The daily seasonal strategy

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ksmoly04
Posts: 66
Joined: Thu Oct 06, 2016 2:08 pm

Re: The daily seasonal strategy

Post by ksmoly04 »

Tyson,

I just reran the 2008 numbers using the specified trade dates. The yearly percentage was +45.35%. Out of 24 total trades that year, only 6 were negative.

As I said earlier MJ, very impressive work.
Daily Seasonal Since: August 23, 2017
Current Strategy: 16198 / 7.21σ

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cswift01
Posts: 819
Joined: Thu Dec 08, 2016 10:46 am

Re: The daily seasonal strategy

Post by cswift01 »

ksmoly04 wrote:Tyson,

I just reran the 2008 numbers using the specified trade dates. The yearly percentage was +45.35%. Out of 24 total trades that year, only 6 were negative.

As I said earlier MJ, very impressive work.


I was thinking the same as Tyson. Thanks for rerunning the numbers.

1. I've also been wondering, this daily trading system, who's seasonal strategy does it look most like?

2. Also, another question. I noted that you used mainly the G Fund (of course in part due to the 3 trading rule within a month), however, if you were to use the F Fund instead of the G would that make any difference?

3. Oh and I've been looking for a calculator from trading days to calendar days to avoid missing this over the years. I haven't found it yet, but if someone knows of such a system, please do send it this way.

Oh and just a comment. I think one important thing to note is that this daily strategy is probably not replicable with regular investing. This is in part because of the way that the TSP handles dividends.

Just my thoughts...

Best,

Me

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dstacks
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Joined: Sun Apr 09, 2017 4:54 pm

Re: The daily seasonal strategy

Post by dstacks »

Mad Maxx wrote:Intersting stats. One question though. For this year (2017) there isn't as 21st trading day in September, only 20. Maybe I missed the floating factor in your original message, but what do you do in this case where your stats came out to change to G on the 21st trading day, but there isn't a 21st? Good on you for thinking "out of the box."


Here you go,
"If the G trading day doesn't exist in the month of interest, then execute it on the last trading day of that month."
as per his post.

Good luck!

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TSPTiming
Posts: 84
Joined: Wed Oct 19, 2016 8:26 pm

Re: The daily seasonal strategy

Post by TSPTiming »

cswift01 wrote:
Oh and just a comment. I think one important thing to note is that this daily strategy is probably not replicable with regular investing. This is in part because of the way that the TSP handles dividends.

Just my thoughts...

Best,

Me


CSWIFT,

You absolutely could use this daily system with ETFs (e.g., VOO for the C fund, VXF for the S fund, VEA for the I fund and AGG for the F fund. You won't catch all the dividend payouts, but that doesn't matter since on the day dividends are paid the ETF price adjusts downwards by the same amount. That's how my systems at etftiming.com work, so it catches some dividends if you happen to be in an ETF at the right time, but otherwise not. A big advantage of using a seasonal system outside of the TSP (using ETFs) is that during a bear market you can use an inverse ETF like "SH" to short the market. That's what my Bull/Bear system does and as a result it had a crazy return of +98.78% in 2008.

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mjedlin66
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Re: The daily seasonal strategy

Post by mjedlin66 »

Given that the 2008 return was indeed +45%, I would like to issue a word of caution-

I do not expect that this strategy will ever return 45%. This strategy was built on maximizing returns over 11 years that already happened. The idea is that a strategy that worked for 11 years straight will at least capture some of the seasonal tendencies going forward. But honestly, we will not see the same gains as the studied period because events will shift left or right of the target dates in the future. My only goal is to beat the core funds. I do not have any belief whatsoever that this strategy will blow the core funds out of the water like it did 2004-2015.

It might even do worse than the core funds. It is a gamble.
Owner/creator of TSPcalc.com - "Know your numbers"

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repinda808
Posts: 209
Joined: Fri Sep 13, 2013 3:18 pm

Re: The daily seasonal strategy

Post by repinda808 »

Good work! Thanks for the information!
2020 Seasonal Strategy 86299

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mjedlin66
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Re: The daily seasonal strategy

Post by mjedlin66 »

cswift01 wrote:
1. I've also been wondering, this daily trading system, who's seasonal strategy does it look most like?

2. Also, another question. I noted that you used mainly the G Fund (of course in part due to the 3 trading rule within a month), however, if you were to use the F Fund instead of the G would that make any difference?

3. Oh and I've been looking for a calculator from trading days to calendar days to avoid missing this over the years. I haven't found it yet, but if someone knows of such a system, please do send it this way.

Oh and just a comment. I think one important thing to note is that this daily strategy is probably not replicable with regular investing. This is in part because of the way that the TSP handles dividends.

