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The blog will resume the weekend of January 1st.
Happy holidays and let's make this a prosperous 2011!
Regards,
pgd
Tuesday, December 21, 2010
Sunday, November 28, 2010
VXF / S-Fund Signals Long, I-Fund/EFA and C-Fund/SPY still in CASH
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This will be rather brief, as we are in cash.
C-Fund / SPY
Overall, the C-Fund / SPY has individually been signalling cash since 11/12 and at the present moment, is maintaining that stance on the daily charts. The present level of the C-Fund is $14.3578 / share, and with the SPY at $118.84 / share, the ratio between the two is about 8.2770. GGT is indicating that we possibly could move back long again if the SPY moves above $120.96, so this would be a C-Fund price of about $14.62. Hence, watch for closings above that level, but note too that this is a projection into the future, which needs to be re-done on the date of the crossing to determine validity.
S-Fund / VXF
The S-Fund /VXF signal has moved back long, as of 11/18, but I missed it. The signal was tested again on 11/23, and presently remains long although I'm still sitting in cash. I'm not convinced that this isn't a sucker rally for the VXF but I have to trust the signals, hence I'll throw my hat into the ring and move long as far as the VXF is concerned. Had we moved on the signal date, the effective date would have been the close of 11/19, and the VXF price then was $51.08 as of that close, or down 1.7% from where we are today. As you will see below, we would have allocated around 61% of our monies, so actual loss as of the close this past Friday is about 0.65%.
The S-Fund is trading at $19.9449 and the VXF is at $51.63. This implies that the ratio between the two is 2.5886. VXF is telling me that we're in trouble below $50.37, which is $19.46 for the S-Fund, so we've a bit of room above the "trouble zone". We'll see if this trade works.
I-Fund / EFA
The I-Fund/EAF signal has officially been signalling cash since 11/12 and with the action this past week, has confirmed the move to cash on the weekly chart. This is incredibly bearish and we'll need some time to get over this hurdle.
This being said, the I-Fund is valued at $18.9231 and EFA at $55.47, suggesting a multiple of 2.9313. For the present moment EFA would need to clear $58.82, or an I-Fund value of $20.07. This is quite a bit above where it is right now, and while possible, I don't see it in the near future.
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Performance and Allocation
To date, over the last 30 days, we have the following performance:
I am not sure that the VXF entry won't be a sucker's rally but I learned to trust the signals long ago.
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Trading Plan for Monday, November 29th.
Because I have placed 2 intra-fund transfers this month, I cannot transfer this money until after 12:00 on Tuesday, November 30th. I have placed an order at www.tsp.gov for a contribution allocation to reflect new additions at 61% of the S-Fund / VXF, and leave the remaining 39% in the G-Fund (think money market). Follow me at your own peril.
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Remember, you are responsible for your own trading decisions, and I am not. Please take ownership for your actions and do your diligence before you blindly follow anybody.
Regards,
pgd
This will be rather brief, as we are in cash.
C-Fund / SPY
Overall, the C-Fund / SPY has individually been signalling cash since 11/12 and at the present moment, is maintaining that stance on the daily charts. The present level of the C-Fund is $14.3578 / share, and with the SPY at $118.84 / share, the ratio between the two is about 8.2770. GGT is indicating that we possibly could move back long again if the SPY moves above $120.96, so this would be a C-Fund price of about $14.62. Hence, watch for closings above that level, but note too that this is a projection into the future, which needs to be re-done on the date of the crossing to determine validity.
S-Fund / VXF
The S-Fund /VXF signal has moved back long, as of 11/18, but I missed it. The signal was tested again on 11/23, and presently remains long although I'm still sitting in cash. I'm not convinced that this isn't a sucker rally for the VXF but I have to trust the signals, hence I'll throw my hat into the ring and move long as far as the VXF is concerned. Had we moved on the signal date, the effective date would have been the close of 11/19, and the VXF price then was $51.08 as of that close, or down 1.7% from where we are today. As you will see below, we would have allocated around 61% of our monies, so actual loss as of the close this past Friday is about 0.65%.
The S-Fund is trading at $19.9449 and the VXF is at $51.63. This implies that the ratio between the two is 2.5886. VXF is telling me that we're in trouble below $50.37, which is $19.46 for the S-Fund, so we've a bit of room above the "trouble zone". We'll see if this trade works.
I-Fund / EFA
The I-Fund/EAF signal has officially been signalling cash since 11/12 and with the action this past week, has confirmed the move to cash on the weekly chart. This is incredibly bearish and we'll need some time to get over this hurdle.
This being said, the I-Fund is valued at $18.9231 and EFA at $55.47, suggesting a multiple of 2.9313. For the present moment EFA would need to clear $58.82, or an I-Fund value of $20.07. This is quite a bit above where it is right now, and while possible, I don't see it in the near future.
================
Performance and Allocation
To date, over the last 30 days, we have the following performance:
- SPY: +0.34%
- VXF: +4.46%
- EFA: - 2.91%
Correspondingly, allocations for funding are as follows:
- SPY -- in cash and will stay in cash, but allocation is 31%
- VXF: 61%
- EFA: -- in cash and will stay in cash, but allocation is 8%
I am not sure that the VXF entry won't be a sucker's rally but I learned to trust the signals long ago.
===============
Trading Plan for Monday, November 29th.
Because I have placed 2 intra-fund transfers this month, I cannot transfer this money until after 12:00 on Tuesday, November 30th. I have placed an order at www.tsp.gov for a contribution allocation to reflect new additions at 61% of the S-Fund / VXF, and leave the remaining 39% in the G-Fund (think money market). Follow me at your own peril.
================
Remember, you are responsible for your own trading decisions, and I am not. Please take ownership for your actions and do your diligence before you blindly follow anybody.
Regards,
pgd
Wednesday, November 17, 2010
Move to Cash 11/17/10
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Anticipating a dead-cat bounce today (Wednesday, November 17th), hence I have placed an order at http://www.tsp.gov/ to move all my account monies to CASH.
Please go to http://greekgodtrading.blogspot.com/ to review rationale on the present market climate and why I am taking this action. Basically, my primary indicator, the GGT Long-Cash Ratio (LCR), has been heading down for 4 days solid and the Elder 13d Force Index simply confirmed the action.
Here's the composite chart using the 3-ETF/3-Fund equal-weighting approach:
If anything on the chart above is not clear, specifically why this chart is breaking down, then please post a note below and I'll respond for all to review.
====================
Remember, you are responsible for your own trading decisions, not me. Please do your diligence and take ownership for your actions.
Regards,
pgd
Anticipating a dead-cat bounce today (Wednesday, November 17th), hence I have placed an order at http://www.tsp.gov/ to move all my account monies to CASH.
Please go to http://greekgodtrading.blogspot.com/ to review rationale on the present market climate and why I am taking this action. Basically, my primary indicator, the GGT Long-Cash Ratio (LCR), has been heading down for 4 days solid and the Elder 13d Force Index simply confirmed the action.
Here's the composite chart using the 3-ETF/3-Fund equal-weighting approach:
If anything on the chart above is not clear, specifically why this chart is breaking down, then please post a note below and I'll respond for all to review.
====================
Remember, you are responsible for your own trading decisions, not me. Please do your diligence and take ownership for your actions.
Regards,
pgd
Sunday, November 7, 2010
November 7th Weekend Update
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This week saw a transition from cash back to a 50% invested position. I moved into cash on the October 19th signal (actual transfer date was the 20th), and if we equally-weight between the three funds that I hold, we missed out on 4.1% gain in 11 days. This is a big loss of potential gain so it's illustrative to understand the cause/effect that got me to that decision the evening of the 19th.
Here's a chart of the 3-Fund TSP, as represented by the following ETFs:
Signals telling me we were in trouble on October 19th:
In hindsight, I should not have relied on the index chart to make a broad decision about all the constituent holdings. Specifically, although the 3-ETF composite chart above is poor, here is the Vanguard Extended Market Index ETF's chart, which is my proxy for the S-Fund:
Of particular note here is that the Elder Signals [ Bull Power, FI(13) ] have never transitioned below 0 during this last effort. Although the MACD histogram, 13/34d EMA slopes, and price series took significant hits on Octobe 19th, these were mitigated by the positive (and strong) nature of Bull Power and the FI(13).
VXF experienced a 4.7% gain while I was in cash. Had I held onto VXF, which we had a 36% allocation, we would have maintained a 4.7% x 36% = 1.69% gain over the last 11 days, reducing our apparent loss from +4.1% gain - 1.69% = 2.41%.
Putting this in perspective, a 4.1% gain in 11 days is equivalent to an annualized gain of 279%. Being able to gain +1.69% in VXF is the equivalent of an annualized gain of 74%, so every little bit helps.
With respect to the SPY/C-Fund and the EFA/I-Fund, their charts look the same as the 3-ETF index, so I would have sold them despite the VXF signal.
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So a question was emailed to me about why I'm only 50% invested, now that we've apparently entered a new bull leg. The simple answer is that we are incredibly overbought on the short-term indicators, and I'd like to see a pullback to put the other 50% on the table. Stay tuned, I'll let you know when (and if) I move the rest of the funds into play. I note though:
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Disclaimer: As of this writing I am presently long in the I-Fund, S-Fund, and C-Fund, as well as am holding positions in EFA and VXF.
========================
Remember, you are responsible for your own trading decisions, not me. Please take ownership for your actions.
Regards,
pgd
This week saw a transition from cash back to a 50% invested position. I moved into cash on the October 19th signal (actual transfer date was the 20th), and if we equally-weight between the three funds that I hold, we missed out on 4.1% gain in 11 days. This is a big loss of potential gain so it's illustrative to understand the cause/effect that got me to that decision the evening of the 19th.
Here's a chart of the 3-Fund TSP, as represented by the following ETFs:
- EFA / I-Fund
- SPY / C-Fund
- VXF / S-Fund
Signals telling me we were in trouble on October 19th:
- The first ribbon bar on the top is the 13d Elder Force Index [ FI(13) ], calculated with an exponential moving average (EMA). It turned pink, indicating that the FI(13) had moved negative. This is generally an immediate sell signal.
- The MACD window shows signal lines as well the histogram. Here, we had the MACD historgram moving negative on October 19th, which generally is another immediate sell signal.
