which I did not follow) is 22.3%. Let's see if I can get a better calc method that diversifies between funds and still generates a good return.

[ebbnflow]

Looks like your spreadsheet is on speed! :D

[fedgolfer]

Let's see if I can get a better calc method that diversifies between funds and still generates a good return.

Personally, i like your spreadsheet kicking out one fund. The obvious thing is that asset allocation will reduce your ROI and risk. But I like the clear green light it give for which of the stock funds is the most ripe for pickin'.

[fabijo]

Personally, i like your spreadsheet kicking out one fund. The obvious thing is that asset allocation will reduce your ROI and risk. But I like the clear green light it give for which of the stock funds is the most ripe for pickin'.

I would like to have it rank the funds. Then you could have the choice to go with the best fund or to split according to the ranks, like giving more percentage to the one with the highest rank. If I is WAY better than C, it could say 70% I and just 10% C or something like that.

[fabijo]

I'm going 100% S fund. I would rather go to the C Fund, because I think the bigger caps are going to do better. But, again, I'm sticking with the "system." By the time the weekend is over, I'll have updated my spreadsheet to use growth projections.

[fabijo]

Now going 100% C Fund on Monday. Now I feel a lot better about the spreadsheet. One of its weaknesses is that it follows the fund that has the steepest slope on the MACD Histogram. The problem is that some days the price will jump up real high only to correct itself over the next couple of days. That jump up would tell the spreadsheet to go to that fund. Another weakness is that on bottom days, the MACD is the most negative, so the sheet stays away from those funds.

Finally, I've worked a way for the spreadsheet to follow a bit of probabilities also. It mainly still follows the MACD, but I also added a sheet that calculates the projected growth ranges over the next two days. It compares today's price with the projected range from two days ago. If it breaks above the uppermost price by a certain percent, the spreadsheet either stays out of that fund, or gets out, because that is most likely a top. If it breaks below the projected lowest price by a certain percent, it jumps all in that fund, because the price has most likely hit some sort of bottom -- at least short term.

Now here are the results:

Prior to using probabilities:
June 2, 2003 to December 15, 2006
Monkey: 133.59%
Year to Date
Monkey: 22.9%

Now using probabilities along with MACD:
June 2, 2003 to December 15, 2006
Monkey: 157.64%
Year to Date
Monkey: 32.07%

Past performance is not a guarantee of future results, but I've got nothing else to go on. We're always referring to the past when we explain the now.

Here's a link to the new and improved spreadsheet. There are three pages. The one titled Real Prices is the one that will show you which fund to go into tomorrow. If you put in today's TSP fund prices, look at the allocation for the next day - that's the one to follow.

http://mircats.com/fabio/Projecting.Growth.xls
(Be aware that the file is about 10MB!! My server has been slow, probably because people keep downloading these things)

[fabijo]

Man, with the market making big moves then little moves, it just makes my spreadsheet jump up and jump around. I hate to keep doing IFTs, but I bet that tonight it will say to IFT to G or F.

[FUTURESTRADER]

Fabijo,

Do you think appyling the beta (or volatility) for each index proxy might be beneficial. I.e., (EFA) beta is 1.0 as is (SPY) (which makes sense since beta is the measure of volatility versus S&P 500), however (IWM) (Russell 2000 ETF) beta = 1.5, 1.5 times more volatile than S&P 500. So in your strategy, though the slope of the MACD histo may be the same for IWM and SPY at a given time, the % gain/loss would be 1.5 times greater for IWM.

[VirginiaBob]

Hopefully, the indicator will say G-fund, since the penny is likely to pay COB Wed. So if you get in before noon Tuesday, you should get it and then sell on wednesday.

[fabijo]

Fabijo,

Do you think appyling the beta (or volatility) for each index proxy might be beneficial. I.e., (EFA) beta is 1.0 as is (SPY) (which makes sense since beta is the measure of volatility versus S&P 500), however (IWM) (Russell 2000 ETF) beta = 1.5, 1.5 times more volatile than S&P 500. So in your strategy, though the slope of the MACD histo may be the same for IWM and SPY at a given time, the % gain/loss would be 1.5 times greater for IWM.

I haven't used the beta directly, but the spreadsheet does modify the MACD based on how fast the width of the Bollinger Bands is changing, which is similar to measuring its volatility. There's always more to do. I still haven't gotten to the point where the spreadsheet ranks each fund, then diversifies.

Really, the next part I am going to be working on is having the spreadsheet calculate trendlines and trading channels long term (and possibly short term). The closer a fund gets to the top of its trading channel, the more likely it is to go down - and vice versa.

[ebbnflow]

Any chance in incorporating Tom's Sentiment Survey analysis as part of the decision making process? :)

[fabijo]

Any chance in incorporating Tom's Sentiment Survey analysis as part of the decision making process? :)

:laugh:

It looks like a couple of people are posting the positions of the top traders, so that is a good indicator.

I could keep going and incorporate everything over time! I might get to the point of making my computer emotional. I'd have to start from scratch when my computer starts telling me its afraid or greedy.

[fabijo]

Hopefully, the indicator will say G-fund,

That's exactly what happened. Now it says go to G. It hurts to lose 1% in a day, but it's better than losing 5% to 10% for a month! Now I know to look at how close a fund is to the sheet's projected top. On Thursday and Friday of last week, all the funds were within 1% of the uppermost extremes of the projected prices.

[fabijo]

Looks like I'll be hanging out in the G fund for at least another day. I just updated today's prices and it's still saying that G is the place to be.

[Birchtree]

You're looking at weird wally wednesday and the hammer may strike the S fund and the I fund without mercy.

[350zCommTech]

Looks like I'll be hanging out in the G fund for at least another day. I just updated today's prices and it's still saying that G is the place to be.

I've been watching you moves and I know it's too early to judge your spread sheet, but it seems too mechanical to me. What do you think about it so far. I'm working on one myself but it's very simple and involves some market fundamentals.

[fabijo]

I've been watching you moves and I know it's too early to judge your spread sheet, but it seems too mechanical to me. What do you think about it so far. I'm working on one myself but it's very simple and involves some market fundamentals.

You're right, it is a little too mechanical. I would like it to sit still for more than two days at a time. I know that anyone sticking to a good plan could have made better returns by only making a few trades during a year. What I would like to do for the spreadsheet is have it look long-term and short-term so that it can judge if we are getting close to tops or bottoms of trading channels. Since I already have the formulas in there to project days in advance, I can use those formulas backwards to decide if today's price is a top, a bottom, a high, a low, or just something in between.

I had some time today, but I haven't used that time for the spreadsheet. I'm actually researching different software I can include on my website that will allow people to easily share files like these spreadsheets. It would be alot easier for us to keep track of changes to these sheets and it would give people a chance to upload files that are much larger than the limits we have on TSPTalk. I don't know if anybody has any experience or knows which might be better, but I'm trying to decide between these three programs:

KnowledgeTree
MyDMS
PolDoc Document Management System

[fabijo]

Again, I hate doing this, but I'm going 100% I Fund. That's what the sheet says to do, but I can easily see why. It's the only fund that had a huge jump in price, which made the MACD give a positive slope. Two days ago the spreadsheet projected the I Fund to be within the following ranges:

Lowest: $21.80 (4 standard deviations)
Low: $22.00 (1 standard deviation)
Ideal: $22.07
High: $22.14 (1 standard deviation)
Highest: $22.28 (3 standard deviations)

The fund is pushing the limits of the High end, but all year it has been doing that. The worrysome part is when it pushes above the 3 standard deviations. If it does that, then in two days it will be going past $22.37.

[fabijo]

Here we go again with another IFT. This time it's to the F fund. Where's that Santa rally??

[fabijo]

Well, for anyone who likes to see the numbers by the year, I just totalled the spreadsheet returns by year. For 2003, it only has from June 2. Here are the results:

Year____G______F_______C_______S_______I____Monkey
2003____2.4____.2____16.15__24.18__26.84___30.13
2004____4.34__.83____11.20__17.84__19.17__28.17
2005____4.4___2.4____5.78___12.21__14.15__16.96
YTD_____4.84__4.77___13.87__13.20__21.63__31.19

[Pilgrim]

Well, for anyone who likes to see the numbers by the year, I just totalled the spreadsheet returns by year. For 2003, it only has from June 2. Here are the results:

Year____G______F_______C_______S_______I____Monkey
2003____2.4____.2____16.15__24.18__26.84___30.13
2004____4.34__.83____11.20__17.84__19.17__28.17
2005____4.4___2.4____5.78___12.21__14.15__16.96
YTD_____4.84__4.77___13.87__13.20__21.63__31.19

Do you like that monkey enough yet to put yourself on autopilot and let the monkey make the calls - for real?

[fabijo]

Do you like that monkey enough yet to put yourself on autopilot and let the monkey make the calls - for real?

