GGT Signaled LONG on F-Fund/AGG

.
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%

Note that the C-Fund, F-Fund, and S-Funds are presently in cash (G-Fund), hence the only fund you should consider going long on Monday is the F-Fund / AGG.  Note that if you enter your order into TSP.GOV prior to about 10:00 a.m. it should post that evening, just like a mutual fund.

===========

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

GGT TSP Signal Change

.

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.

1. This ETF has closed below it's 50d MA, although it did bounce off it's 200 MA today
2. The 2d EMA on the slope of the 65d EMA is now BELOW the primary slope EMAs (8d, 13d, 21d). This is bearish.
3. The 8d EMA on the slope of the 65d EMA has crossed the 13d EMA from above, a bearish indicator.
4. 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 

1. The 2d EMA on the slope of the 65d EMA is now BELOW the primary slope EMAs (8d, 13d, 21d). This is bearish.
2. The 8d EMA on the slope of the 65d EMA has crossed the 13d EMA from above, a bearish indicator.
3. 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:

1. 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.
2. 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 

1. The 2d EMA on the slope of the 65d EMA is now BELOW the primary slope EMAs (8d, 13d, 21d). This is bearish.
2. The 8d EMA on the slope of the 65d EMA has crossed the 13d EMA from above, a bearish indicator.
3. 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

I-Fund / EFA has signaled a move to LONG

.
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

March 6th Weekend Update

.
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

 

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:

• AGG : -0.01%
• EFA:  +6.8%
• SPY: +7.12%
• VXF: +11.41%

I've outlined in the past the methodology to allocate monies.  Recall there are two portfolios, one that uses all 4 ETFs/Funds, and one that only uses 3 ETFs/Funds, dropping AGG/F-Fund from the mix.

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%

IF YOU INVEST IN THE 3-Fund Portfolio, then your allocations should be:

• 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.

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

Signal Change for Monday, Frebruary 1st

.
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%

If you are playing the 3-ETF/equity portfolio (higher gain, lower Calmar Ratio, does not invest in AGG / F-Fund), then your allocations for the funds are:

• EFA / I-Fund: 16% (presently in cash --> G-Fund)
• SPY / C-Fund: 42% (presently in cash --> G-Fund)
• VXF / S-Fund: 42%

If you are playing the 4-ETF/equity portfolio (lower gain than 3-ETF/equity portfolio, higher Calmar Ratio), then your allocations for the funds are:

• 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

Signal Change! Move to Cash!

.
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 Morning, January 22nd 2010 Update

.
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