- The 13d/34d EMA Slope window shows the slopes of the 13d EMA of the price of this group of ETFs, as well as of the 34d EMA. We see that the faster one (13d, red) crossed the slower one (34d, yellow) from above, and if not a sell signal, certainly indicates that we have problems.
- The price window contains an additional EMA in green, which is an 8-day signal. General thought and good practice is that if a price closes below the 8d EMA of it's price series, then it should be unloaded. The composite index of all three ETFs closed below the 8d on October 19th, as did all of the underlying ETFs.
In hindsight, I should not have relied on the index chart to make a broad decision about all the constituent holdings. Specifically, although the 3-ETF composite chart above is poor, here is the Vanguard Extended Market Index ETF's chart, which is my proxy for the S-Fund:
Of particular note here is that the Elder Signals [ Bull Power, FI(13) ] have never transitioned below 0 during this last effort. Although the MACD histogram, 13/34d EMA slopes, and price series took significant hits on Octobe 19th, these were mitigated by the positive (and strong) nature of Bull Power and the FI(13).
VXF experienced a 4.7% gain while I was in cash. Had I held onto VXF, which we had a 36% allocation, we would have maintained a 4.7% x 36% = 1.69% gain over the last 11 days, reducing our apparent loss from +4.1% gain - 1.69% = 2.41%.
Putting this in perspective, a 4.1% gain in 11 days is equivalent to an annualized gain of 279%. Being able to gain +1.69% in VXF is the equivalent of an annualized gain of 74%, so every little bit helps.
With respect to the SPY/C-Fund and the EFA/I-Fund, their charts look the same as the 3-ETF index, so I would have sold them despite the VXF signal.
=================
So a question was emailed to me about why I'm only 50% invested, now that we've apparently entered a new bull leg. The simple answer is that we are incredibly overbought on the short-term indicators, and I'd like to see a pullback to put the other 50% on the table. Stay tuned, I'll let you know when (and if) I move the rest of the funds into play. I note though:
- We are at extremely high levels in terms of many of the indicators. Of specific importance is that the MACD is already in the upper half of the chart; the run can last but it's not the same type of run as from below.
- All the individual ETFs are well above their 8-day value. This is incredibly overbought, and I fully expect a pullback.
- If we pullback and hold the 8-day I'll move the rest in, provided that the rest of the market isn't collapsing around me. I'll determine the latter using the slopes of the 13d, 34d price signals as well as the GGT LCR movement and slopes.
========================
Disclaimer: As of this writing I am presently long in the I-Fund, S-Fund, and C-Fund, as well as am holding positions in EFA and VXF.
========================
Remember, you are responsible for your own trading decisions, not me. Please take ownership for your actions.
Regards,
pgd
Wednesday, November 3, 2010
TSP Portfolio Signals LONG Across the Board
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While it pains me to say this, all my indicators show that we need to move back into stocks. Even the 4-Fund version, which includes the F-Fund/AGG, is indicating such a move.
Before we go there though, let me explain why this one is "different". Luckily, I can talk about now as well as about the past from the same chart:
The first thing that I want to draw your attention to is the area listed as 9/10 -- September 1st, 2010. Now go up to the window entitled "MACD" directly above that date. See where the MACD lines crossed, and the status of the MACD Histogram on September 1st? The MACD and MACD signal lines were NEGATIVE, they crossed in NEGATIVE territory, and for the next two months they moved upward, finally crossing from above right around October 19th (this is when I issued my sell signal). Furthermore, take a look at what the Elder Force Index (EMA and SMA) signals were doing just prior to 9/1/10 and then on the signal date after 9/1/10.
Fast forward to now, which is the right side of the figure -- November 3rd, 2010. Here we have a number of things happening, but most important, we have the Elder Force Index (EMA and SMA methods) both crossing back into positive territory (green), we have the MACD Histogram almost ready to cross over into positive territory, and we have the slope lines of the 13d and 34d EMAs crossing each other from below, which is a very bullish sign.
Given all of this, you would think it's time to jump into the TSP with both feet. Well, "this time it's different". Here's why:
We may certainly move aggressively higher in the coming days -- your crystal ball is as good as mine. BUT, there is an arguement for not putting all of our eggs in the market:
In terms of allocations, here is what I'm looking at with 50% in the G-Fund (money market):
3-ETF Portfolio:
I-Fund/EFA: 16%
C-Fund/SPY: 15%
S-Fund/VXF: 19%
4-ETF Portfolio:
F-Fund/AGG: 3%
I-Fund/EFA: 15%
C-Fund/SPY: 15%
S-Fund/VXF: 16%
If you make this transfer at http://www.tsp.gov/ prior to 9 a.m. or so Thursday morning then it should go into effect at the end of the day.
==================
Remember, you are responsible for your own trading decisions, not me. Please take ownership for your actions and do your due diligence.
Regards,
pgd
While it pains me to say this, all my indicators show that we need to move back into stocks. Even the 4-Fund version, which includes the F-Fund/AGG, is indicating such a move.
Before we go there though, let me explain why this one is "different". Luckily, I can talk about now as well as about the past from the same chart:
The first thing that I want to draw your attention to is the area listed as 9/10 -- September 1st, 2010. Now go up to the window entitled "MACD" directly above that date. See where the MACD lines crossed, and the status of the MACD Histogram on September 1st? The MACD and MACD signal lines were NEGATIVE, they crossed in NEGATIVE territory, and for the next two months they moved upward, finally crossing from above right around October 19th (this is when I issued my sell signal). Furthermore, take a look at what the Elder Force Index (EMA and SMA) signals were doing just prior to 9/1/10 and then on the signal date after 9/1/10.
Fast forward to now, which is the right side of the figure -- November 3rd, 2010. Here we have a number of things happening, but most important, we have the Elder Force Index (EMA and SMA methods) both crossing back into positive territory (green), we have the MACD Histogram almost ready to cross over into positive territory, and we have the slope lines of the 13d and 34d EMAs crossing each other from below, which is a very bullish sign.
Given all of this, you would think it's time to jump into the TSP with both feet. Well, "this time it's different". Here's why:
We may certainly move aggressively higher in the coming days -- your crystal ball is as good as mine. BUT, there is an arguement for not putting all of our eggs in the market:
- The MACD line and the signal line are on the positive half of the chart window. They can certainly move up, but they have a historical "maximum value ever achieved" and according to my records, we've only exceeded the recent peak only in the March/May 2009 time frame -- all others have turned down when reaching the region we just reached. The past isn't a predictor of the future but where you start the future from (e.g., reference point) is a very telling indicator. A better place to start would be if the MACD lines were in the bottom half (negative). Well, they are not, so we should be careful.
- The slopes of the 13 and 34d EMAs are already positive. The crossing from below simply makes them bullish. While they can rocket upward from here, they can't go *much* further rom here -- the higher values simply cannot be sustained. Note that this is a metric of how fast the bull is raging, and right now, the bull is clipping along at $0.2993 / day for the 13d EMA and $0.2995 / day for the 34d EMA. This is a good, solid gain on a day for day basis, so going up dramatically from here, while possible, isn't too likely for any length of time.
In terms of allocations, here is what I'm looking at with 50% in the G-Fund (money market):
3-ETF Portfolio:
I-Fund/EFA: 16%
C-Fund/SPY: 15%
S-Fund/VXF: 19%
4-ETF Portfolio:
F-Fund/AGG: 3%
I-Fund/EFA: 15%
C-Fund/SPY: 15%
S-Fund/VXF: 16%
If you make this transfer at http://www.tsp.gov/ prior to 9 a.m. or so Thursday morning then it should go into effect at the end of the day.
==================
Remember, you are responsible for your own trading decisions, not me. Please take ownership for your actions and do your due diligence.
Regards,
pgd
Tuesday, October 19, 2010
10OCT19 -- POTENTIAL MOVE TO CASH SIGNAL
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Folks,
With the close of the markets today, Tuesday, October 19th, we have a move to cash signal for EFA/I-Fund, SPY/C-Fund, and although a weaker signal, for the VXF/S-Fund. Note that GGT has NOT confirmed this transition -- these signals are being derived from Elder's 13d Force Index method as well as my 13/34d slope method.
First, here is what GGT has to say about the TSP ETFs:
As far as GGT is concerned, we are still above historical, optimized price and volume levels so holding these ETFs is still a valid position (obviously with the exception of AGG/F-Fund).
When we dig deeper using a different method, we get a different picture.
EFA / I-Fund:
The link to this chart is here.
SPY / C-Fund:
While the price of the SPY did not close below the 13d, we do have two indicators shown that signal danger for this equity:
These three indicators, taken together, are enough for me to transition to cash for SPY / C-Fund.
The link to the SPY chart is here.
While we're here, we might as well take a look at VXF / S-Fund:
The price closed right on the same value as the 13d EMA, so technically, it has not violated the 7-week rule.
The Elder FI(13) value is still positive.
Not shown is the crossing of the slope of the 13d EMA and the 34d EMA from above. This is an automatic sell signal.
The MACD histogram is newly negative, which is an automatic sell signal. Combined with the slope 13x34 from above, we have a confirmation.
The link to the VXF chart is here.
===============
I am a conservative investor so I will sell my positions in EFA/I-Fund, SPY / C-Fund, and VXF / S-Fund and transition everything to cash / G-Fund. The markets may recover and move higher from here, in which case we still can use one of our transfers to get back in the market and we may miss a couple of days of run up. I had rather do this than lose the 6% that we have gained since the beginning of September.
Place your order by 9 a.m. EDT if you want TSP to enact the transfer on the close of business on Wednesday.
===============
Remember, you are responsible for your own trades, not me. Please do your own diligence.
Regards,
pgd
Folks,
With the close of the markets today, Tuesday, October 19th, we have a move to cash signal for EFA/I-Fund, SPY/C-Fund, and although a weaker signal, for the VXF/S-Fund. Note that GGT has NOT confirmed this transition -- these signals are being derived from Elder's 13d Force Index method as well as my 13/34d slope method.
First, here is what GGT has to say about the TSP ETFs:
When we dig deeper using a different method, we get a different picture.