I've been following the Monkey's every call since the beginning of this month. I really can't argue with his/her returns, even though he/she makes way too many moves.

When you say autopilot, are you referring to me making it automatically log into my TSP account and make the transfers? I'll definitely do that one day, but I would rather it do that from a web server running some PHP/MySQL. I'll be learning how to accomplish that during the upcoming year. Plus, I've got some probabilities and statistics books (with a touch of fractal theory) on my Christmas wishlist that I hope will help me fine tune some issues in the coming year.

[fabijo]

Made an IFT to 100% S fund today. I'm still being a guinea pig and following the Monkey's calls.

I just started reading a book from Benoit Mandelbrot called The (Mis)Behavior of Markets. So far it is pretty good. Let's see what I can learn from his fractal geometry theories.

[fabijo]

I just went 100% I, effective cob tomorrow.

I've been spending my spare minutes trying to use old market data in my spreadsheet. I'm going from January 1987 and used the S&P 500 and the Wilshire 4500 data from then till now. For the G and F funds, I kept them flat at the same price until June 2, 2003 where I used their actual prices. For the I fund, I am using the MSCI data from May 2001 till now.

The strange thing is that I've gotten completely different results for the past few years when I use the index data instead of the fund prices. I'm trying to figure out why. I didn't think it mattered what the prices were, because the sheet is meant to follow price movement, no matter how high or low the prices are. One way I've gotten it to show similar results is to calculate the MACD of the log of the index prices instead of the MACD of the index itself. Very strange.

I also noticed that my little probabilities inclusion does better during some years if I adjust the high and low boundaries. I might be able to fix that by projecting longer into the future than just two days. Another thought would be to have today's price checked against long term tops and bottoms. Using projected growth from those points, the Monkey could better judge if the market is approaching a top or a bottom.

I could completely revamp my methods after I am finished reading Mandelbrot's book. The chapters I have read are mostly giving an overview of modern economic theory and how it got there. He is then going to show the flaws in modern economics to introduce how a fractal approach better explains markets than the current bell curve approach. He is convincing me so far. My approach to price projections is using the methods that he says is flawed. It works for most situations, but can kill you during those times where the model is broken. Until I learn more, I'll keep tweaking what I have.

[airlift]

Fabijo,
For your sake, and I don't mean to be offensive, don't invest your nest egg in your tracker until you have improved its performance. Good Luck!

[ebbnflow]

Very sound advice, sponsor. Trading on paper has its merits, and I believe that fabijo is younger than most people here and is not averse to risk. Be that as it may, I would still like to see how his dart-throwing monkeys perform for the new year. Good luck for the new year, fabijo! :)

[fabijo]

Sponsor,
I am definitely not offended at your advice. Like ebb said, I'm young so I'm willing to take a risk. If I ever decide to stray away from the monkey, I'll try to keep posting the monkey's moves so those interested can see how he/she performs.

I've been able to tweak the monkey to beat the Wilshire 4500 till now. Some years it did worse and some years it did better. Here are the results:

From Jan 30, 1987 to December 26, 2006

S&P 500: 416.97%
Wilshire 4500: 456.11%
Monkey: 504.63%

I think that if I play around with the Monkey's rules, it'll do better. Some rules I am thinking of have to do with what type of market it is in or how close to a long term top or bottom the current price is approaching.

Ebb, thanks for the wishes.. same to you!

[airlift]

Only trying to be of help!


Very sound advice, sponsor. Trading on paper has its merits, and I believe that fabijo is younger than most people here and is not averse to risk. Be that as it may, I would still like to see how his dart-throwing monkeys perform for the new year. Good luck for the new year, fabijo! :)

[airlift]

Only trying to help! Happy New Year!


Very sound advice, sponsor. Trading on paper has its merits, and I believe that fabijo is younger than most people here and is not averse to risk. Be that as it may, I would still like to see how his dart-throwing monkeys perform for the new year. Good luck for the new year, fabijo! :)

[fabijo]

Whew. It's been too long since my last post here. Happy New Year, all!

I've been using historical data with the S&P 500, the Wilshire 4500 and MSCI EAFE. After seeing how this spreadsheet would've worked through all those years, with its variety of markets, I practically revamped the way I was going through the logic. It was too quick to leave the market.

Since this is a long-term account, I made sure that I would stay in the market more often. It seems it is more risky to get out of the market than to just stay in.

For the backtesting, I have S&P data starting in January 1950, Wilshire data starting January 1987, MSCI EAFE data starting May 2001, G fund and F fund data starting in June 2003.

From January 1950 to December 28, 2006:

S&P 500 : 8451.8%
Monkey: 54202.74%

The monkey for more recent years:

2006: 41.32%
2005: 18.81%
2004: 28.23%
2003: 33.89%
2002: 3.967%
2001: 12.57%
2000: -13.31%

Any time frame up until June 2003, every time the Monkey got out of the market, it got 0% gain because I did not have G fund and F fund data from before then. So it is possible that the Monkey would've done better in some down years if the F fund was available as an option.

Right now, the spreadsheet is HUGE (71.8MB). I'm currently in a Visual Basic class with college. Maybe by the end of the class, I can turn this into a standalone program instead of wasting hard drive space with a spreadsheet that repeats the same IF, THEN, ELSE statements thousands upon thousands of times.

[Show-me]

Fabijo,

Whew! Great work and thanks for sharing. How do ya do it with everything on you plate? Don't burn yourself out brother.

[ebbnflow]

Fabijo, I just saw the new tally for the new year. Your monkeys are leading the pack! Congrats. :D

[fabijo]

Fabijo,

Whew! Great work and thanks for sharing. How do ya do it with everything on you plate? Don't burn yourself out brother.

This kind of stuff just occupies my mind during those crazy moments when I begin to get stressed out about family matters. It's difficult to watch a family member suffer from mental problems, but sees nothing wrong with their irrational outlook.

[fabijo]

Fabijo, I just saw the new tally for the new year. Your monkeys are leading the pack! Congrats. :D

Well, it's too soon to get all excited. We're only one week into the year. Also, I made a mistake with the monkey machine and it just happened to work out to my advantage. I somehow put in the wrong I fund price a couple of days ago, so the monkeys stayed in the F fund. When I realized the error and put in the right I fund price, the monkeys would've went to the I fund. Somehow luck just beats logic.

[fabijo]

I somehow put in the wrong I fund price a couple of days ago, so the monkeys stayed in the F fund. When I realized the error and put in the right I fund price, the monkeys would've went to the I fund. Somehow luck just beats logic.

Okay, I just read all the posts dedicated to this issue. Seems I was not crazy when I put in the TSP prices, because they changed the price on us. That's one way to really screw us up.

[fabijo]

Here we go. I'm going with the very bullish monkey. As long as the 75 day EMA is above the 180 day EMA for the S&P 500, the monkey will choose between the C, S, or I. That means the monkey would never have gone to the G or F in the past 3 1/2 years. The monkey jumped around between S&P, DJ Wilshire, EAFE during this past May/June/July fiasco and still ended the year with over 40% return.

It looks like we are riding the top of a trading channel, but what the heck. I'm going to the S fund anyway. This crazy monkey loves to stay in the market.

[350zCommTech]

I'm going to the S fund anyway. This crazy monkey loves to stay in the market.

I'm thinking about doing the same thing. Just curious, what's your return since you have been following the monkey?

[James48843]

OK fabijo- I'll bite.

I'll watch your monkey for a while, and see where it goes.

Are you now following the monkey machine in your account?

[fabijo]

I'm thinking about doing the same thing. Just curious, what's your return since you have been following the monkey?

I've only followed the MACD monkey since December 1. I'll have to look at my records later on. I don't think it was anything special.

Starting today, I'll be using the Bull monkey. The one that stays in either C, S, or I as long as the 75EMA is above the 180EMA

[fabijo]

Just curious, what's your return since you have been following the monkey?

Well, 350z, since November 30 (my first transaction after the monkey) , my return has been a measely little .57%, just above the G fund! My losses took place because the monkey would get out of the market at any sign of negative movement. At least the 2007 monkey will stay in the C, S, or I as long as the S&P 500 has the 75 day Exponential Moving Average above the 200 day EMA.

[fabijo]

The fearless monkey is going to the I fund tomorrow.


Are you now following the monkey machine in your account?

I am, but I've been changing the monkey's behavior over the past month and now am satisfied with the bullish one.

[The_Technician]

The fearless monkey is going to the I fund tomorrow.



I am, but I've been changing the monkey's behavior over the past month and now am satisfied with the bullish one.


I see your new monkey system ;) has seen what mine seen since the 5th.....but I was reluctant to jump because it hadn't shown any stability, good thing, it dropped on Monday....

I am considering to jump in today though, but I will watch the morning action to make the final decision.... I still think we might be in a head fake situation....