Just my thoughts...

Best,

Me


1. I remember thinking it looked like Timboslice's system but I haven't looked too closely.

2. Whether to go to G or F or C or S or I was based solely on which IFT combination produced the highest returns in the average month. There was no preference given. F fund is in the strategy a bit.

3. I do not know of any calculators, but I bet there are some. I have a half programmed one on an unlisted website.
Owner/creator of TSPcalc.com - "Know your numbers"

mindofmush
Posts: 353
Joined: Mon Jul 02, 2012 1:38 pm

Re: The daily seasonal strategy

Post by mindofmush »

I'm looking forward to seeing the results of the "rolling 5-year" calculations to see whether the trading days move forward or back a little bit. I also like the idea of evaluating a particular year's return using the schedule of previous years vice including the target year's data into the 11 year average.
Even though the current daily seasonal strategy showed exceptional returns through out the 2007-2008 recession, would it be possible to evaluate the 2001 recession as well? (Or would using a different data source such as the index the TSP funds are based upon make such a comparison meaningless, like an apples to oranges scenario?)
Great work on developing a strategy that incorporates the volatility of the market through smaller time slices.
mo meng, mo ching (which loosely means: no money, no life)

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cswift01
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Re: The daily seasonal strategy

Post by cswift01 »

Just a question to whomever is in charge, is there a way to include the daily strategy into the chart for seasonal strategies? Excuse me if that's already done.

Thanks,

Me

mbruce35
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Joined: Fri Apr 28, 2017 11:57 am

Re: The daily seasonal strategy

Post by mbruce35 »

mjedlin66 wrote:This thread is dedicated to my seasonal strategy role model, Aitrus.

Greetings. Here is the "daily seasonal" strategy that I came up with at the end of 2015 and utilized effective January 1st, 2016. My fantasyTSP does not match this strategy 100% because sometimes I miss IFTs. So here are the 2016 results- Daily Seasonal: 12%. S-Fund: 16.3%.

So I lost to the S fund, but I beat the other core funds. I am hoping it beats all of the core funds this year. But even if it doesn't I may stick with it. For 2016, I was only 3 points behind the leading core fund, and I did that with less risk because my strategy is only in equities roughly 50-75% of the time. If a market crash occurs when I am in G or F, I will be much better off.

This strategy was made in Excel. I analyzed all of the daily prices from 06/2003 - 06/2015. First, I converted each calendar day to a trading day. The 5th trading day may fall on the 7th of the month one year and the 5th of the month the next year. In order to compare the 5th trading day of one year to the 5th trading day of the next, I converted every calendar day to a trading day by stripping out the weekends and holidays.

Then, I found the daily change for every trading day by comparing it to the previous trading day. Once I had the daily change as a percentage, I divided them by 100 to come up with a multiplicative factor. Finally, I averaged these multiplicative factors across every year 2003-2015.

The result was one full year worth of average gains for each trading day of the year.

I took that 1 year of averages and ran it through an IFT simulator. The IFT simulator was just a bunch of Excel macros which copied all of the average gains for one month and put it through every possible IFT combination. There are 1794 possible IFT combinations for a 23-day period. Remember we are using trading days rather than calendar days, and the maximum number of trading days for any month is 23. So excel ran all 1794 possible IFT combinations for the average gains and then spit out the maximum and which strategy came up with it.

For example, the biggest monthly gain the simulator could come up with for February was 3.35%, and this occured when- Starting: S fund, IFT to I Fund at COB on the 9th trading day, and then IFT to F fund at COB on the 13th trading day, and IFT to G at COB on the 20th trading day and stay there until the end of the month.

It was extremely specific. Notice that the simulator even took into account the "3rd IFT", which is the possibility of going to G fund ONLY as a 3rd IFT.

Once I had the IFT patterns for every month, I had to make them line up. That means that the starting fund of one month had to match the ending fund of the previous month. I did all that by hand, but there were remarkably few adjustments required.

This is the result:
Starting Fund, 1st IFT Fund:trading day, 2nd IFT Fund:trading day, 3rd IFT trading day (G only)

JAN- I, F:1, S:14
FEB- S, I:9, F:13, G:19
MAR- G, S:6
APR- S, F:3, I:6
MAY- I, F:2, S:14, G:21
JUN- G, S:9, G:12
JUL- G, C:1, I:12
AUG- I, F:1, S:17
SEP- S, F:11, C:18, G:21
OCT- G, S:8
NOV- S, F:4, S:13
DEC- S, I:15

For example, F:2 means put in your IFT before noon on the 2nd trading day of the month, so that you buy F at COB (close of business) on the 2nd trading day. If the G trading day doesn't exist in the month of interest, then execute it on the last trading day of that month.