EFA / I-Fund:
- Price closed below the 13d EMA after obeying this line for 7 weeks. For the conservative, this is a sell signal. For the aggressive, if tomorrow has any point in the day below today's low, then we have a confirmed sell signal.
- Elder's FI(13) signal closed negative. This is an automatic sell of any security.
- MACD Histogram has moved negative. This is an automatic sell of any security.
The link to this chart is here.
SPY / C-Fund:
While the price of the SPY did not close below the 13d, we do have two indicators shown that signal danger for this equity:
- Elder 13d Force Index is negative, which is an automatic sell signal
- MACD histogram has just transitoned negative, which is an automatic sell signal
These three indicators, taken together, are enough for me to transition to cash for SPY / C-Fund.
The link to the SPY chart is here.
While we're here, we might as well take a look at VXF / S-Fund:
The price closed right on the same value as the 13d EMA, so technically, it has not violated the 7-week rule.
The Elder FI(13) value is still positive.
Not shown is the crossing of the slope of the 13d EMA and the 34d EMA from above. This is an automatic sell signal.
The MACD histogram is newly negative, which is an automatic sell signal. Combined with the slope 13x34 from above, we have a confirmation.
The link to the VXF chart is here.
===============
I am a conservative investor so I will sell my positions in EFA/I-Fund, SPY / C-Fund, and VXF / S-Fund and transition everything to cash / G-Fund. The markets may recover and move higher from here, in which case we still can use one of our transfers to get back in the market and we may miss a couple of days of run up. I had rather do this than lose the 6% that we have gained since the beginning of September.
Place your order by 9 a.m. EDT if you want TSP to enact the transfer on the close of business on Wednesday.
===============
Remember, you are responsible for your own trades, not me. Please do your own diligence.
Regards,
pgd
Saturday, October 16, 2010
AGG / F-Fund in CASH, All Others LONG
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Overall, the GGT system, as applied to the TSP, is still LONG on EFA (I-Fund), SPY (C-Fund), and VXF (S-Fund). AGG (F-Fund) has transitioned to CASH. Here's my dashboard view; as with all my images, right-click to open in a new window or tab within your browser:
If you are investing in AGG/F-Fund I recommend that you review those holdings immediately, as you are losing value rapidly.
Here is a view of AGG for discussion:
There are a number of reasons you should seriously consider moving out of AGG/F-Fund:
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With respect to the other funds, they are LONG in general, but looking at the aggregate chart, they look "toppy". Here's what I'm seeing:
This view is created by equal-weighting the EFA (I-Fund), SPY (C-Fund), and VXF (S-Fund).
As you can see, the price index for this grouping is at $164. If you look above that area, you see that the 13d EMA slope is changing (positively) at $0.53/day and the 34d EMA slope is changing (positively) at $0.44/day. This is healthy.
Of notice is that the 2d Force Index -- FI(2) -- has moved negative with Friday's action. The large price change of the index, coupled with the higher-than-normal volume, has caused this value to drop below 0, which is either 1) a warning shot, or 2) a buying opportunity. 1) occurs if we do not close above the price index value on Monday and possibly continue to fall, and 2) occurs WHEN we close above the previous day's high.
This run has been strong and we can only follow the trend after it prints the day's actions, so simply be alert.
I am fully invested using the three funds in this account. Since our buy signal was generated at the end of September 14th we have experienced the following increases to the individual positions:
Index (equal weighted): +5.9%
EFA (I-Fund): +7.3%
SPY (C-Fund): +4.6%
VXF (S-Fund): +6.9%
My actual portfolio has increased +5.98% in this time frame. If you follow me, yours should be doing the same too.
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Trading Plan for the Next Week
Basically, do nothing and stay on autopilot. My new contributions are going in at
================
Remember, you are responsible for your own trading decisions, not me. Please take personal ownership for your trades.
Regards,
pgd
Overall, the GGT system, as applied to the TSP, is still LONG on EFA (I-Fund), SPY (C-Fund), and VXF (S-Fund). AGG (F-Fund) has transitioned to CASH. Here's my dashboard view; as with all my images, right-click to open in a new window or tab within your browser:
Here is a view of AGG for discussion:
- Bull Power is negative. Bull power is Dr. Alexander Elder's creation, and it calculated by subtracting the 13d exponential moving average (EMA) of price from the day's high. When the day's high is below the 13d EMA, this value is negative. This means that the bears are winning.
- Bear Power is negative and more negative than Bull Power. Like Bull Power, this is calculated by subtracting the day's low from the 13d EMA of the stock. The more negative, the more the bears are in control.
- Elder's 13d EMA and SMA (Simple Moving Average) on the Force Index are both negative. The Force Index (FI) is calculated by taking the change in daily price multiplied by the volume of the day. The FI(13) is calculated by taking the EMA or SMA -- I show both. When these two transition either way on the same day we have a powerful signal, and as you can see, they both moved below 0, which is bearish, two days ago.
- MACD histogram is negative. This equity has lost bullish momentum and is accelerating to the downside. It will bottom eventually, but it will take you with it.
- The slope of the 13d EMA on price has crossed below the 34d EMA on price. We are losing price value rapidly on these two time scales.
- The 13d EMA slope is negative, which is bad.
- The 34d EMA slope has just turned negative, which is bad. The combination of these two confirm that "the car is driving backwards and it is accelerating backwards"
- The "slope of the slope" of the 13d and 34d EMAs are pointing downward. Not only are we losing price value rapidly, we are accelerating to the downside.
- Price is trading below the 13d (recall Bull/Bear Power) as well as the 34d EMAs. As of Friday's data there is no floor in sight.
==============
With respect to the other funds, they are LONG in general, but looking at the aggregate chart, they look "toppy". Here's what I'm seeing:
As you can see, the price index for this grouping is at $164. If you look above that area, you see that the 13d EMA slope is changing (positively) at $0.53/day and the 34d EMA slope is changing (positively) at $0.44/day. This is healthy.
Of notice is that the 2d Force Index -- FI(2) -- has moved negative with Friday's action. The large price change of the index, coupled with the higher-than-normal volume, has caused this value to drop below 0, which is either 1) a warning shot, or 2) a buying opportunity. 1) occurs if we do not close above the price index value on Monday and possibly continue to fall, and 2) occurs WHEN we close above the previous day's high.
This run has been strong and we can only follow the trend after it prints the day's actions, so simply be alert.
I am fully invested using the three funds in this account. Since our buy signal was generated at the end of September 14th we have experienced the following increases to the individual positions:
Index (equal weighted): +5.9%
EFA (I-Fund): +7.3%
SPY (C-Fund): +4.6%
VXF (S-Fund): +6.9%
My actual portfolio has increased +5.98% in this time frame. If you follow me, yours should be doing the same too.
================
Trading Plan for the Next Week
Basically, do nothing and stay on autopilot. My new contributions are going in at
- 29% for the C-Fund,
- 36% for the S-Fund, and
- 35% for the I-Fund.
================
Remember, you are responsible for your own trading decisions, not me. Please take personal ownership for your trades.
Regards,
pgd
Thursday, September 30, 2010
End of September Rebalance? Not Necessary ...
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Here at the end of the month I would like to re-examine whether we should rebalance.
The short answer is no; I intend to stay the course.
Since our move from the G-Fund on 9/14 we have the following performance:
F-Fund: -0.2%
C-Fund: +2.17%
S-Fund: +3.68%
I-Fund: +2.60%
Overall, I do not invest in the F-Fund, as bonds simply are not going anywhere and all it does is dilute my funds available for the C/S/I funds.
I suggested the following weighting on 9/14, and this weighting is unchanged:
C-Fund/SPY: 29%
S-Fund/VXF: 36%
I-Fund/EFA: 35%
When you weight the performance since the close of 9/14 through the close of 9/29 the net return is +3.30%. Yes, I missed the run-up of 9/1/10 due to being on vacation; despite this, I am quite pleased with a 3.3% return for the month (not including what the G-Fund contrinuted).
Stay the course for now.
=======================
Remember, you are responsible for your own trading decisions, not me. Please do your own diligence.
Regards,
pgd
Here at the end of the month I would like to re-examine whether we should rebalance.
The short answer is no; I intend to stay the course.
Since our move from the G-Fund on 9/14 we have the following performance:
F-Fund: -0.2%
C-Fund: +2.17%
S-Fund: +3.68%
I-Fund: +2.60%
Overall, I do not invest in the F-Fund, as bonds simply are not going anywhere and all it does is dilute my funds available for the C/S/I funds.
I suggested the following weighting on 9/14, and this weighting is unchanged:
C-Fund/SPY: 29%
S-Fund/VXF: 36%
I-Fund/EFA: 35%
When you weight the performance since the close of 9/14 through the close of 9/29 the net return is +3.30%. Yes, I missed the run-up of 9/1/10 due to being on vacation; despite this, I am quite pleased with a 3.3% return for the month (not including what the G-Fund contrinuted).
Stay the course for now.
=======================
Remember, you are responsible for your own trading decisions, not me. Please do your own diligence.
Regards,
pgd
Tuesday, September 14, 2010
New Long Signal for S-Fund and C-Fund
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With the close of the markets on Monday, September 13th, 2010, we have a new long signal simultaneously appearing in the VXF (S-Fund) and SPY (C-Fund). The EFA (I-Fund) already was long, although I had not transitioned to this signal because of my vacation late August.
Although I do not trade the AGG (F-Fund), it is affirming a position in CASH.
Allocations for the 3-fund portfolio (C-Fund, I-Fund, S-Fund) are as follows:
EFA / I-Fund: 35%
SPY / C-Fund: 29%
VXF / S-Fund: 36%
Allocations for the 4-fund portfolio are as follows:
AGG / F-Fund: 4% -- KEEP IN CASH (G-Fund), not in F-Fund.
EFA / I-Fund: 33%
SPY / C-Fund: 28%
VXF / S-Fund: 35%
============================
Remember, you are responsible for your investment decisions, not me. Please do your own diligence.
Regards,
pgd
With the close of the markets on Monday, September 13th, 2010, we have a new long signal simultaneously appearing in the VXF (S-Fund) and SPY (C-Fund). The EFA (I-Fund) already was long, although I had not transitioned to this signal because of my vacation late August.
Although I do not trade the AGG (F-Fund), it is affirming a position in CASH.