[fabijo]

I see your new monkey system ;) has seen what mine seen since the 5th.....but I was reluctant to jump because it hadn't shown any stability, good thing, it dropped on Monday....

I am considering to jump in today though, but I will watch the morning action to make the final decision.... I still think we might be in a head fake situation....

My monkey doesn't really do much predicting. I tried using predictions, but I haven't mastered that method yet. Here are the rules the monkey goes by:

If S&P 75EMA > 200EMA, then pick c,s,i (chooses by which one has the fastest movement either up or down in past couple of days), else
if S&P 3EMA > 19EMA, then pick c,s,i, else
if S&P recently dropped more than 2.6% in a day, then pick c,s,i, else
pick g or f (based on f's movements over past week or so)

That's it. Everything is based on where the S&P is at.

[The_Technician]

My monkey doesn't really do much predicting. I tried using predictions, but I haven't mastered that method yet. Here are the rules the monkey goes by:

If S&P 75EMA > 200EMA, then pick c,s,i (chooses by which one has the fastest movement either up or down in past couple of days), else
if S&P 3EMA > 19EMA, then pick c,s,i, else
if S&P recently dropped more than 2.6% in a day, then pick c,s,i, else
pick g or f (based on f's movements over past week or so)

That's it. Everything is based on where the S&P is at.

Interesting, my monkey grinder (a.k.a. The Crystal Ball) is telling me to not get in the CS today, but it is on its ins and outs to the I fund as levels are checked this morning....since the I fund has been recommended for the previous two days and is high in its short term channel, I tend to believe not getting in....but however, I may consider the F fund....

[fabijo]

I just went through today's data. I'm staying in the I Fund through tomorrow. I'm amazed at how the monkey is drawn towards fast movement. It could care less if the movement is up or down. It goes through negative months and comes out positive, jumping around the CSI, constantly seeking to be in the fastest fund, whether that fund is fastest in a downward direction or fastest in an upward direction. I'm still scratching my head at how it manages to do that. I actually think our delay in IFT is helping to increase returns.

[I Got Robbed]

I was going to get out of I after the long ride down, but oh well. I'll just let myself enjoy the ride. I gotta stop making decisions out of fear and greed. My fear is telling me to get out, but that was the same thing telling me to get in just before the big drop. This year is one of the toughest learning experiences in my life. Hey, I still got at least 25 years left. That should be long enough for it to recover!


I have been prairie dogging for 3 dayz!!! sure am getting unbelievable returns !!

[fabijo]

I have been prairie dogging for 3 dayz!!! sure am getting unbelievable returns !!

Prairie dogging. :laugh:

[fabijo]

The pain addicted monkey wants to stay in the I fund for tomorrow. I'll obey the monkey on my back.

[Birchtree]

If the high euro exchange rate is driving both exports and gross domestic product down, then the exchange rate is too high - but I don't see that happening. It has taken a surprisingly long time for a normal export led recovery to take hold. Bloomberg was saying tonight that the VAT in Germany has been accepted by consumers and that their spending will pick up. The biggest risk to the euro land recovery would be another jump in oil prices that would spark fear of inflation and reduce consumer confidence. With oil at the $54.00 range I think Europe is a green light for the next 12 months.

[fabijo]

Birch, thanks for the encouragement. Your comments have remained bullish, but I haven't seen much of your extreme bullish comments lately - where'd they go? Do I sense a little uncertainty?

[Birchtree]

No sir, no uncertainty in the bullish perspective. But once you get to where you wanted to go - you have to start over for the next level. I'm waiting on Dow Theory Primary buy confirmation and the EW Primary wave 3 of Cycle wave 3 to set. When that happens in comes the public and who knows where the top will terminate - the Ducati and I will ride all the bumps. Good to see you hold your positions. Snort.

[fabijo]

Good to see you hold your positions. Snort.

I'm only holding because I created a new monkey. This one is addicted to pain. The monkey I created last month would've done pretty bad over the past 57 years. It was too cautious and would've jumped out of the I fund the moment it saw a drop. The new monkey is a monster and jumps at the chance to suffer extreme blows in a bull market, because he knows that if he gets out, he'll miss the jumps up. (oo oo ah ah - Monkey talking)

[fabijo]

With the big 1.07% move up in the S fund today, the monkey is a little sad he missed it, so he asked me to send him to the S tomorrow. With any luck, internationals will go up tonight, dollar down, then an american profit taking happens tomorrow so I can get in the S cheap and out of the I expensive.

[fabijo]

The monkey loves the S fund. He's wants to stay in it at least through Tuesday.

[fabijo]

The monkey says to go to S, but only by a small margin. Since it is hovering between S and I, I made an IFT for 50% S, 50% I. I usually just go 100% in one fund, but I figure I'll go with some split action.

[fabijo]

Going all in the I fund. I hate these days of little action. I want some excitement. Either up or down real fast.

[fabijo]

Well, that was a quick one day move. Going back to S tomorrow. My fingers are getting tired of all these IFT's. I really need to make this automated. Now they got the new logon process, with all the Agree and Okay buttons. I wonder when they will require a new password.

[fabijo]

Well, that was a quick one day move. Going back to S tomorrow. My fingers are getting tired of all these IFT's.

It might just be easier for me to split between funds or just create a weekly monkey.

[nnuut]

You and the Monkey are just trying to beat my record of 166 IFTs!!:D

[fabijo]

You and the Monkey are just trying to beat my record of 166 IFTs!!:D

Probably! I think this thing will try to make an IFT every other day. :)

[The_Technician]

Probably! I think this thing will try to make an IFT every other day. :)
Sounds like a lot of monkey business to me.....:nuts:

[fabijo]

Well, yesterday I had a relaxing day at my house, so I picked up a pen and paper. I'll be working on another program again (I don't think I'll ever stop). Now that I've been taking Visual Basic .NET and Oject-Oriented Programming with C++ for my college studies, I've been looking at programming a little differently. That object-oriented approach is definitely handy.

I mentioned some of the basic logic for my next program in ebbnflow's account talk thread. I've been writing the logic out and making little diagrams. My wife just looks at the paper and thinks I'm a mad scientist or something.

Basically, I'll create different investors (or monkeys). Each monkey has a set of rules that they follow to make their trades. Some are bullish, some are bearish, and some are neutral. From those, some are day traders, some are weekly traders, some are monthly traders, and so on. What I will do is have all of these monkeys look at the data and predict what tomorrow's price should be according to their bias. They will then make a decision to either buy, sell, or hold based on their rules.

So far, it just sounds like a little game. Let's say I have 15 different types of monkeys making price predictions for tomorrow. If I averaged their price predictions, I would have a general market prediction for tomorrow. The problem is that all of these investment styles to not have equal weight, so I need a way to give more weight to monkeys who have a tendency to succeed more than other monkeys.

That's where the pompous monkey comes in. He just keeps track of all the monkeys. He knows how successful each monkey has been over time and will decide how much weight each monkey's prediction has on the overall prediction.

What I plan on doing is having these monkeys participate in the historical market, so that I can play with how much weight each monkey has in the beginning. This is called training the pompous monkey. Once it is trained, I will let all the monkeys run loose, predicting tomorrow's price in their own way, with the pompous monkey averaging each of their predictions to make a prediction of its own. I will then feed that predicted price into the monkey market to have a prediction for the next day. No more days after that - just two days predictions. As chaos theory shows, even though your predictions look good in the beginning, the tiniest fractions in the beginning go wildly out of proportion far into the future.

I only really need to "predict" two days, because of our delay in the TSP. Even if I can't get a real price prediction out of this, I suspect that I will get a general idea of the market movement, which could be enough to know if they will be up days or down days. That's all that really matters, right?

Gotta go, Wall Street is knocking on my door. :worried:

[Fivetears]

Be careful; it may not be Wall Street coming for you.
http://image.guardian.co.uk/sys-images/Film/Pix/pictures/2005/06/21/apesAAA.jpg

[ayla]

So far, it just sounds like a little game. Let's say I have 15 different types of monkeys making price predictions for tomorrow. If I averaged their price predictions, I would have a general market prediction for tomorrow. The problem is that all of these investment styles to not have equal weight, so I need a way to give more weight to monkeys who have a tendency to succeed more than other monkeys.

I've been mulling over some comments I've heard (can't remember if it was here or somewhere else) about investment styles working better according to the type of market as well as other things. I would suggest that your pompous monkey first decide what the nature of the market is, bull or bear (or trending or in a trading range, etc.) and THEN decide what the success rate is for each monkey. I don't think this is the same as giving more weight to a "bullish" monkey in a bull market and more weight to a "bearish" monkey in a bear market. I could be wrong (won't be the first time).

I've been thinking more and more about this, that when I do any back testing, I shouldn't apply the same logic (or program) all the way back. That I should have a different program depending on the type of market. I have a lot to learn about the different types of markets so I can't explain it any better than this.

