Kevin_in_GA
4,599 posts
msg #112513
- Ignore Kevin_in_GA |
3/29/2013 1:49:38 PM
End of the month - the 3 month TAA lookback system clearly indicates to stay in IWM for April.
Honestly, this has been the case as well in 2012 and 2011 with a loss taken both years. Given the gains made YTD in the markets, I think there might be a pullout ahead of May as we saw in the past two years. Nonetheless, I'll follow the system and cross my fingers that the markets don't get too crazy.
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Xglassm
5 posts
msg #112554
- Ignore Xglassm |
3/31/2013 11:58:17 PM
UNG and XLV are looking pretty nice too.
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Xglassm
5 posts
msg #113092
- Ignore Xglassm |
5/2/2013 2:06:36 PM
Hey do you all think that shorting this filter by the same rules while incorporating plenty of the larger ETFs into the mix might be a good idea? I was intrigued by the higher scores (in terms of absolute value) that some ETFs have (e.g. SLV, UVXY).
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Kevin_in_GA
4,599 posts
msg #113093
- Ignore Kevin_in_GA |
5/2/2013 3:23:06 PM
I honestly have no idea what you are talking about. Add etfs and then short them would be nothing like what I have presented here, but you are welcome to start a new thread to test your ideas.
The TAA signal for May is to move to SPY. What I have noticed is that every May the system says to stay long equities and gets burned. I personally moved 100% into a stable value position in my investment accounts on 4/30. I might miss some upside by doing this, but am willing to take that type of risk versus the loss of actual capital.
Kevin
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sohailmithani
192 posts
msg #113135
- Ignore sohailmithani |
5/5/2013 11:00:05 AM
Hi Kevin,
Would you be able to please share the stratasearch code for the TAA system. I am trying to match your results.
Thanks
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dtatu
143 posts
msg #113136
- Ignore dtatu |
5/5/2013 1:39:24 PM
Kevin, I can understand your decision to move into cash or in a low risk income instrument, but,this is not a decision based on a systematic, objective signal, but rather a more or less subjective one, based on some previous May results.
Then, why use a system if you do not follow it anyways?
At least, if you think there is a "seasonal" behaviour to your system, why not test it and, if positive results come out of it, trade it only seasonally?
Dan
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Kevin_in_GA
4,599 posts
msg #113137
- Ignore Kevin_in_GA |
5/5/2013 2:03:20 PM
Systems are never 100% accurate - nothing is. My decision to step outside of this month's signal is a personal one that may simply remind me that my gut instinct is no good.
My analogy might be that you are a coach and have a great pitcher, but one that always seems to let A-Rod hit a homer off of him. Doesn't matter how good he is against other batters, A-Rod always seems to make him regret throwing the ball.
As a coach, what do you do? Tell him to throw hard, or walk him? Sometimes you just have to look at patterns within patterns and take the safer option.
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dtatu
143 posts
msg #113169
- Ignore dtatu |
5/7/2013 9:38:13 AM
You're right, Kevin: systems are,indeed, never 100% accurate...Humans are much less,though. And, what usually happens is that when you finally decide to go back to the system you'll maybe hit the worst month of the year?
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Kevin_in_GA
4,599 posts
msg #113173
- Ignore Kevin_in_GA |
5/7/2013 10:16:00 AM
Possibly. Time will tell.
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Kevin_in_GA
4,599 posts
msg #113388
- Ignore Kevin_in_GA |
5/14/2013 12:52:42 PM
Well - I have missed out on about 3.5% of returns so far. Arrgh. However, the month is only half over. I would rather see it stay up than go down, since I do not make money either way as I am sitting in a Stable Value fund this month. Good luck to everyone here.
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