Allocations for the 3-fund portfolio (C-Fund, I-Fund, S-Fund) are as follows:
EFA / I-Fund: 35%
SPY / C-Fund: 29%
VXF / S-Fund: 36%
Allocations for the 4-fund portfolio are as follows:
AGG / F-Fund: 4% -- KEEP IN CASH (G-Fund), not in F-Fund.
EFA / I-Fund: 33%
SPY / C-Fund: 28%
VXF / S-Fund: 35%
============================
Remember, you are responsible for your investment decisions, not me. Please do your own diligence.
Regards,
pgd
Tuesday, August 31, 2010
Moving All Funds to G-Fund
.
As of today (August 31st), I am placing an order to move all my wife's funds to the G-Fund. Rationale:
1) All of the equity funds (VXF, SPY, EFA) within the TSP Universe are in Affirmed Cash or Cash, indicating a very bearish condition
2) All of the equity funds within the TSP Universe have a 13d and 34d downward slope on the price EMA, so they are losing money on those time frames
3) I'm leaving on vacation, and I don't want my wife's monies exposed when I cannot do anything about it.
I'll look at reallocation upon my return.
Regards,
pgd
As of today (August 31st), I am placing an order to move all my wife's funds to the G-Fund. Rationale:
1) All of the equity funds (VXF, SPY, EFA) within the TSP Universe are in Affirmed Cash or Cash, indicating a very bearish condition
2) All of the equity funds within the TSP Universe have a 13d and 34d downward slope on the price EMA, so they are losing money on those time frames
3) I'm leaving on vacation, and I don't want my wife's monies exposed when I cannot do anything about it.
I'll look at reallocation upon my return.
Regards,
pgd
Monday, May 31, 2010
Memorial Weekend Update
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Status:
F-Fund / AGG: sustained up trend
I-Fund / EFA: avoid
C-Fund/ SPY: avoid
S-Fund / VXF: avoid
==================
Last week I informed you of my decision to move some monies LONG out of the G-Fund / cash, simply because the market had fallen.
Here, at 1-week plus, are the actual allocations in my TSP are as follows:
Status:
F-Fund / AGG: sustained up trend
I-Fund / EFA: avoid
C-Fund/ SPY: avoid
S-Fund / VXF: avoid
==================
Last week I informed you of my decision to move some monies LONG out of the G-Fund / cash, simply because the market had fallen.
Here, at 1-week plus, are the actual allocations in my TSP are as follows:
- G-Fund: 73.78%
- F-Fund: 0%
- C-Fund: 9.98%
- S-Fund: 14.25%
- I-Fund: 1.99%
To save you from looking back, the target allocations are:
- G-Fund: 74%
- F-Fund: 0%
- C-Fund: 10%
- S-Fund: 14%
- I-Fund: 2%
Not that one week makes a success, but we do have significant gains in the S-Fund, relative to the losses in the other funds, so I'm pleased.
I intend to keep this allocation for now. Let's run down the ETF equivalents of these funds:
AGG / F-Fund
Overall, the AGG / F-Fund looks relatively strong. Here's the chart (as with all my charts, click on the image for a larger view):
Focus on the lines in the "65d EMA Slope" window. This graph is constructed by:
- Take the 65d EMA of the price series
- Take the slope of this 65d EMA
- Smooth the slopes using a 2d EMA (red), 8d (blue), 13d (green), 21d (black), and 34d (purple)
Here's what I'm looking for as a continuation of the trend:
- All the trend lines are pointing upward. This is true for all but the 2d & 8d. The 2d is showing a bit of a pullback, which is okay as long as it remains above the 34d EMA, and the 8d just started trending downward, showing some short-term weakness. I'm not in the F-Fund/AGG, but if I were, I would not be overly concerned at the present time. This is a strong up-trend.
- All the EMAs are positive. This *is* the case and indicates that for *all* the EMAs, prices are appreciating for AGG
If you take a look at the lower pane which contains the price series, you'll see the 50d MA (blue) and the 200d MA (red).
- Both are in an uptrend (e.g., sloped upwards -- bullish)
- The 50d > 200d -- bullish
Given the data that we see here, we can only conclude that AGG is bullish and there is no reason not to hold this fund / ETF.
==============
C-Fund / SPY
The graphic above shows the ETF SPY, which is a proxy for the C-Fund. We're seeing very new bullish behavior in the 2d and 8d 65d slopes, but overall, we are in a significant downtrend on the SPY and aside from our target 10% position due to a 10% pullback (coincidence that these values are the same), we should avoid this equity.
Note that the 50d MA (blue) is in a downtrend, and that the prices are trading below their 200d MA. Both of these latter indications are intermediate-term bearish.
I also note that with the exception of the 34d EMA of the slope line, all the other slope EMAs are well below 0, which is very bearish.
===============
S-Fund / VXF
The 65d slope lines look very close to the SPY and the conclusions are equivalent -- VXF / S-Fund, except for our l4% target, should be avoided.
I note that the 50d MA is also pointing downward, which is bearish.
================
I-Fund / EFA
EFA / I-Fund is very weak on numerous fronts:
C-Fund / SPY
The graphic above shows the ETF SPY, which is a proxy for the C-Fund. We're seeing very new bullish behavior in the 2d and 8d 65d slopes, but overall, we are in a significant downtrend on the SPY and aside from our target 10% position due to a 10% pullback (coincidence that these values are the same), we should avoid this equity.
Note that the 50d MA (blue) is in a downtrend, and that the prices are trading below their 200d MA. Both of these latter indications are intermediate-term bearish.
I also note that with the exception of the 34d EMA of the slope line, all the other slope EMAs are well below 0, which is very bearish.
===============
S-Fund / VXF
The 65d slope lines look very close to the SPY and the conclusions are equivalent -- VXF / S-Fund, except for our l4% target, should be avoided.
I note that the 50d MA is also pointing downward, which is bearish.
================
I-Fund / EFA
EFA / I-Fund is very weak on numerous fronts:
- the 50d MA (blue) is in a downtrend
- the 200d MA (red) just started a downtrend
- all the 65d MAs are less than 0 and with the exception of the 8d, are all heading lower
I am avoiding the I-Fund except for the 2% position that I have at the present time.
I note that the high on 4/14, coupled with the low on 5/25, saw the EFA with a -21% change. IF we see any weakness in EFA I will add to the 2% position in EFA / I-Fund from the G-Fund, and perhaps will perform a rebalance. Stay tuned.
==============
Remember, you are responsible for your own trading decisions. Please do your homework.
Regards,
pgd
Thursday, May 20, 2010
Allocation Change to Portfolio
.
I've been doing some testing with the ETFs that correspond to the Funds of this portfolio, and there is a significant performance gain if we scale into the drop of the overall markets. This is because instead of waiting for the LONG signal to be generated, we will be purchasing shares at increasingly cheaper prices, ensuring that we participate in a reversal, when it occurs.
THIS METHOD RELIES ON YOUR BELIEF THAT OVER THE LONG TERM, MARKETS WILL RECOVER AND MOVE HIGHER.
Here are the rules that I am playing with:
I've been doing some testing with the ETFs that correspond to the Funds of this portfolio, and there is a significant performance gain if we scale into the drop of the overall markets. This is because instead of waiting for the LONG signal to be generated, we will be purchasing shares at increasingly cheaper prices, ensuring that we participate in a reversal, when it occurs.
THIS METHOD RELIES ON YOUR BELIEF THAT OVER THE LONG TERM, MARKETS WILL RECOVER AND MOVE HIGHER.
Here are the rules that I am playing with:
- If ETF has a LONG recommendation, invest according to the last calculated allocation. For example, AGG / F-Fund is presently considered a LONG, hence for the 4-ETF/fund portfolio, your allocation would be 48%.
- If the ETF has a CASH recommendation, AND
- If the ETF has fallen 0 - 10%, then DO NOTHING (keep funds in cash),
- ELSE IF the ETF has a CASH recommendation, AND
- If the ETF has fallen -10% or less (e.g., more negative), the transfer from cash 2x the amount from the most recent high to the present low, in terms of percentage decrease.
For example, the EFA / I-Fund has fallen about 19%, hence the scale amount is 2x19% = 38%. Because the recommended allocation of EFA is 3% for the 4-ETF/fund portfolio, and 6% for the 3-ETF/fund portfolio, you would transfer 38%*3% = ~1% and 38%*6% = ~2%.
The SPY/C-Fund has fallen about -11.5%, hence the scale amount is 23%. The recommended allocation for SPY is 23% for the 4-ETF/fund portfolio, and 44% for the 3-ETF/fund portfolio, you would transfer 23%*23% = ~5% and 23%*44% = ~10%.
The VXF/S-Fund has fallen about -14%, hence the scale amount is 28%. The recommended allocation for VXF is 26% for the 4-ETF/fund portfolio, and 50% for the 3-ETF/fund portfolio, you would transfer 28%*26% = ~7% and 28%*50% = ~14%.
- If the ETF has a CASH recommendation, AND
- If the market continues to decline after Step 5 is performed, for every -10% decline in the market, reallocate at the next scale amount.
For example, the VXF has fallen about -14% to date. When it falls -20% total decline, we would ensure that a 40% scale of the present allocated amount (26% if using today's recommended allocation for the 4-ETF/fund portfolio, e.g. 40%*26% = 10%, and 50% if using today's recommended allocation for the 3-ETF/fund portfolio, e.g. 40%*50% = 20%).
- Continue steps 6 and 7 as the market moves down. After the market transitions to a 50% loss, you will be 100% invested (no monies in cash). The likelihood of the market continuing below 50% is very low, but as we saw in early 2009, it certainly can happen.
- Once the ETFs signal a LONG call, reallocate the individual ETF/Fund as per the recommended amounts. Do NOT disturb the ETFs/Funds that continue to have a CASH recommendation, e.g., keep their present allocations.
In accordance with the preceding rules, I have affected the following portfolio transfer, which will most likely occur Friday, May 21st:
4-ETF / Fund Portfolio
- AGG / F-Fund: 48%
- EFA / I-Fund: 1%
- SPY / C-Fund: 5%
- VXF / S-Fund: 7%
3-ETF / Fund Portfolio
- EFA / I-Fund: 2%
- SPY / C-Fund: 10%
- VXF / S-Fund: 14%
As always, you are responsible for your own trading decisions, not me. Please do your homework.