I appreciate you sharing your thoughts about your programing. Thanks.

p.s. And one last thought, I have entertained the idea of learning about "neural networks" to use in developing a program. If you're just starting a new program, and you haven't thought of this you might consider doing a google search for "investing" and "neural networks" and I think you might find some interesting stuff. (Maybe you could work the "neural networks" into a school project for some kind of credit...)

[tspgo_com]

Finally, I've worked a way for the spreadsheet to follow a bit of probabilities also.

Now here are the results:

Prior to using probabilities:
June 2, 2003 to December 15, 2006
Monkey: 133.59%
Year to Date
Monkey: 22.9%

Now using probabilities along with MACD:
June 2, 2003 to December 15, 2006
Monkey: 157.64%
Year to Date
Monkey: 32.07%

There are three pages. The one titled Real Prices is the one that will show you which fund to go into tomorrow. If you put in today's TSP fund prices, look at the allocation for the next day - that's the one to follow.

http://mircats.com/fabio/Projecting.Growth.xls
(Be aware that the file is about 10MB!! My server has been slow, probably because people keep downloading these things)

Fabijo:

I have been looking at your spreadsheet because TSPGO! sell and buy signals are generated by short term Simple Moving Averages and the difference between them, etc. Reading some of your posts I found some similarities and I got the impression that you were using a more refined method to get your Sell and Buy signals. I am not an expert using Excel formulas, therefore I use simple math formulas to calculate returns. For example to calculate the total return in your spreadsheet as of December 15, I use something like "=T896+S897" where T896 is December 14 accumalative total since June 2, 2003 and S897 is December 15's gain. When I use this formula to your spreadsheet the return as of December 15, 2006 is 96.53% instead of your carculated return of 157.64%. What am I doing wrong?

Thank you

[fabijo]

Fabijo:

I have been looking at your spreadsheet because TSPGO! sell and buy signals are generated by short term Simple Moving Averages and the difference between them, etc. Reading some of your posts I found some similarities and I got the impression that you were using a more refined method to get your Sell and Buy signals. I am not an expert using Excel formulas, therefore I use simple math formulas to calculate returns. For example to calculate the total return in your spreadsheet as of December 15, I use something like "=T896+S897" where T896 is December 14 accumalative total since June 2, 2003 and S897 is December 15's gain. When I use this formula to your spreadsheet the return as of December 15, 2006 is 96.53% instead of your carculated return of 157.64%. What am I doing wrong?

Thank you

Hey, thanks for checking out the spreadsheet. You're right, I just use moving averages. That spreadsheet uses the MACD, where you can change the parameters of the MACD. I see why you are getting 96.53%. When you add percentages like that, it does not give you a true return on your original starting value from June 2, 2003. Your method might work for calculating small changes in a small time frame, but those small differences work out big in the long run. The easy answer is to say it's because of compounding. Here's a quick example.

Let's say that today you had $1,000 in the TSP. Now if you had a .5% gain for tomorrow, your amount in the TSP is $1,005. If you then had a .5% loss for the next day, your TSP amount would then be $999.975, because you are losing .5% of $1,005, which is $5.025. Just adding those two percentages together would make you believe you had a 0% return (no gain, no loss), when really you had a .0025% loss. So, if you continue adding like that for 908 days, those little differences would add up to make a big error in calculating returns.

Does that help?

[fabijo]

I've been mulling over some comments I've heard (can't remember if it was here or somewhere else) about investment styles working better according to the type of market as well as other things. I would suggest that your pompous monkey first decide what the nature of the market is, bull or bear (or trending or in a trading range, etc.) and THEN decide what the success rate is for each monkey. I don't think this is the same as giving more weight to a "bullish" monkey in a bull market and more weight to a "bearish" monkey in a bear market. I could be wrong (won't be the first time).

I've been thinking more and more about this, that when I do any back testing, I shouldn't apply the same logic (or program) all the way back. That I should have a different program depending on the type of market. I have a lot to learn about the different types of markets so I can't explain it any better than this.

I appreciate you sharing your thoughts about your programing. Thanks.

p.s. And one last thought, I have entertained the idea of learning about "neural networks" to use in developing a program. If you're just starting a new program, and you haven't thought of this you might consider doing a google search for "investing" and "neural networks" and I think you might find some interesting stuff. (Maybe you could work the "neural networks" into a school project for some kind of credit...)

I've also found that different methods work in different types of markets. That's how my newest monkey is working. It's decision for bullish or bearish markets is decided by seeing if the 75 day EMA is more than the 180 day EMA. In a bull market (75EMA > 180EMA), it just sticks to the C,S,I. In a bear market, instead of hanging out in G or F, it will go to the C,S,I if 3EMA > 19EMA. That way, it doesn't just wait for the 75EMA to catch up to the 180EMA.

As far as the pompous monkey, I still have a lot of planning and programming to do to create all the different types of monkeys. I randomly think of a different set of rules for another monkey. The more I think of, the more I realize that the market is made up of all kinds of investors at any given time. Consistent through all markets are the buy and holders. I just might have to do research to see what general rules/methods a bunch of us monkeys go by. Some people like to pump more money into the market while it is going down, then slowly peel off a little at a time while in a bull run. There are so many monkeys to create.

Once I have all these monkeys, I'll be playing mostly with the pompous monkey's rules for giving weights. I might make it accumulative, or I might use your suggestion by having it keep track of the success rates during different types of markets.

If anybody wants to share a simple method that a monkey should follow, feel free to let me know. Some examples of monkeys:

Buy when Slow Stochastics crosses to the upside, sell on the downside.

Day trader monkey: Buy on a down day, sell on an up day.

and the possibility of monkeys are endless.

[fabijo]

Of course, the monkey I created in December is beating the monkey I'm following. Who to go with? I'm sticking with the masochist monkey and holding my 100% S fund position.

For those interested, here are where the monkeys are going tomorrow:

Masochist Monkey: S Fund

Scared Monkey: F Fund

[fabijo]

I have entertained the idea of learning about "neural networks" to use in developing a program. If you're just starting a new program, and you haven't thought of this you might consider doing a google search for "investing" and "neural networks" and I think you might find some interesting stuff. (Maybe you could work the "neural networks" into a school project for some kind of credit...)

The monkey market is planned on being a kind of neural network. I got the idea by reading this article: http://www.cprogramming.com/tutorial/AI/perceptron.html

It is a general description of a perceptron (meant to emulate one neuron). I was thinking of the pompous monkey as the one neuron. All of the market monkeys will serve as its input. I could create a bunch of pompous monkeys to act as a neural network, but I'm planning on starting with one to see how it does.

[ayla]

The monkey market is planned on being a kind of neural network. I got the idea by reading this article: http://www.cprogramming.com/tutorial/AI/perceptron.html

It is a general description of a perceptron (meant to emulate one neuron). I was thinking of the pompous monkey as the one neuron. All of the market monkeys will serve as its input. I could create a bunch of pompous monkeys to act as a neural network, but I'm planning on starting with one to see how it does.

Thanks for the link! That seems to provide a good foundation to start from. Definitely a keeper!

[fabijo]

Thanks for the link! That seems to provide a good foundation to start from. Definitely a keeper!

No problem, ayla. Sharing is definitely the point of this board.

One thing I forgot to mention about this monkey market. It is mostly meant to test a little theory I have. Those sudden market moves to the down (or up) seem to catch everybody by surprise. My little theory is that there may be some moments in the market where all these different strategies happen to merge together causing a strong force in one direction. It seems like the entire market is acting in unison to that direction and it seems like some coordinated effort, but I think that there are just times where a bunch of investing styles accidentally meet in the same direction. I'm hoping that my monkey market will stumble upon a similar scenario. Even if I give it some random starting data, I'd like to see if the monkey market would produce a market that looks real with its sudden drops out of the blue.

[airlift]

Perhaps some of convergence has to do with institutions and hedge funds buying and/or selling at preconceived or predetermined inflection points, when (as an example) indices reach support or resistance at the 50 or 200 day moving averages, and also when targets regarding overextended or undervalued stock prices are reached.

[fabijo]

Perhaps some of convergence has to do with institutions and hedge funds buying and/or selling at preconceived or predetermined inflection points, when (as an example) indices reach support or resistance at the 50 or 200 day moving averages, and also when targets regarding overextended or undervalued stock prices are reached.

Yup. I think the monkey market big guys will emulate institutional buying and selling.

[ayla]

One thing I forgot to mention about this monkey market. It is mostly meant to test a little theory I have. Those sudden market moves to the down (or up) seem to catch everybody by surprise. My little theory is that there may be some moments in the market where all these different strategies happen to merge together causing a strong force in one direction. It seems like the entire market is acting in unison to that direction and it seems like some coordinated effort, but I think that there are just times where a bunch of investing styles accidentally meet in the same direction. I'm hoping that my monkey market will stumble upon a similar scenario. Even if I give it some random starting data, I'd like to see if the monkey market would produce a market that looks real with its sudden drops out of the blue.