Here are the returns-
2004: F=4.3%, C=10.8%, S=18.0%, I=20%, Mine=25.6%
2005: F=23.9%, C=4.95%, S=10.45%, I=13.6%, Mine=21.2%
2006: F=4.4%, C=15.8%, S=15.3%, I=26.3%, Mine=31.75%
2007: F=7.1%, C=5.5%, S=5.5%, I=11.4%, Mine=20.5%
2008: F=5.1%, C=-38%, S=-39.5%, I=-42.9%, Mine=45.8%
2009: F=5.99%, C=26.7%, S=34.8%, I=30%, Mine=82.6%
2010: F=6.7%, C=15%, S=29%, I=7.9%, Mine=56.5%
2011: F=7.9%, C=2.1%, S=-3.4%, I=-11.8%, Mine=35.8%
2012: F=4.3%, C=16%, S=18.6%, I=18.6%, Mine=41%
2013: F=-1.8%, C=32.8%, S=37.7%, I=22.5%, Mine=30.5%
2014: F=6.6%, C=14.5%, S=8.4%, I=-4.7%, Mine=13.6%
2015: F=0.91%, C=1.46%, S=-2.92%, I=-0.51%, Mine=21.71%
2016: F=2.9%, C=12%, S=16.3%, I=2.1%, Mine=12% (First year of use)
2017 YTD: F=1.88%, C=4.6%, S=2.3%, Mine=3.7% (As of 4/16/17)

Past data does not guarantee future returns. Use at your own risk.

*** Courtesy of nrialto, these are the 2017 trading dates-

F: May 2nd
S: May 18th
G: May 30th

S: June 13th
G: June 16th

C: July 3rd
I: July 19th

F: August 1st
S: August 23rd

F: September 18th
C: September 27th
G: September 29th

S: October 11th

F: November 6th
S: November 17th

I: December 21st


I am new to all things TSP, but I am trying to learn and in doing so want to get the most return for my investment. I was once an only G holder up until about a year ago when I started moving things around.

Can someone explain this to me like I am 5?
So for May, do I move everything to F on May 2nd? Then everything to S on May 18th? Nothing with I?
F: May 2nd
S: May 18th
G: May 30th

Cpayne09
Posts: 46
Joined: Mon May 05, 2014 1:51 pm

Re: The daily seasonal strategy

Post by Cpayne09 »

mbruce35 wrote:
I am new to all things TSP, but I am trying to learn and in doing so want to get the most return for my investment. I was once an only G holder up until about a year ago when I started moving things around.

Can someone explain this to me like I am 5?
So for May, do I move everything to F on May 2nd? Then everything to S on May 18th? Nothing with I?
F: May 2nd
S: May 18th
G: May 30th


You'll move to F on May 2nd before 12PM Eastern Time. You'll move to S on May 18th before 12PM Eastern. G on May 30th before noon... etc. No I in May.

mbruce35
Posts: 3
Joined: Fri Apr 28, 2017 11:57 am

Re: The daily seasonal strategy

Post by mbruce35 »

Thank you...before I was trying to split between C,S, and I. Transferring 100% to each is a new concept I'm willing to try.

Duval
Posts: 19
Joined: Mon Dec 19, 2016 1:12 am

Re: The daily seasonal strategy

Post by Duval »

100% S has done me well so far. Not as good as the leaders but I'm happy!

Yuri
Posts: 11
Joined: Mon Jan 30, 2017 9:36 pm

Re: The daily seasonal strategy

Post by Yuri »

mbruce35 wrote:Thank you...before I was trying to split between C,S, and I. Transferring 100% to each is a new concept I'm willing to try.


New concept here too. But gonna give it a try.

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mjedlin66
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Re: The daily seasonal strategy

Post by mjedlin66 »

The Daily Seasonal moves to F fund right now. Put in your IFT before noon eastern time.
Owner/creator of TSPcalc.com - "Know your numbers"

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Fund Prices2024-03-27

FundPriceDayYTD
G $18.14 0.01% 1.00%
F $19.09 0.26% -0.68%
C $82.11 0.87% 10.42%
S $82.19 1.48% 6.61%
I $42.68 0.56% 6.21%
L2065 $16.38 0.84% 8.36%
L2060 $16.38 0.84% 8.36%
L2055 $16.39 0.84% 8.36%
L2050 $32.73 0.71% 6.94%
L2045 $14.91 0.67% 6.56%
L2040 $54.37 0.63% 6.20%
L2035 $14.34 0.58% 5.77%
L2030 $47.66 0.53% 5.35%
L2025 $13.14 0.31% 3.40%
Linc $25.60 0.24% 2.79%

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