Regards,
pgd
Monday, May 17, 2010
Update for May 15th Weekend
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Lest you think I'm not paying attention to this portfolio, I am. I have 100% of my wife's monies in cash, as I do not play the F-Fund.
If you play the 4-ETF/fund route, the F-Fund is still long, and has been for some time (since 4/16). All the other ETFs / funds are in cash / G-Fund.
If you play the 3-ETF/fund game, you are sitting 100% in cash / G-Fund.
The coloring represents whether you should be in the ETFs/Funds going into the upcoming week. Red means that I suggest you wait, but do whatever you feel is prudent for your situation.
Remember, you are responsible for your own trading decisions, not me. Please do your diligence.
Regards,
pgd
Lest you think I'm not paying attention to this portfolio, I am. I have 100% of my wife's monies in cash, as I do not play the F-Fund.
If you play the 4-ETF/fund route, the F-Fund is still long, and has been for some time (since 4/16). All the other ETFs / funds are in cash / G-Fund.
If you play the 3-ETF/fund game, you are sitting 100% in cash / G-Fund.
- EFA, which is my proxy for the I-Fund, is just barely showing signs of life. I intend to avoid it for now.
- SPY, which is my proxy for the C-Fund, is looking better than the EFA, but not enough so that we should move into it.
- The VXF, which is my proxy for the S-Fund, looks the best of the lot, but again, not enough to move into it today.
- 4-ETF / Fund Plan:
AGG / F-Fund: 44%
EFA / I-Fund: 3%
SPY / C-Fund: 25%
VXF / S-Fund: 28%
- 3-ETF / Fund Plan:
EFA / I-Fund: 5%
SPY / C-Fund: 44%
VXF / S-Fund: 51%
The coloring represents whether you should be in the ETFs/Funds going into the upcoming week. Red means that I suggest you wait, but do whatever you feel is prudent for your situation.
Remember, you are responsible for your own trading decisions, not me. Please do your diligence.
Regards,
pgd
Friday, April 16, 2010
GGT Signaled LONG on F-Fund/AGG
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With the close of Friday's market, we have a long signal on the F-Fund / AGG. Allocations for the 4 funds, through the close of 4/16, are as follows:
===========
There are two portfolios that you can choose from here. One is a 3-ETF / Fund portfolio, which omits the F-Fund/AGG, and the other is a 4-ETF / Fund portfolio, which includes the F-Fund, AGG. The G-Fund is the equivalent of cash and is not included here (we don't allocate to the G-fund explicitly -- when I indicate to move to cash, this means G-Fund).
3-Fund Portfolio Performance through 4/16/10
Here is the equity curve, since inception, of the 3-Fund Portfolio. Right-mouse click on the image to open in a new window or tab, as you see fit:
Total gain is 26.88% gain since inception in 8/08.
Here are the buy/sell statistics with respect to the portfolio:
Note that the average win per trade is $3392.31 where as the average loss per trade is -$948.50. This combindation is giving us a Mathmatical Expectation of 1.288, which is very good. Also note that the Compounded Rate of Return is 15.74% since inception.
Here is the Situational Summary, which shows the total amount of Drawdown for the portfolio, since inception:
The figure above shows that we have experienced 9.05% drawdown in this portfolio. With a Compounded Rate of Return of 15.74%, this yields a reward/risk (Calmar) ratio CR = 15.74 / 9.05 = 1.739. We would like to move this above 2.0, with a target of 3.0, but 1.739 is very good.
Note that the buy-and-hold performance of the VVC since inception is a annualized rate of return (ARR) of -2.02%.
=====================
4-Fund Portfolio Performance through 4/16/10
The 4-Fund portfolio splits funds into the AGG / F-Fund, which provides for greater diversification and hopefully lower risk. Risk is measured as a function of the Calmar Ratio.
Here is the 4-ETF Equity Curve:
Total gain of the 4-ETF / Fund portfolio is 22.63%, measured from inception in 8/08.
Here are the performance statistics of the 4-ETF / Fund portfolio:
Note here that the average win per trade is $1956 and the average loss per trade is -$668. These two values, coupled with the 55% win rate, yield a mathematical expecatation of 1.169, which is lower than the 3-ETF / Fund portfolio (as expected -- think of why!). The Compounded Rate of Return (CRR) is 13.32%, measured from 8/08, which also is a few points shy of the 3-ETF/Fund portfolio. Here's the situational summary which shows the total amount of Drawdown experienced in the portfolio since inception:
Here, we see that the maximum drawdown is 7.1%. Combined with the CRR above, we have a reward/risk (Calmar) ratio = CR = 13.32/7.1 = 1.876, which is slightly higher than the 3-ETF/fund portfolio, which had a CR of 1.739. This shows that diversification does lower risk, but it also does often lower the total return of the portfolio.
You have to choose which one is correct for you. I personally invest my wife's TSP in the 3-ETF / Fund portfolio, chosing not to invest in the F-Fund / AGG. Again, this decision is yours, not mine.
================
Summary
If you follow in the 4-fund / ETF portfolio, then you should move 7% of your cash to the F-Fund / AGG before 10 a.m. Monday morning. If you follow the 3-fund / ETF portfolio, you should do nothing at this point in time.
================
Remember, you are responsible for your own trading decisions, not me. Please do your own diligence.
Regards,
pgd
With the close of Friday's market, we have a long signal on the F-Fund / AGG. Allocations for the 4 funds, through the close of 4/16, are as follows:
- C-Fund / SPY: 29%
- F-Fund / AGG: 7%
- I-Fund / EFA: 18%
- S-Fund / VXF: 46%
===========
There are two portfolios that you can choose from here. One is a 3-ETF / Fund portfolio, which omits the F-Fund/AGG, and the other is a 4-ETF / Fund portfolio, which includes the F-Fund, AGG. The G-Fund is the equivalent of cash and is not included here (we don't allocate to the G-fund explicitly -- when I indicate to move to cash, this means G-Fund).
3-Fund Portfolio Performance through 4/16/10
Here is the equity curve, since inception, of the 3-Fund Portfolio. Right-mouse click on the image to open in a new window or tab, as you see fit:
Here are the buy/sell statistics with respect to the portfolio:
Here is the Situational Summary, which shows the total amount of Drawdown for the portfolio, since inception:
Note that the buy-and-hold performance of the VVC since inception is a annualized rate of return (ARR) of -2.02%.
=====================
4-Fund Portfolio Performance through 4/16/10
The 4-Fund portfolio splits funds into the AGG / F-Fund, which provides for greater diversification and hopefully lower risk. Risk is measured as a function of the Calmar Ratio.
Here is the 4-ETF Equity Curve:
Here are the performance statistics of the 4-ETF / Fund portfolio:
You have to choose which one is correct for you. I personally invest my wife's TSP in the 3-ETF / Fund portfolio, chosing not to invest in the F-Fund / AGG. Again, this decision is yours, not mine.
================
Summary
If you follow in the 4-fund / ETF portfolio, then you should move 7% of your cash to the F-Fund / AGG before 10 a.m. Monday morning. If you follow the 3-fund / ETF portfolio, you should do nothing at this point in time.
================
Remember, you are responsible for your own trading decisions, not me. Please do your own diligence.
Regards,
pgd
Thursday, March 25, 2010
GGT TSP Signal Change
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Effective with the close on Thursday, 3/25/10, I am moving all funds to the G-Fund. Here's the rationale why:
AGG / F-Fund
I am listing this fund simply because of continuity. Per my previous blog, I have avoided AGG / F-Fund on this latest leg, because it has not been a solid performer.
- This ETF has closed below it's 50d MA, although it did bounce off it's 200 MA today
- The 2d EMA on the slope of the 65d EMA is now BELOW the primary slope EMAs (8d, 13d, 21d). This is bearish.
- The 8d EMA on the slope of the 65d EMA has crossed the 13d EMA from above, a bearish indicator.
- The 8d EMA on the slope of the 65d EMA and the 13d on the same are now both trending downward. This is bearish, and if the 21d also points down, nail the coffin shut.
EFA / I-Fund
- The 2d EMA on the slope of the 65d EMA is now BELOW the primary slope EMAs (8d, 13d, 21d). This is bearish.
- The 8d EMA on the slope of the 65d EMA has crossed the 13d EMA from above, a bearish indicator.
- The 8d EMA on the slope of the 65d EMA and the 13d on the same are now both trending downward. This is bearish.
SPY / C-Fund
The C-Fund, as measured by the ETF SPY, is a day early relative to the others:
- The 2d EMA on the slope of the 65d EMA is now BELOW the primary slope EMAs (8d, & 13d) but is still above the 21d. A down day on Friday 3/26 in the S&P 500 will certainly trigger this south. Correspondingly, although perhaps a day early, I am coloring this bearish.
- The 8d EMA on the slope of the 65d EMA is crossing the 13d EMA from above, a bearish indicator. The difference between the two indicators is $0.0004, so this crossing from above is almost a done deal if tomorrow even thinks of hesitating.
VXF / S-Fund
- The 2d EMA on the slope of the 65d EMA is now BELOW the primary slope EMAs (8d, 13d, 21d). This is bearish.
- The 8d EMA on the slope of the 65d EMA has crossed the 13d EMA from above, a bearish indicator.
- The 8d EMA on the slope of the 65d EMA and the 13d on the same are now both trending downward. This is bearish.
I plan to enter my order tonight. If you enter your order before 9 a.m. Friday morning it should post by the end of the day.
=================
Remember, you are responsible for your own trading decisions. Please do your own diligence.
Regards,
pgd
Wednesday, March 17, 2010
I-Fund / EFA has signaled a move to LONG
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With the close of the markets on Tuesday, March 16th, the I-Fund / EFA has signaled a long-awaited call to LONG. At the present time you should be long in all stock funds (see earlier blog for allocations), but due to the weakness of the F-Fund /AGG, I would continue to reserve those monies in the G-Fund (Cash) if you are implementing the 4-equity portfolio.
=================
Remember, you are responsible for your own trading decisions, not me. Do your own due diligence.