Your ideas about looking for a "coordinated effort" seem very interesting to me, especially since I seem to like to follow "conspiracy theories" wherever I find them, LOL.

I thought this paragraph below from Griffin's account talk was very insightful. May be elementary for others but I really like his definitions for the different categories of aggressiveness. Seems like that would fit into a nice logic for a program (somehow..) .


LOL -
<..snip..>

Since abandoning my original plan for this year, I decided to go back to the old methodology but use "the matrix" to control my approach between a highly aggressive approach (hold stocks when the market is toppy and buy on the expectation of support) versus a low aggressive approach (sell the rally at the first sign of topping and wait for retests before buying bottoms). I base my decisions to move or stay on how aggressive I think I should be. This is basically a low, medium, high (and very high = buy and hold). Yesterday I was on high, now I'm on low and will remain so long enough to give our new model a fair shake at predicting the next pullback (two weeks or so). This is why I expect to sell tomorrow, but I wasn't about to give up on what looks to be a no-brainer (sugarandspice for CEO :D ) move.

[fabijo]

Your ideas about looking for a "coordinated effort" seem very interesting to me, especially since I seem to like to follow "conspiracy theories" wherever I find them, LOL.

I thought this paragraph below from Griffin's account talk was very insightful. May be elementary for others but I really like his definitions for the different categories of aggressiveness. Seems like that would fit into a nice logic for a program (somehow..) .

Just today I was thinking that instead of trying to get all the monkeys to predict a price, I could get them to decide what price they are willing to buy at and when they are planning to sell. From the coordinated efforts of all the monkeys, the pompous monkey will know all the stops and triggers of each monkey. With that data, it would make a prediction of how much the market will move the next couple of days.

[The_Technician]

Just today I was thinking that instead of trying to get all the monkeys to predict a price, I could get them to decide what price they are willing to buy at and when they are planning to sell. From the coordinated efforts of all the monkeys, the pompous monkey will know all the stops and triggers of each monkey. With that data, it would make a prediction of how much the market will move the next couple of days.

I got two monkeys, one on each Crystal Ball.....one tells me one thang by jumping funny :nuts: and the other gives me signals by what he sings :blink: .....I'm the pompous one that makes the final decisions :worried: .....it must be working out ok for my monkeys for this year, my return is better.....

I told them I would just have to let the lion eat them if they didn't get the song and dance right.....:sick:

[fabijo]

.....I'm the pompous one that makes the final decisions :worried: .....

:laugh: I tried playing the role of the pompous monkey (I guess no matter how you look at it, I ultimately make the decision) - but that just doesn't seem to work. My logic and emotions just don't seem to agree with how the market really is.

[fabijo]

FYI, both of my monkeys want the S Fund, of course. The masochist monkey has been in the S since Friday, while the scared monkey is a little late. He's going to be leaving the F and just getting into the S tomorrow.

[The_Technician]

FYI, both of my monkeys want the S Fund, of course. The masochist monkey has been in the S since Friday, while the scared monkey is a little late. He's going to be leaving the F and just getting into the S tomorrow.

Out of curiosity, what does your monkeying around return for the last 21 days????

[fabijo]

Out of curiosity, what does your monkeying around return for the last 21 days????

I'll have to check on that later. I'm not at my computer with my spreadsheet. But are you asking what MY returns have been or what the monkey's returns have been?

[The_Technician]

I'll have to check on that later. I'm not at my computer with my spreadsheet. But are you asking what MY returns have been or what the monkey's returns have been?

If you would use your monkey to back check the returns it called for in the recent past....it may be 4-5% or so....

[fabijo]

Whew! Just got my homework submitted 2.5 minutes before the deadline. Crazy C++ class. Anyway, just a note that the monkeys are all happy with the S fund still.

Tech - I still haven't checked about how much I would've gotten in the past 21 days. I can easily tweak the monkeys and they give me different results over any period. For example, if I kept the settings the same as what would've given a 40&#37; return last year, I would only be at .8% this year. Seeing what it did in just a short time doesn't make or break a monkey. I've been using the monkey setting that only gave about 30% last year - those settings are doing better this year (somewhere in the 2-3% range).

No matter how I tweak the settings, the monkeys are still just market followers. I hope that by the end of this year, I'll have market "makers."

[fabijo]

Oooh. That nice fast moving down with the S&P 500 is begging for my monkey's attention. That's where I'm going cob tomorrow - C Fund.

[Birchtree]

I'll get a small bite on it next week with my DCA. $15.80 would be ideal.

[fabijo]

Of course, all that fast action down for the EAFE sent my monkeys all over it. I just made an IFT to I, effective cob 1/29/2007

[350zCommTech]

Of course, all that fast action down for the EAFE sent my monkeys all over it. I just made an IFT to I, effective cob 1/29/2007

Wait a second, that's what I was planning on doing.:)

[fabijo]

Wait a second, that's what I was planning on doing.:)

It's a bit scary following a system that chases the big losses, but it just seems to work itself out.

[fabijo]

It's a bit scary following a system that chases the big losses, but it just seems to work itself out.

Looks like I'm still ahead of the S-Fund for the year. I just looked at Rokid's tracker for the week and noticed that the I fund was number one last year. Is that true? Nobody beat the top performing fund for the year?? Can we do it this year? Let's go TSP Talkers. I'm sure some of us are bound to do it.

[fabijo]

Despite all the monkeys telling me to go the S fund, I'm gonna hang out in I at least one more day - partly because the tsp website is acting slow, and I also have little time. busy busy busy

[fabijo]

Despite all the monkeys telling me to go the S fund, I'm gonna hang out in I at least one more day - partly because the tsp website is acting slow, and I also have little time. busy busy busy

TSP.gov is working fine. I made my IFT to the S fund for tomorrow. That S fund is doing pretty good so far this year.

[fabijo]

TSP.gov is working fine. I made my IFT to the S fund for tomorrow. That S fund is doing pretty good so far this year.

And again I changed my mind. Holding my position in the I fund.

I think those crazy big investors are still trying to milk the emerging markets boom:

http://www.bloomberg.com/apps/news?pid=20601170&sid=agDRIvNOMOh4

[fabijo]

I just committed the ultimate sin against the monkeys. 100&#37; G cob today.
How dare I attempt to use some thought to trading! I hope it isn't a mistake to disobey the monkey once in a while.


The monkeys would have gone to S yesterday and stayed through today.

[Show-me]

I'm going against my plan and went 50/25/25 G/C/I. I could not be more nervous.

[fabijo]

I'm going against my plan and went 50/25/25 G/C/I. I could not be more nervous.

Well, I am glad there was a positive FV. I assumed it would happen because I assumed the Fed would keep rates the same. I'm afraid that we're entering into a situation similar to last May. I'm going against my monkeys and staying with G until the drop happens. There is just way too much negative divergence on the MACD and Chaikin Money Flow to keep this rally going much longer.

http://mircats.com/TSP_Tools/spx.neg.divergence.png

[Show-me]

I am going to have to get you to teach me how to post the chart.

[fabijo]

I am going to have to get you to teach me how to post the chart.

I cheated, because I uploaded it to my own server, then linked to it with img tags.

[fabijo]

Funny little way to find market indicators:

http://money.cnn.com/2007/02/01/commentary/wastler/index.htm?postversion=2007020116

[fabijo]

It is so tempting to beat myself over the head for jumping too soon and not listening to the monkeys. I gotta keep cool. In two weeks, I'll be done with these two college classes and I should have some time to work on the next version of the TSP monkey: Monkey Mayhem

[fabijo]

from http://www.bloomberg.com/apps/news?pid=20601087&sid=aqMp4yS0JQdw :


The Treasury received bids for 2.97 times the $16 billion of three-year notes offered in yesterday's sale, the highest so- called bid-to-cover ratio since May 1998. Indirect bidders, the class that includes foreign central banks, bought 32.3 percent of the notes. The Treasury will also sell $13 billion of 10-year notes today $9 billion of 30-year debt tomorrow.

[fabijo]

I have no idea how Tom can stay out this long! I've only been in G fund for about a week and I am getting tired of watching the moves up. It's just killing me to be missing on the up moves. I should've just stuck to the plan.

:mad::mad: double mad

[Birchtree]

Tom will be in before Friday or on the Friday close. The bullish stampede is starting and will end in about six months with a crescendo.

[fedgolfer]

Fab, what have the monkey's been saying. You stopped posting the readings after you followed your gut. Some of us are still interested in what you system is telling you even if you're not following it. Thx in advance.

[fabijo]

Fab, what have the monkey's been saying. You stopped posting the readings after you followed your gut. Some of us are still interested in what you system is telling you even if you're not following it. Thx in advance.

