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With the close of markets on Thursday, March 3rd, the F-Fund and the ETF AGG are both confirming a move to CASH. GGT already has had these sitting in CASH, but another model I use to independently arrive at the same conclusion strongly confirms that you should not be in this bond fund at the present time.
On a related note, GGT has the ETF SPY, which is the S&P500, as recommending CASH. The other model I use, which does not consider volume, has the C-Fund completely LONG. GGT has the SPY in CASH because of the lack of volume, compared to historical strength, and is suggesting that we hold no positions in the SPY.
Whether this is prudent advice or not will reveal itsself in the next couple of weeks.
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Remember, you are responsible for your own trading decisions, and I am not. Please do your diligence and take ownership for your actions.
Regards,
pgd
Showing posts with label SPY. Show all posts
Showing posts with label SPY. Show all posts
Friday, March 4, 2011
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
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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
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