Regards,
pgd
With the close of the markets on Tuesday, March 16th, the I-Fund / EFA has signaled a long-awaited call to LONG. At the present time you should be long in all stock funds (see earlier blog for allocations), but due to the weakness of the F-Fund /AGG, I would continue to reserve those monies in the G-Fund (Cash) if you are implementing the 4-equity portfolio.
=================
Remember, you are responsible for your own trading decisions, not me. Do your own due diligence.
Regards,
pgd
Sunday, March 7, 2010
March 6th Weekend Update
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Summary
====================
A question came in this past week about TSP portfolio updates. I've not been paying attention during the week, specifically looking at signals only on the weekend. Call it my need for "strategy captains" is the highest it has ever been, so if you have Excel 2007 and know how to run macros, let me know. Be advised that I will ask you to sign a non-disclosure agreement.
====================
AGG / F-Fund Status
AGG / F-Fund signaled New Long on 2/25, with a closing price of $104.51. I didn't catch this change until I ran updates the night of 2/26, and I posted them in the GGT web site the same weekend. This past weekend saw a close on March 5th of $104.39, so although AGG / F-Fund is still showing a long status, we've not had any appreciable increase in price. Let's see if we can determine why.
There are a number of colored "ribbons" across the top of the figure; the 4th one down from the top is labeled "Force Index 13 DEMA" and represents Elder's 13 d EMA on (Volume * Price Change). What is important here is that it just turned "RED", indicating that we've got some problems with volume and/or price change with AGG / F-Fund.
The white area, which is entitled "65d Slope EMAs", shows a number of EMAs that are relatively flat. This area of the chart plots different EMAs of the slope of the 65d price line. Think about that. The 65d price line is 13 weeks / 1 Quarter, and the 2d line (red) that you see bouncing all over is literally the 2d EMA on the slope of this price. When this value is positive, the slope of the 65d EMA of price is moving up, e.g., prices are appreciating, and when this value is negative, the slope of the 65d EMA of price is moving down, e.g., prices are depreciating.
If you look closely, you can see that the 2d EMA (red) is bouncing between $0.012 (established on 1/29) and -$0.0125 (established on 2/22). Now look closer at the 8d EMA (green), 13d EMA (blue), and 21d EMA (pink). All are moving TIGHTER than this 2d, and all are bouncing above and below 0. Until we see these move above 0 and point upward it will be very risky to commit monies to AGG.
I do not intend to move long on AGG / F-Fund until it shows a definite trend upwards.
===================
EFA / I-Fund Status
EFA / I-Fund has been in trouble for some time, and continues to indicate a "Cash" status as far as GGT is concerned. The primary rationale for this recommendation is easily viewed in the chart above, and specifically, in the 65d EMA window.
Although the different trend lines are pointing upward, observe the scale on the right of this graph: every one, with the exception of the 2d EMA (red), is well below $0.00. This means that as far as the 8d EMA, 13d EMA, and 21d EMA of the slope of the 65d EMA is concerned, we're still losing money on EFA, BUT it certainly has been improving.
Overall, EFA / I-Fund does look like it is about to move long, so if we see continued strength in the market, we will move long on this ETF.
====================
SPY / C-Fund
When I looked at the SPY / C-Fund last weekend it appeared that we were hitting resistance at the 50d MA, so I was not too concerned. SPY / F-Fund signaled "New Long" this past Thursday, March 4th. Is it too late to get into SPY? No, not if the market continues higher.
Note the 65d EMA window. ALL the EMAs are positive in value, which indicates that the slope of the 65d line is in a sustained up trend. I plan to move monies into the C-Fund tomorrow (3/8/10).
====================
VXF / S-Fund
VXF / S-Fund moved long on 2/17/10, and I did not post this change (although it was evident in the 2/26/10 update that I posted last weekend). Nevertheless, we are clearly in an uptrend with this ETF / S-Fund, as measured by both the indicators in the 65d EMA window as well as the slope of the 50 and 200d EMAs in the lower window.
I intend to move into the S-Fund on Monday, 3/8/10.
=======================
Allocations
The question is one of how much to allocate. If we take a look at a 1-month performance, we have the following results:
Across the top of the graph we have the 1-month performance as:
IF YOU INVEST IN THE 4-Fund Portfolio, then your allocations should be:
Again, I intend to move into SPY and VXF tomorrow, Monday, 3/8 with the allocations shown above. The balance not invested will be held in Cash / G-Fund.
====================
Remember, you are responsible for your own investment decisions, not me. Please do your own diligence.
Please read my blog at http://greekgodtrading.blogspot.com; it contains relevant indicators that this market is very overbought and entry into long positions now may be very risky.
Regards,
pgd
Summary
AGG / F-Fund: Long, but Elder FI(13) is negative and prices are not appreciating.
EFA / I-Fund: Cash, but appears ready to move Long if market continues higher.
SPY / C-Fund: Long, with the signal occurring this past Thursday.
VXF / S-Fund: Long, mature, but nothing indicates any danger at this point.
====================
A question came in this past week about TSP portfolio updates. I've not been paying attention during the week, specifically looking at signals only on the weekend. Call it my need for "strategy captains" is the highest it has ever been, so if you have Excel 2007 and know how to run macros, let me know. Be advised that I will ask you to sign a non-disclosure agreement.
====================
AGG / F-Fund Status
AGG / F-Fund signaled New Long on 2/25, with a closing price of $104.51. I didn't catch this change until I ran updates the night of 2/26, and I posted them in the GGT web site the same weekend. This past weekend saw a close on March 5th of $104.39, so although AGG / F-Fund is still showing a long status, we've not had any appreciable increase in price. Let's see if we can determine why.
As with all of my charts, right-click on the image to open in a new window or tab, as the most relevant data will be shown on the RIGHT side of the graph. Make sure you can see the numbers on the RIGHT side of the graph.
There are a number of colored "ribbons" across the top of the figure; the 4th one down from the top is labeled "Force Index 13 DEMA" and represents Elder's 13 d EMA on (Volume * Price Change). What is important here is that it just turned "RED", indicating that we've got some problems with volume and/or price change with AGG / F-Fund.
The white area, which is entitled "65d Slope EMAs", shows a number of EMAs that are relatively flat. This area of the chart plots different EMAs of the slope of the 65d price line. Think about that. The 65d price line is 13 weeks / 1 Quarter, and the 2d line (red) that you see bouncing all over is literally the 2d EMA on the slope of this price. When this value is positive, the slope of the 65d EMA of price is moving up, e.g., prices are appreciating, and when this value is negative, the slope of the 65d EMA of price is moving down, e.g., prices are depreciating.
If you look closely, you can see that the 2d EMA (red) is bouncing between $0.012 (established on 1/29) and -$0.0125 (established on 2/22). Now look closer at the 8d EMA (green), 13d EMA (blue), and 21d EMA (pink). All are moving TIGHTER than this 2d, and all are bouncing above and below 0. Until we see these move above 0 and point upward it will be very risky to commit monies to AGG.
I do not intend to move long on AGG / F-Fund until it shows a definite trend upwards.
===================
EFA / I-Fund Status
Although the different trend lines are pointing upward, observe the scale on the right of this graph: every one, with the exception of the 2d EMA (red), is well below $0.00. This means that as far as the 8d EMA, 13d EMA, and 21d EMA of the slope of the 65d EMA is concerned, we're still losing money on EFA, BUT it certainly has been improving.
Overall, EFA / I-Fund does look like it is about to move long, so if we see continued strength in the market, we will move long on this ETF.
====================
SPY / C-Fund
Note the 65d EMA window. ALL the EMAs are positive in value, which indicates that the slope of the 65d line is in a sustained up trend. I plan to move monies into the C-Fund tomorrow (3/8/10).
====================
VXF / S-Fund
I intend to move into the S-Fund on Monday, 3/8/10.
=======================
Allocations
The question is one of how much to allocate. If we take a look at a 1-month performance, we have the following results:
- AGG : -0.01%
- EFA: +6.8%
- SPY: +7.12%
- VXF: +11.41%
IF YOU INVEST IN THE 4-Fund Portfolio, then your allocations should be:
- AGG / F-Fund: 3% (remember that this is looking very weak)
- EFA / I-Fund: 27% (remember that this is presently in CASH but is improving)
- SPY / C-Fund: 28%
- VXF / S-Fund: 42%
- EFA / I-Fund: 27% (remember that this is presently in CASH but is improving)
- SPY / C-Fund: 29%
- VXF / S-Fund: 44%
Again, I intend to move into SPY and VXF tomorrow, Monday, 3/8 with the allocations shown above. The balance not invested will be held in Cash / G-Fund.
====================
Remember, you are responsible for your own investment decisions, not me. Please do your own diligence.
Regards,
pgd
Sunday, January 31, 2010
Signal Change for Monday, Frebruary 1st
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For those of you who follow GGT, you know that I periodically update the "optimum EMAs" for the database, and what this means is that a change in coefficients could cause the signal to change abruptly. This is the situation that we are faced with right now.
I updated the optimum EMAs for our ETFs, specifically AGG, EFA, SPY and VXF. Prior to Friday's close, we were showing all of these EMAs, and subsequently their corresponding ETFs, all sitting in CASH.
After running the updates, we have a signal change on AGG and VXF. AGG represents the F-Fund, and with the new numbers, signaled a change to LONG the evening of January 25th, which is where we still are sitting. The close on 1/25 was $104.45, and the close as of Friday 1/29 was $104.65, a change of less than 0.2%. As a bond fund, we've averaged only 0.5% gain over the last year every time this signal has moved long so we're not going to retire using just the AGG. Nevertheless, the trend is upward for bonds, so this could be a good play, missing the 0.2% move notwithstanding. Allocation levels are listed below.
VXF is throwing us an unrealistic curve, and with the new update in EMAs, is indicating that we should have been long in VXF since 3/26/09. For those of you who have been following this signal you know that this is not the case, simply because all the "bad" data of last year is scrolling off the optimizer "window", leaving on the performance over the last year. Hence the LONG signal.
So what to do now with VXF? It's been long FOREVER....
We can use HGSI to get some insight into VXF from here (click on the image for a larger view):
The next ribbons deal with the 2-day and 13d Elder Force Index, and both are red. Entering when the 13-day is red is risky, but as many of you know, entering when the 2d FI is negative can get us some good entries. In this particular case the "red" 13d Elder signal gives me tremendous pause.