Sorry, fed! Pretty selfish of me. I just quickly looked at it. I'll give the info tonight for tomorrow. I might just let the monkey hold my hand again anyway. They pretty much have been focused on the S and I all week. It's pretty easy to figure out what the monkeys want because they only jump onto the fastest moving fund. I guess defining the fastest can be the tricky part, because you can change the amount of days that it averages to figure out which is fastest. For this year, I've mostly been using an EMA setting of 1.13 days. It just seems to be working the best so far. Really, every day I go through changing the EMA from decimal values between 1 and 4. For the most part, the monkey will unchange its views on tomorrow's fund. But if it does waiver while I vary the range, then I'll consider going 50/50 between those two funds.

Well, I just finished looking at all the data and entering in all week's prices. It's hovering between S and I tomorrow. For those who don't like a bunch of moves, using a 3 day EMA has kept the monkey choosing S fund for almost two weeks straight. Using a shorter term EMA, the monkey wants the I fund tomorrow. The best returns last year for the monkey is using about a 3.75 day EMA, which would've given the monkey a 40% return for the year. Using the 3 day, the monkey would've gotten 38%. And a 1.13 day EMA would've squeaked out a measely 31% return for 2006.

When I told my wife last week that I ignored the monkey, I had a hard time explaining to her why.

"You were just telling me how much safer you feel following the monkey, and now you don't trust it?!"

"Well, I never put anything in the program to measure divergence on the MACD and Chaikin Money Flow." (just trying to explain that was nuts)

"Why didn't you just put it in the program?"

"I plan on it, but I just don't have the time."

"I don't understand why you went against your own program!"

We went over and over again the same circle of conversation for about ten minutes.

[fabijo]

Well, I gave in to the monkey. Maybe I should start calling it a guerilla.

100&#37; S tomorrow

I said it before, but I didn't listen to myself - It is more risky being out of the market than in.

[ebbnflow]

A guerilla gorilla? :laugh:

[fabijo]

oops! well that works, too.

[fabijo]

I just realized something. I believe that I said in the beginning of the year that I'd let myself be the guinea pig to test my monkey tracking. So I spent a week and a half ignoring the monkeys.

Just to show that it is possible to still come out on top even after staying in the market through big moves down, I'll keep following my monkeys no matter how bad the market gets this year. I hope I didn't ruin the year by ignoring the monkey for a week! :)

(of course, it is easy to say all this on a weekend. Let's see what I'll be saying next week when I stumble upon some new "indicator" or article!)

[ebbnflow]

As long as you have a system you believe in, and know it has a stable base to rely on, you can bungle and stumble your way to great gains this year -- at least that's what I did last year! :laugh:

[The_Technician]

I just realized something. I believe that I said in the beginning of the year that I'd let myself be the guinea pig to test my monkey tracking. So I spent a week and a half ignoring the monkeys.

Just to show that it is possible to still come out on top even after staying in the market through big moves down, I'll keep following my monkeys no matter how bad the market gets this year. I hope I didn't ruin the year by ignoring the monkey for a week! :)

(of course, it is easy to say all this on a weekend. Let's see what I'll be saying next week when I stumble upon some new "indicator" or article!)

Don't feel like you're the only one who is ignoring the monkeys...I did this week and I missed out on 1%.....being cautious is a good thing.....my monkeys are mostly right, just sometimes you know they will be wrong.....

[fabijo]

Brave Monkey still wants to stay in the S Fund.

Yes, mister gorilla, whatever you say.

[nnuut]

Watch-out this might be IT! But I really don't know:confused:

[fabijo]

Watch-out this might be IT! But I really don't know:confused:

True. I'm just tired of guessing anymore. If things don't work, I can blame the monkey. Oh wait. I created the monkey. Soon my creation will rebel against me and pounce on my back as I weep bitterly! :eek:

[nnuut]

That Monkey might be turning into a
Frankenstein?:nuts:

[fabijo]

That Monkey might be turning into a
Frankenstein?:nuts:

Let's just hope it doesn't develop self-awareness.

[fabijo]

Staying with the S fund. I can't believe how well the S has been holding itself this year.

[ebbnflow]

Fabijo, congrats on letting your monkeys loose! You must be proud of them monkeys (that sounded a lot like 'Damn Yankees'). :D

[fabijo]

This is my last week of C++ and Visual Basic. Then I'll just have 6 weeks of Discrete Mathematics, which shouldn't be as time consuming. I hope I'll be able to train some more monkeys during that time - especially since I'll be spending almost 3 of those weeks in Oklahoma City with nothing better to do.

[kar_crazy]

welcome to oklahoma :D when you get here i think it could be worse some where ,but for now it sucks cold and snow just stay in garage and put motor back together tracks open sunday time to play:)

[ChemEng]

Then I'll just have 6 weeks of Discrete Mathematics, which shouldn't be as time consuming.

Discrete Mathematics was the last math I took to meet my math minor requirement. I found it to be really simple--especially after struggling with my senior level engineering courses. I have no idea why it was a 300 level course. It was like an intro class to many advanced math topics, but didnt really dig into any of them.

Hope you find the same experience. :)

[fabijo]

Made the IFT to I fund. I hope my monkey isn't too late in the game!

[fabijo]

Discrete Mathematics was the last math I took to meet my math minor requirement. I found it to be really simple--especially after struggling with my senior level engineering courses. I have no idea why it was a 300 level course. It was like an intro class to many advanced math topics, but didnt really dig into any of them.

Hope you find the same experience. :)

Yeah, when I looked at the course description it sounded pretty simple. I wondered the same thing - why is it such a high level course?

[fabijo]

Even though I think Brave Monkey is a little late in the game, I'm staying in the I fund, because that's what Brave Monkey says.

[fabijo]

Of course the monkey had to leave the S! :mad:
I should've ignored the monkey because of how big of a move the I fund was. I'm sure it exceeded standard deviation by quite a bit, so I should've known that it would correct itself.

Oh well, time to work on creating Monkey Mayhem...

[fabijo]

I'm going on a short vacation tomorrow. I don't know if I'll have access to the internet or not. If not, I just plan on staying 100&#37; S all week.

[fabijo]

Looks like I missed a little I fund action by being on vacation with the family. I just made an IFT to the I fund, as per the monkey. I hope there's a little pause or dip that I can catch!

I'm flying out to good old Oklahoma City in the morning to spend 3 weeks there.
That should give me some time to catch up on some programming.

[Spaf]

Looks like I missed a little I fund action by being on vacation with the family. I just made an IFT to the I fund, as per the monkey. I hope there's a little pause or dip that I can catch!

I'm flying out to good old Oklahoma City in the morning to spend 3 weeks there.
That should give me some time to catch up on some programming.

fabijo,
When U get to OKC give me a PM about your phone number! And, we can chat ifn U like!
Spaf

[fabijo]

fabijo,
When U get to OKC give me a PM about your phone number! And, we can chat ifn U like!
Spaf

Sure thing.

[fabijo]

Finally! Some really big market moves. My monkey is going to be so happy these next couple of weeks. I said it a couple of weeks ago - I'm going to follow the sadistic monkey through all the craziness, even these times where it looks like we are in a correction. My sadistic monkey will be jumping to the fund that looks to be moving down the fastest. It's hard to tell if that is going to be the I fund or the S fund.

[SkiUtah]

I am playing the S to lead, the I to follow. We could see a 4% gain in the next 2 days...or of course, the bottom could be down another 6%....

[nnuut]

Don't let it head fake you. Look at last May, little up tick then a down, lower highs and lower lows, sometimes the trend may not be your friend, but you can try and time the bounces, be nimble!:o Yeah, like I'm an expert!!:laugh: :laugh: :laugh:

[nnuut]

Might be kind of tricky though!:worried:
1435

[fabijo]

Just ran the index prices by the monkey. He's drooling over the S Fund, so I made my IFT back to the S Fund, effective cob tomorrow. Let's see how much blood he draws these next couple of days.

[fabijo]

Man, with all the movement these past few days, the monkey is pretty confused. It looks like most of the monkeys want to go to the I fund. I made my IFT to the I fund, only to be effective cob tomorrow.

Of course, I am aware that I'll probably be too late again by getting in on an up day tomorrow (dead cat). Oh well, that's one of the major weaknesses of the market following monkey. I've just got to be emotionless and stick to the plan. Over time, it works itself out.

[I Got Robbed]

Dude, I just doubled my returns from -2% to -4%. The monkey does work!!!!! but I am going to stick to the plan and see if I could triple my returns. lolz. I think you are right; overtime the monkey will produce a greater return than of the fund with annual highest return.

[ChemEng]

Dude, I just doubled my returns from -2% to -4%. The monkey does work!!!!! but I am going to stick to the plan and see if I could triple my returns. lolz.

Im sorry. This just struck me as funny... :)

[fabijo]

Dude, I just doubled my returns from -2% to -4%. The monkey does work!!!!!

:laugh: Yup. Keep doubling it fast!

[fabijo]

Just ran the numbers by the monkey. It's finally deciding to stay for more than a day in the I fund. Holding my 100&#37; I Fund position.

I believe I am down for the year so far. I'd like to see how this pain addicted monkey does by the end of the year.

[The_Technician]

Just ran the numbers by the monkey. It's finally deciding to stay for more than a day in the I fund. Holding my 100% I Fund position.

I believe I am down for the year so far. I'd like to see how this pain addicted monkey does by the end of the year.
My monkeys keep making suggestions too Fabijo......but I don't like pain......and I ain't suicidal......:sick:

[fabijo]

My monkeys keep making suggestions too Fabijo......but I don't like pain......and I ain't suicidal......:sick:

I don't like it, either, but using this approach for long term investing works itself out in the long run. The good thing about computers is that you can simulate different methods for all types of markets. After trying all kinds of methods from 1950 through today, this pain swallowing approach works best. Avoiding pain sometimes works short term, but sometimes keeps you out of gains. Over the long run, occasionally missing out on those gains really adds up to ALOT of missed gains.

I did a simple test the other day. From 1950 to now, the ratio of the number of days positive to the number of days negative is about 1.4. I forget the other numbers, but if you use more recent numbers like 1990 to now and 2003 to now, you end up with ratios of 3:1 to about 8:1. That is just the number of days positive gain/number of days negative gain. The other interesting stat is that the ratio of the &#37;gain:%loss is also greater than 1. Combine those factors and you come up with this:

On any given day in the market, you have a greater chance of gain than loss.

The best way to "time" the market is to use long term moving averages to decide on the prevailing force. Right now, the long term is still a positive force. If you figure that we have such a strong positive force, but still had a "big" negative day, you might be able to predict some larger moves positive to balance out the ratio. That's what I'm afraid to miss out on. Tom's been saying that we haven't had a 10% correction in a while, but we also haven't had any eye-popping daily gains in quite a while. Wouldn't it be nice to have a 3,4, or 5% gain in a day??? :D

[I Got Robbed]

Wouldn't it be nice to have a 3,4, or 5&#37; gain in a day??? :D

I dont know, I am getting so used to great losses, I really dont think I would be able to handle a gain that big.
The pain feels less and less as the amount of losses are smaller and smaller due to the decline of money in my account.
I am still sticking to the monkey, Monkey Theory all the way. By the way I am following the short term monkey and its telling me to go from 100% I to 100% S. I hope my monkey didnt catch a virus.

Looks like I am just gonna have to play the mega million today for early retirement!!!

[FUTURESTRADER]

My monkeys keep making suggestions too Fabijo......but I don't like pain......and I ain't suicidal......:sick:

I gotta go with Techy. Google "Long-Term Capitol Management" . One guy was a Noble prize winner for Economics, the others were Black and Scholes, creators of industry standard Black and Scholes Options Valuation formula. Swore their system was fail-safe. Ironically, I think it was the previous Asian contagion of 1988 that was the last straw.

http://en.wikipedia.org/wiki/Long-Term_Capital_Management

[fabijo]

I gotta go with Techy. Google "Long-Term Capitol Management" . One guy was a Noble prize winner for Economics, the others were Black and Scholes, creators of industry standard Black and Scholes Options Valuation formula. Swore their system was fail-safe. Ironically, I think it was the previous Asian contagion of 1988 that was the last straw.

http://en.wikipedia.org/wiki/Long-Term_Capital_Management

Thanks for the link, Futurestrader. I just read the article. I already understand that there are going to be big downside risks that happen rarely, but the reason they couldn't withstand the losses was because they were using leverage. We can't use leverage in our TSP accounts. The only way I could lose all my money in TSP is if the market is worth $0 - that and if I got in at the tops and out at the bottoms.

But since you bring up 1998, that is the year that the monkey's backtesting struggles with the most. The S&P rebounded nicely that year, ending the year with a 26&#37; gain, but the DJ Wilshire 4500 ended with only a 7.6% gain.

When I go through the range of settings I go through each day for the monkey. It only manages returns ranging from 7.75% to 13.85% for that year. Maybe I should add a variable that says stick to the C Fund when Asia is acting whacky.

[fabijo]

I dont know, I am getting so used to great losses, I really dont think I would be able to handle a gain that big.
The pain feels less and less as the amount of losses are smaller and smaller due to the decline of money in my account.
I am still sticking to the monkey, Monkey Theory all the way. By the way I am following the short term monkey and its telling me to go from 100% I to 100% S. I hope my monkey didnt catch a virus.

Looks like I am just gonna have to play the mega million today for early retirement!!!

:laugh: Mr. Robbed, is that a picture of your dad on your avatar?

Which Excel sheet are you using? The one that uses the TSP prices or the one that uses the index prices?

[I Got Robbed]

I am using the one where I post the tsp price as "real price".:worried: and I just found some dudes pic online and used it as avatar. lolz.

[fabijo]

I am using the one where I post the tsp price as "real price".

Oh, okay. I use a bolder, braver monkey than that one. I'm surprised that it wants to go to S and I. I guess that means the price change was more than the limit I set that says something like, "Follow these rules, unless the price change deviates this fast."

[fabijo]

Just made my IFT to the S fund. Will be effective cob Monday. I hope that FV situation clears itself up by then!

[fabijo]

Cool. I just noticed that it says Team TSP under my name. Plus I need to make a random post to get rid of 666 being my number of posts! :)

[weatherweenie]

Cool. I just noticed that it says Team TSP under my name. Plus I need to make a random post to get rid of 666 being my number of posts! :)


You have arrived! :laugh:

[I Got Robbed]

the monkey is saying 100% F on Monday.

[ebbnflow]

Fabijo, during last year or other years, what percentage was your monkey in equities? I'm wondering if we can have good returns regardless of how much we spend being in stocks or safe haven. Just curious. :)

I have the ebbtracker probably being exposed to stocks about less than 60&#37; this year.

[fabijo]

Ebb, the monkey I'm using now is the bravest one. It's been in equities since March 18, 2003 and hasn't indicated G or F yet. It will only consider G or F when the 75 day EMA is below the 180 day EMA. Since we have 3 different equity funds to choose from, the monkey can outperform buy and hold just by switching between those three funds.

Using the 3 day EMA on each index's price change, the monkey decides which one is moving faster and goes to it. It doesn't matter if it is moving down the fastest or up the fastest. As long as the 75 day EMA is greater than the 180 day EMA, it uses that rule. When the 75 day EMA is lower than the 180 EMA, it then goes to the fastest index when the 3 day EMA is above the 19 day EMA, otherwise it chooses between G and F. The only problem is that I don't have TSP data prior to June 2003, so I have no idea how the monkey would have done using the F Fund from 2000 to March 2003. But it still managed returns during those years. Here are some recent years monkey returns to look at:

2000: -6.362&#37;
2001: 18.734%
2002: 11.296%
2003: 30.138%
2004: 28.242%
2005: 15.158%
2006: 38.280%
2007: -0.385%

[fabijo]

My favorite year to look at is 1995. That year, the monkey kept switching between the S&P 500 and the Wilshire 4500 to end the year with a 45&#37; return. I can't wait till something like that happens again!! :D

[ebbnflow]

Thanks, fabijo! It shows that there really is more than one way to skin a cat. :)

Imagine that, 100&#37; in equities for the whole year (actually, since 2003!) and through timing and favorable switching between funds (C, S and I), your monkeys are able to negate the effects of dips and semi-corrections. :)

[fabijo]

Thanks, fabijo! It shows that there really is more than one way to skin a cat. :)

Imagine that, 100% in equities for the whole year (actually, since 2003!) and through timing and favorable switching between funds (C, S and I), your monkeys are able to negate the effects of dips and semi-corrections. :)

There really is more than one way. I would prefer to avoid the big dips so that the returns are maximized. During those dips, the monkey loses lots of percentage because it is going to the fastest fund - which is usually going down fastest. Whenever I try to come up with a quick method for the monkey to get out before major dips, it also gets out on those whipsaws. Over time, those whipsaws add up, making the monkey have less of a return than if he just rode the waves down.

[fabijo]

I just thought I'd see if I can spread more fear by reposting this image that was posted back in September by genod:

http://www.minyanville.com/assets/Image/saut8281.png

Got it from the thread here:
http://www.tsptalk.com/mb/showthread.php?t=3313

[fabijo]

Ouch. Today hurt. Sticking with the plan. Holding 100&#37; S fund.

[fabijo]

Ouch. Today hurt. Sticking with the plan. Holding 100% S fund.

Well, at least the monkey picked the one that had the biggest gain today - unless we are expecting a positive FV on the I fund. I'll have to go check what the monkey wants to do tomorrow.