%b and the Bollinger are resetting to attracive levels. Enough said .....
The 65d EMA graph is the one that makee me pause. All of these signals are pointing down so we need to be extra careful here, at least until the curves move horizontal. These effectively stop my entry, but we need to be vigilatn.
Finally, a support line drawn at the lows of 7/13, 11/2, and 11/27 gives us a problem with history over the next few weeks. We've been below this imaginary support line over the past week, which means we need to move back upwards to be above this line to feel comfortable.
Since we have a number of parameters indicating that we are long in the tooth on VXF, we need to see how things will move with all of these parameters. I intend to stay in cash in VXF unless I see something compelling.
Summary: You can change your allocations to include VXF / S-Fund, but I strongly urge caution. I intend to only play the AGG signal, and will NOT play the VXF signal.
=============
Allocations
Here are the 1-month performances of the aforementioned ETFs:
Again, remember that CASH *is* a position, and it's a good one when we're getting hit this hard. AGG is moving up, which means we should give it some of our attention. EFA / I-Fund and SPY / C-Fund are both in cash, so stay in cash until they signal otherwise. the VXF is saying we should be long -- this is a riskier trade. See my commentary above.
===================
Remember, you are responsible for your own investment decisions, not me.
If you have questions or comments please leave me a note.
Regards,
pgd
For those of you who follow GGT, you know that I periodically update the "optimum EMAs" for the database, and what this means is that a change in coefficients could cause the signal to change abruptly. This is the situation that we are faced with right now.
I updated the optimum EMAs for our ETFs, specifically AGG, EFA, SPY and VXF. Prior to Friday's close, we were showing all of these EMAs, and subsequently their corresponding ETFs, all sitting in CASH.
After running the updates, we have a signal change on AGG and VXF. AGG represents the F-Fund, and with the new numbers, signaled a change to LONG the evening of January 25th, which is where we still are sitting. The close on 1/25 was $104.45, and the close as of Friday 1/29 was $104.65, a change of less than 0.2%. As a bond fund, we've averaged only 0.5% gain over the last year every time this signal has moved long so we're not going to retire using just the AGG. Nevertheless, the trend is upward for bonds, so this could be a good play, missing the 0.2% move notwithstanding. Allocation levels are listed below.
VXF is throwing us an unrealistic curve, and with the new update in EMAs, is indicating that we should have been long in VXF since 3/26/09. For those of you who have been following this signal you know that this is not the case, simply because all the "bad" data of last year is scrolling off the optimizer "window", leaving on the performance over the last year. Hence the LONG signal.
So what to do now with VXF? It's been long FOREVER....
We can use HGSI to get some insight into VXF from here (click on the image for a larger view):
The top two "ribbons" across the top indicate weekly and daily "Bongo" readings, which use three sequences in the Wilder RSI to give us a view on whether we should be in a particular equity. When these both are "red" we need extreme caution -- and they are both red.
The next ribbon is accumulation / distribution, and it's been falling. Falling accumulation will continue to result in lower equity prices, so we need to watch this.
The next ribbons deal with the 2-day and 13d Elder Force Index, and both are red. Entering when the 13-day is red is risky, but as many of you know, entering when the 2d FI is negative can get us some good entries. In this particular case the "red" 13d Elder signal gives me tremendous pause.
%b and the Bollinger are resetting to attracive levels. Enough said .....
The 65d EMA graph is the one that makee me pause. All of these signals are pointing down so we need to be extra careful here, at least until the curves move horizontal. These effectively stop my entry, but we need to be vigilatn.
Finally, a support line drawn at the lows of 7/13, 11/2, and 11/27 gives us a problem with history over the next few weeks. We've been below this imaginary support line over the past week, which means we need to move back upwards to be above this line to feel comfortable.
Since we have a number of parameters indicating that we are long in the tooth on VXF, we need to see how things will move with all of these parameters. I intend to stay in cash in VXF unless I see something compelling.
Summary: You can change your allocations to include VXF / S-Fund, but I strongly urge caution. I intend to only play the AGG signal, and will NOT play the VXF signal.
=============
Allocations
Here are the 1-month performances of the aforementioned ETFs:
- AGG: +1.54%
- EFA: -6.12%
- SPY: -4.59%
- VXF: -4.58%
- EFA / I-Fund: 16% (presently in cash --> G-Fund)
- SPY / C-Fund: 42% (presently in cash --> G-Fund)
- VXF / S-Fund: 42%
- AGG / G-Fund: 59%
- EFA / I-Fund: 7% (presently in cash --> G-Fund)
- SPY / C-Fund: 17% (presently in cash --> G-Fund)
- VXF / S-Fund: 17%
Again, remember that CASH *is* a position, and it's a good one when we're getting hit this hard. AGG is moving up, which means we should give it some of our attention. EFA / I-Fund and SPY / C-Fund are both in cash, so stay in cash until they signal otherwise. the VXF is saying we should be long -- this is a riskier trade. See my commentary above.
===================
Remember, you are responsible for your own investment decisions, not me.
If you have questions or comments please leave me a note.
Regards,
pgd
Saturday, January 23, 2010
Signal Change! Move to Cash!
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Summary: It is strongly suggested to move all monies to cash. F-Fund / AGG has been strong, but I am waiting for this to signal "New Long" before allocating any monies into AGG. The 3-fund portfolio is performing better in gain than the 4-fund (as expected, since it does not allocate to a bond fund), but the drawdown is unproportionally higher, resulting in a greater risk/reward ratio. If you are of lower risk the 4-fund approach has better metrics, although the gain is lower. We bank gain, not risk, so you have to align your objectives accordingly
============
GGT has signaled an intermediate-term move to cash across the board. You should have already been in cash in AGG / F-Fund and EFA / I-Fund, and now you should consider a complete move to cash / G-Fund with the balance of your holdings.
F-Fund / AGG is very strong, with a GGT Strength of +3. The only thing required to move this to a "New Long" signal is more volume, approximately above 475K shares (it varies daily so do not take this as gospel). The question is whether we should move to the F-Fund /AGG at the same time we liquidate the other funds; if we do not do this we will remove both of our 2x / month trades available to us with the TSP. Given that we are so late in the month, burning these 2 trades is not a big risk, so I'm inclined to state WAIT for AGG / F-Fund to signal a hard move long.
Both SPY / C-Fund and VXF / S-Fund were purchased as of the signal of 11/17; since that time (through the close of 1/22) SPY / C-Fund has fallen -1.55% and VXF / S-Fund has increased +2.19%. If you dollar-cost-average your allocations from your pay on a bi-weekly basis you will have done a bit better, as the period up to 12/22 was relatively flat in price performance for both SPY / C-Fund and VXF / S-Fund, with the VXF slightly outperforming the SPY during this time.
IF you enter your trade this weekend at the TSP site, there is a very high probability that your trade will occur on Monday. Given that the markets are down three days straight, I anticipate a dead-cat bounce on Monday, meaning there is a higher probability than not that you will be selling on higher prices, which is what you want to do.
As I cannot post fully-accurate statistics until I close SPY / C-Fund and VXF / S-Fund, I'll hold off on the complete dashboard of metrics until Monday or Tuesday. Until then, here are the stats through Friday, January 22nd, 2010:
3-Portfolio ETF / Fund
Strategy: Invests only in the C-Fund / SPY, I-Fund / EFA, and S-Fund / VXF. Moves to G-Fund / Cash when necessary.
4-Portfolio ETF / Fund
Strategy: Invests in the C-Fund / SPY, F-Fund / AGG, I-Fund / EFA, and S-Fund / VXF. Moves to G-Fund / Cash when necessary.
Remember, you are responsible for your own investment decisions, not me. Check in early next week to see the graphs/charts/etc. of this portfolio after I close the various funds and move to cash on Monday.
Regards,
pgd
Summary: It is strongly suggested to move all monies to cash. F-Fund / AGG has been strong, but I am waiting for this to signal "New Long" before allocating any monies into AGG. The 3-fund portfolio is performing better in gain than the 4-fund (as expected, since it does not allocate to a bond fund), but the drawdown is unproportionally higher, resulting in a greater risk/reward ratio. If you are of lower risk the 4-fund approach has better metrics, although the gain is lower. We bank gain, not risk, so you have to align your objectives accordingly
============
GGT has signaled an intermediate-term move to cash across the board. You should have already been in cash in AGG / F-Fund and EFA / I-Fund, and now you should consider a complete move to cash / G-Fund with the balance of your holdings.
F-Fund / AGG is very strong, with a GGT Strength of +3. The only thing required to move this to a "New Long" signal is more volume, approximately above 475K shares (it varies daily so do not take this as gospel). The question is whether we should move to the F-Fund /AGG at the same time we liquidate the other funds; if we do not do this we will remove both of our 2x / month trades available to us with the TSP. Given that we are so late in the month, burning these 2 trades is not a big risk, so I'm inclined to state WAIT for AGG / F-Fund to signal a hard move long.
Both SPY / C-Fund and VXF / S-Fund were purchased as of the signal of 11/17; since that time (through the close of 1/22) SPY / C-Fund has fallen -1.55% and VXF / S-Fund has increased +2.19%. If you dollar-cost-average your allocations from your pay on a bi-weekly basis you will have done a bit better, as the period up to 12/22 was relatively flat in price performance for both SPY / C-Fund and VXF / S-Fund, with the VXF slightly outperforming the SPY during this time.
IF you enter your trade this weekend at the TSP site, there is a very high probability that your trade will occur on Monday. Given that the markets are down three days straight, I anticipate a dead-cat bounce on Monday, meaning there is a higher probability than not that you will be selling on higher prices, which is what you want to do.
As I cannot post fully-accurate statistics until I close SPY / C-Fund and VXF / S-Fund, I'll hold off on the complete dashboard of metrics until Monday or Tuesday. Until then, here are the stats through Friday, January 22nd, 2010:
3-Portfolio ETF / Fund
Strategy: Invests only in the C-Fund / SPY, I-Fund / EFA, and S-Fund / VXF. Moves to G-Fund / Cash when necessary.
- Total gain since 8/08: 22.13%
- Mathematical Expectation (ME): 1.274 (very, very good)
- Average Win per Trade: $1,340 on $122,300 basis.