[Rod]

Well, at least the monkey picked the one that had the biggest gain today

For sure!:cool:

[fabijo]

I'm wondering about this correction. Seems many on the board are assuming last week's drop will be followed by a nice rally (maybe only today), then continue the drop. Seems we hold that basic assumption because "that's what the market tends to do."

They say that once a pattern is noticed, it is too late. I just might keep that in mind when I get deep into programming the ultimate market monkey. The moment the monkey sees a pattern, then it should do the opposite of the pattern, because the market does what we do not expect. But then that is a pattern, too. AAAAHHHH, it's an endless loop!

[fabijo]

The monkey is torn between all three indices. If I keep it with the parameters that give it the best returns for 2007, it wants the S Fund. If I keep it with what has worked over the longer term, it is a hairline between the C Fund and the I Fund.

I kind of like the idea of the C Fund. It is lagging the most as far as returns for the year. I don't want to go to the I Fund because that has a big +FV applied to it.

Well, I just hopped over to the TSP website and made the IFT to the C Fund. I don't like going 50/50, so I just decided to go with the longer term monkey on this one.

[fabijo]

The monkey wants to go to the I fund, but I'll hang out in C at least one more day. Since the C Fund tends to give a quick burst one day then push its way a few days later, the monkey hasn't been that great jumping on the C Fund in time to catch the big up days. I have a pretty good feeling about large caps this year (especially since reading that post from elgallo in the other thread).

[ebbnflow]

Fabijo, you can check the photobucket link anytime after 9:00 PM for the ebbtracker updates. Spaf was able to edit the ebbchart to link to your server instead of photobucket, so that should be visible for people at their workplace. The spinning dollars are working from your server, also. Thanks again. :)

[fabijo]

Monkey says go to I Fund. I'm just gonna hold my C Fund.

[fabijo]

Now the Monkey wants a piece of the S Fund action. I'll leave the C Fund lilly pad and go to the S Fund.

Yup, that's right. I'm calling the C Fund the lilly pad. :p

[fabijo]

Wowsers! My monkey is just sick. Sick, sick, sick. I need to get working on the four-butt monkey to improve upon this twisted two-butt monkey. I think that until then, I'll follow my monkey except on days when ebbs tracker shows two or more reds!

In that case, I'm making an IFT to the G Fund effective cob tomorrow, then switching to whatever the monkey says today, which is the S Fund.

[fabijo]

I think that until then, I'll follow my monkey except on days when ebbs tracker shows two or more reds!

In that case, I'm making an IFT to the G Fund effective cob tomorrow, then switching to whatever the monkey says today, which is the S Fund.

Ahh. What the heck. I can handle more bloodshed. I cancelled my IFT request and am sticking with the S Fund.

[fabijo]

Monkey wants to go to I, but that's only because of the delay of the international markets. I'll hold S Fund a little longer.

[fabijo]

Monkeys are bouncing between S and I. I'll keep the S holdings at 100%!

I finally feel like people are shook up. That's definitely good. The market is a wild beast, we aren't supposed to have it figured out. Though today was up, it was on low volume, so there will probably be some more down days ahead, but I won't get out. When it starts going up, it will probably shoot like a rocket above the former resistance line that was developed over the past few years:

http://mircats.com/TSP_Tools/spx.logarithmic.4yr.gif

[nnuut]

Now draw another line accross the bottoms, 1st hit May of 2005 then Nov. 2005 through the bottom of May 2007. HHHHUMMM is that the bottom?:worried: Looks like 1320 to me! GOOD CHART!

[fabijo]

Ahh, who cares about bottoms? I'm worried about tops! :nuts:

[Birchtree]

The market has spoken - we have already seen the bottom. Don Wolanchuck and Tim Ord are saying the biggest up day in history can come at any time. I just can't forget the power off to the upside in July '02 on the first bottom - back to back almost with 400 point days.

[nnuut]

Ahh, who cares about bottoms? I'm worried about tops! :nuts:
You must be a TOP Man, I'm a BOTTOM Man!:D

[fabijo]

I just can't forget the power off to the upside in July '02 on the first bottom - back to back almost with 400 point days.

You gotta admit that those jumps up were after months of serious drops. The down days we have experienced these past few weeks are puny compared to what was going on then.

[Wolverine]

The market has spoken - we have already seen the bottom. Don Wolanchuck and Tim Ord are saying the biggest up day in history can come at any time. I just can't forget the power off to the upside in July '02 on the first bottom - back to back almost with 400 point days.

Interesting thought with how this thing could just do that to the upside at anytime now.

Being out as of now is my concern in regards to something like that happening to the upside.

Since I got out at the top and have made some money since, I just wonder if I should just get back in and take what comes, good or bad.

To miss a major upside by being out would not make for happy brain cells. But to be out and miss a major downside would make for happy brain cells.

Decisions, Decisions

[VirginiaBob]

go in partially.

[Birchtree]

Not puny if you look at sentiment variables - and besides as we continue to move toward the epicenter of primary 3 corrections will tend to be harder, faster, and set spectacular bottoms in which to move up aggressively. This time in space is different - we got a bull market that has time to run with all the global liquidity. When is the last time you saw a TRIN of 16 or a 99% down day in the SPX. It's going to be exciting - and I'm in for the ride.

[Wolverine]

go in partially.

Thanks for your thought with this.....................I think it will be a consideration for sure. I tend to want to go 100% in but, doing this partially I think for now would keep my thinking clearer and all.

[Birchtree]

That's what I'm doing with the I fund - nibble on the way up and nibble on the way down. I caught a $21.65 and a $22.04 for a grand 4%. But I'm in no hurry with 96% C fund - got until 2010 when the next 4 year cycle arrives.

[Wolverine]

That's what I'm doing with the I fund - nibble on the way up and nibble on the way down. I caught a $21.65 and a $22.04 for a grand 4%. But I'm in no hurry with 96% C fund - got until 2010 when the next 4 year cycle arrives.

Yes, a nibble here and a nibble there may be the thing for me.

A major learning curve taking place with all this for me also.

Caution and CP is of importance as I see it now day to day.

Thanks for the input.

[fabijo]

The monkey is wobbling between the three equity funds. I don't like sitting still in one fund, but I'll hold off one more day by holding my S Fund for at least one more day. I'm betting on the dollar inching up tomorrow and Tuesday, so I'll most likely be making an IFT to the I Fund on Monday night to be effective cob Tuesday.

On Tuesday, we'll have some housing starts and building permits numbers coming out. The dollar index looks like a head and shoulders pattern. The timing is perfect because of the announcement on Wednesday from the Feds. Will they raise/lower/keep rates? We've also got crude inventories coming out on that same day. Sounds like a lot of fun this week.

Given that, it looks like we could get some woes this week. That's perfectly fine with me. Monday's probably gonna be up for all indices, Tuesday down, Wednesday dollar will drop because of keeping rates the same.

The market will react how it wants to react to the news on Wednesday. The Fed might speak of a slowing economy and send the markets twirling down. But because we expect that, it might just do the opposite. I just like to think of Fed days as more volatile days. It doesn't quite matter what is said, but what matters is what bias the market has right now. If there is a downward bias, we'll move down. If there's an upward bias, we'll move up.

[fabijo]

Come on, S Fund! Let's keep going! Can we hit 2&#37; today? That would be sweet. Depending on how things look tonight, I might be jumping over to the I fund tomorrow to catch a possible drop in the dollar on Wednesday. I know I'm playing with fire and that the F Fund will be safer, but who said anything about being safe?

[fabijo]

In accordance with the monkey's request, I made my IFT to the I Fund to be effective close of business tomorrow.

Nikkei is going up fast! Too fast! slow down! I want to get on the internationals on a breather.

[fabijo]

Here's the weekly chart for the S&P 500 covering the past 4 years. So far, it looks like the prior resistance from the past 4 years is quite possibly serving as support. Now I know we keep having talk about the lack of a 10&#37; correction in a while. If this former resistance is going to serve as support in the coming years, we might be in for a wild ride. We'll get those 10% or more corrections, but we'll also have some skyrocketing bull runs. What we saw from 1995 to 2000 was definitely a bull market, but it was also full of volitile swings to the downside. If we really want the big moves up, we'll have to be willing to live through the big moves down. We got a taste of it in the past few weeks.

Imagine how you would feel if the market just started to climb, and climb, and climb, and climb. Each time a slight pullback starts to occur, you might be tempted to jump out because of the impending pullback. But then you see it climb and climb and climb. The moment you decide to get back in, the market just loses 5 to 6 % in one day. Then up 2 to 3 % the next, then down, then up. You'll just have to make sure you've got that rope tied tight around your hand as you try to hold on for that 8 seconds. The chart:

http://mircats.com/TSP_Tools/spx.logarithmic.4yr.weekly.gif