- Compounded Rate of Return (CRR): 15.36% (very good)
- Comparative Board Market Performance during Same Period: -8.53%
- Maximum Drawdown (MDD): 9.05%
- Calmar Ratio (Reward/Risk Ratio, CR): 15.36 / 9.05 = 1.697 (good, but desire > 2.0)
4-Portfolio ETF / Fund
Strategy: Invests in the C-Fund / SPY, F-Fund / AGG, I-Fund / EFA, and S-Fund / VXF. Moves to G-Fund / Cash when necessary.
- Total gain since 8/08: 19.35%
- Mathematical Expectation (ME): 1.009 (very good)
- Average Win per Trade: $804 on $119,356 basis.
- Compounded Rate of Return (CRR): 13.45% (good)
- Comparative Board Market Performance during Same Period: -9.02%
- Maximum Drawdown (MDD): 7.10%
- Calmar Ratio (Reward/Risk Ratio, CR): 13.45 / 7.1 = 1.894 (good, but desire > 2.0)
Remember, you are responsible for your own investment decisions, not me. Check in early next week to see the graphs/charts/etc. of this portfolio after I close the various funds and move to cash on Monday.
Regards,
pgd
Friday, January 22, 2010
Friday Morning, January 22nd 2010 Update
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No signal changes, so no issues for today. You should still be long SPY / C-Fund and VXF / S-Fund.
The SPY / C-Fund is holding up well overall, and although it has been beaten up with the down draft the last two days, it's strength index is a +1. We need a -3 for a move-to-cash indication, and while it certainly is possible to move from +1 to -3 in one day, we'd need one heck of a down day today, and the futures are not indicating tremendous downward pressure (they're nearly even as of 6:45 a.m.).
The VXF / S-Fund is weaker at -1, and this will most likely to be the next domino to fall if the market reverses. Volume does not play into the movement to -3, only price, so if we do not get a solid up day it is very likely we could see this one move to cash. DO NOT ANTICIPATE the move, wait for it. Many gains in a bull market are made off of sell-offs, so it will be important to be in this position if the market reverses and continues to the upside.
I'll post performance numbers and allocations this weekend.
Remember, you are responsible for your own trading decisions, not me.
Regards,
pgd
No signal changes, so no issues for today. You should still be long SPY / C-Fund and VXF / S-Fund.
The SPY / C-Fund is holding up well overall, and although it has been beaten up with the down draft the last two days, it's strength index is a +1. We need a -3 for a move-to-cash indication, and while it certainly is possible to move from +1 to -3 in one day, we'd need one heck of a down day today, and the futures are not indicating tremendous downward pressure (they're nearly even as of 6:45 a.m.).
The VXF / S-Fund is weaker at -1, and this will most likely to be the next domino to fall if the market reverses. Volume does not play into the movement to -3, only price, so if we do not get a solid up day it is very likely we could see this one move to cash. DO NOT ANTICIPATE the move, wait for it. Many gains in a bull market are made off of sell-offs, so it will be important to be in this position if the market reverses and continues to the upside.
I'll post performance numbers and allocations this weekend.
Remember, you are responsible for your own trading decisions, not me.
Regards,
pgd
Saturday, January 2, 2010
New Year's Weekend 2010 Update
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Overall, this has been a good year for the TSP funds, as managed by GGT. We operate two portfolios, one that is a 3-ETF/Fund portfolio, which omits AGG/F-Fund, and a 4-ETF/Fund portfolio, which includes everything. The 3-ETF/Fund portfolio is a bit more volatile than the 4-ETF/Fund portfolio, but the gains are a bit higher too, as you would expect. I do not anticipate any changes to strategy enactment in either portfolio going forward in 2010.
I suggest that if you want timely signals to follow that you add this blog to your Google Reader, iGoogle Reader, or other RSS feed so that you can receive timely updates. The easiest way is to "Follow" this blog using the link in the sidebar. Missing the signals could be detrimental to your longer-term financial health!
This portfolio invests in the following ETFs/funds, and the new calculations for allocation for January:
In terms of strategy for January, DO NOT realign your portfolios until we get another signal. TSP only allows two transfers per month, so we need to keep our powder dry. Presently, keep your allocations at 46% for SPY / C-Fund and 30% for VXF / S-Fund, with the balance in cash / G-Fund. If a signal to move funds occurs, we'll re-balance at that time.
Here are the performance stats to date. As with all my images, click on the following images to enlarge:
This portfolio invests in the following ETFs/funds, and the new calculations for allocation for January:
In terms of strategy for January, DO NOT realign your portfolios until we get another signal. TSP only allows two transfers per month, so we need to keep our powder dry. Presently, keep your allocations at 42% for SPY / C-Fund and 27% for VXF / S-Fund, with the balance in cash / G-Fund. If a signal to move funds occurs, we'll re-balance at that time. Note that these allocations are different than the 3-ETF/Fund portfolio, so take your time to understand why.
Here are the performance stats to date. As with all my images, click on the following images to enlarge:
Overall, this has been a good year for the TSP funds, as managed by GGT. We operate two portfolios, one that is a 3-ETF/Fund portfolio, which omits AGG/F-Fund, and a 4-ETF/Fund portfolio, which includes everything. The 3-ETF/Fund portfolio is a bit more volatile than the 4-ETF/Fund portfolio, but the gains are a bit higher too, as you would expect. I do not anticipate any changes to strategy enactment in either portfolio going forward in 2010.
I suggest that if you want timely signals to follow that you add this blog to your Google Reader, iGoogle Reader, or other RSS feed so that you can receive timely updates. The easiest way is to "Follow" this blog using the link in the sidebar. Missing the signals could be detrimental to your longer-term financial health!
GGT TSP 3-ETF/Fund Portfolio
This portfolio invests in the following ETFs/funds, and the new calculations for allocation for January:
- EFA / I-Fund (9%)
- SPY / C-Fund (24%)
- VXF / S-Fund (67%)
In terms of strategy for January, DO NOT realign your portfolios until we get another signal. TSP only allows two transfers per month, so we need to keep our powder dry. Presently, keep your allocations at 46% for SPY / C-Fund and 30% for VXF / S-Fund, with the balance in cash / G-Fund. If a signal to move funds occurs, we'll re-balance at that time.
Here are the performance stats to date. As with all my images, click on the following images to enlarge:
The flat portions in the equity curve above are where the strategy is 100% in cash. It happens, so be prepared for it. Furthermore, also realize that the goal of this strategy it to keep you out of large drawdowns, so do not second-guess the calls. If you think that you have the "killer" strategy to further reduce drawdowns yet improve gain, then contact me, as I can test your ideas far easier than you.
Refer to the figure above. For the 3-Portfolio fund, we've been successful at just over 50% of the trades. GGT works using moving averages, and since we sell when the MA is less than optimum, we are limiting our down-side risk. Hence, on our trades to date, we typically gain $4032 per winning trade, and lose $1052 each losing trade.
Of particular relevance is that the Mathematical Expectation (ME) of this 3-Portfolio system is 1.274 -- values over 1.0 are considered very good. Please note that the Compounded Rate of Return (CRR) of this system is 17.02%; we'll use that number in a bit.
The figure above shows us that over the same time the buy-and-hold approach to the market, using the VectorVest Composite (VVC), is a loss of (7.87%), whereas this system is returning an Annual Rate of Return (ARR) of 17.49%. Our total gain from August 2008 has been just over 23.42%.
Of specific importance here is the Max DrawDown (MDD) value of 9.05%. This is used, in conjunction with the CRR value of 17.02%, to provide a Reward:Risk ratio known as the Calmar Ratio. Calmar Ratio (CR) is defined by CRR / MDD, so we have CR = 17.02 / 9.05 = 1.88. Ideally, we want values in excess of 2.0, but this is not a bad number, and simply states that we are risking only $0.53 for every dollar that we invest. This is a winning system, and it will pay to stay the course.
GGT TSP 4-ETF/Fund Portfolio
This portfolio invests in the following ETFs/funds, and the new calculations for allocation for January:
- AGG / F-Fund (5%)
- EFA / I-Fund (18%)
- SPY / C-Fund (26%)
- VXF / S-Fund (51%)
In terms of strategy for January, DO NOT realign your portfolios until we get another signal. TSP only allows two transfers per month, so we need to keep our powder dry. Presently, keep your allocations at 42% for SPY / C-Fund and 27% for VXF / S-Fund, with the balance in cash / G-Fund. If a signal to move funds occurs, we'll re-balance at that time. Note that these allocations are different than the 3-ETF/Fund portfolio, so take your time to understand why.
Here are the performance stats to date. As with all my images, click on the following images to enlarge:
Above is the equity curve for the 4-ETF / Fund portfolio. It closely mirrors the 3-ETF / Fund portfolio, but because of the introduction of AGG / F-Fund, this portfolio is a bit more conservative. Nevertheless, the performance is solid.
The graphic above shows that the 4-ETF/Fund portfolio wins about 57% of the trades, providing a 14.73% CRR since inception and a ME of 1.099. Each win in the portfolio typically returns $2103, or about 2.1% of the basis, and each losing trade loses $731, or about -0.7% of the basis. These are solid numbers. Not stellar, but not bad.
The figure above shows that although the gain is a bit lower than than 3-ETF/Fund portfolio, the corresponding MDD is lower at 7.1%. Our reward:risk ratio is determined by Calmar Ratio = CRR/MDD = 14.73% / 7.1% = 2.07, which is higher than the 3-ETF/Fund portfolio, which had a CR of 1.88. The value here of 2.07 tells us that we're risking $0.48 for every dollar gained, which is a nice metric.
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So the challenge becomes subjective: should you invest in the 3-ETF/Fund portfolio, which has a higher CRR (17.5%) but a slightly higher MDD, or should you invest in the 4-ETF/Fund portfolio, which has a lower CRR but an even lower MDD, resulting in a better reward:risk ratio? The answer is individual -- you bank gain, not reward:risk ratios, so if you can live with a higher MDD, then the 3-ETF portfolio is wise. If you're older, fewer years to regain losses, etc., then I would stick with the 4-ETF/Fund portfolio.
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Remember, you are responsible for your own investment decisions, not me.
Regards,
pgd
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