The daily seasonal strategy

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mjedlin66
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Re: The daily seasonal strategy

Post by mjedlin66 »

Note: There are 1794 possible IFT combinations for every set of funds. For instance, S->G->S where S is the starting fund, G is the first IFT, and S is the second IFT can be played out 1794 different ways. I ran these 1794 combinations for each "set" of funds for each month.

1794 each for sets SGS, SGC, SGF, SGI, SFS, SFC, and so on.

Just wanted to clarify that. There are actually over 100,000 possible IFT combinations for a given month, not just 1794. I ran all of them.
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mjedlin66
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Re: The daily seasonal strategy

Post by mjedlin66 »

2015: F=0.91%, C=1.46%, S=-2.92%, I=-0.51%, Mine=21.71%

Also, courtesy of nrialto, we now have all of the 2017 trading days included in the first post in a nice easy-to-read calendar format.
Last edited by mjedlin66 on Tue Apr 18, 2017 7:24 am, edited 1 time in total.
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mjedlin66
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Re: The daily seasonal strategy

Post by mjedlin66 »

Aitrus wrote:That's some good work, MJ! Kudos on taking and idea and running with it to see where it goes.

Any chance of going back further than 2004? What are your next steps in your plans to refine your program from here?


Well, I used the TSP daily prices available at TSP.gov, which only go back to 2004. I could go back further but I would have to use the underlying indexes rather than the TSP prices. I am not sure if there is much value in it, though, because I for one believe that the markets are a completely different animal than they were 20 years ago. I personally believe that all historical trend analysis pre-2000 has no bearing on how the markets behave today because of technology and politics.

That said, there are a few future plans in the works-

1. I am interested in seeing if a rolling 5-year seasonal strategy has any merit. I would take much the same approach as my initial analysis, but I would shorten the window from 11 years to 5, and it would roll. So the strategy for 2010 for instance would incorporate the 2005-2009 data and ignore all else. Starting in 2011, the strategy would look at 2006-2010. I want to compute these rolling 5-year daily seasonal strategies and see how they compare to my fixed 11-year daily seasonal strategy.

2. A TSP Calculator website. This is far more robust than the one on TSPcenter. My calculator will allow you to play with all of the data that I have presented here. It would allow a user to input three IFTS for each month, dictate whether they trade on a certain trading day OR a certain calendar day, and which years they want to analyze. The website would spit out all of the results and the summary in less than a minute. I even plan to allow a user's calculated mix to be compared side-by-side to the Jabulon's basic seasonal mix and the TSPCenter seasonal mix. So far, I have built all of the databases, imported all of the raw data, and programmed the input form. I have also programmed some of the back-end functions. I would say that this project is currently 40% done. I have attached a sample screenshot of the calculator.

3. A personal finance blog. It would focus more on smart debt, money management, early retirement and retirement accounts than it would on the TSP or government service. I imagine it will turn out something like Mr. Money Mustache and Mad FIentist. I started writing this blog the other day. I have written two and a half articles so far. I have not launched it yet.

Pretty much all of my work with the TSP was inspired by your seasonal musings. I'd love to work with you on some of this, especially if I can help out in any way with that book you are writing. Further, I'm going to hit you up for lunch next time I'm in Spokane.
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Rance
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Re: The daily seasonal strategy

Post by Rance »

Thanks for adding the 2015 data!

Really, really good, and interesting work!

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dseery
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Re: The daily seasonal strategy

Post by dseery »

Many thanks to mjedlin66 for sharing this!
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Aitrus
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Re: The daily seasonal strategy

Post by Aitrus »

I'd love to have lunch with you, MJ. PM on the way.
Seasonal Musings 2022: viewtopic.php?f=14&t=19005
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dseery
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Re: The daily seasonal strategy

Post by dseery »

Hi I checked Niralto's dates and found 4 errors on dates. I think instead the following is correct.

G: May 29th
I: July 18th
F: September 15th
C: September 26th

Please correct me if I am wrong. thanks, Diane
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mjedlin66
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Re: The daily seasonal strategy

Post by mjedlin66 »

You need to account for NYSE holidays. That is why those dates are 1 day later than you listed.
https://www.nyse.com/markets/hours-calendars
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TSPTiming
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Re: The daily seasonal strategy

Post by TSPTiming »

Really impressive work mjedlin66! By my calculation that's a incredible CAR of 32.54% over the 13 years from 2004-16. That even beats my best ETF strategy (28.18%) that allows shorting during bear markets. I had similar thoughts to do what you're doing but didn't have the know-how to use macros, etc. to get it done. I'm looking forward to seeing your calculator and everything else you accomplish and see how it does against what I developed in the long run.

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mjedlin66
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Re: The daily seasonal strategy

Post by mjedlin66 »

Well, because I'm newly married with no kids and living on a foreign tropical island, truth is that these projects won't get done unless you guys bug me. Drinking beer on the beach and speaking bad Japanese with the locals is a lot more fun.

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evilanne
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Re: The daily seasonal strategy

Post by evilanne »

mjedlin66 wrote:Well, because I'm newly married with no kids and living on a foreign tropical island, truth is that these projects won't get done unless you guys bug me. Drinking beer on the beach and speaking bad Japanese with the locals is a lot more fun.

あなたのTSPはがんばって


I'll have to add you to the Bug list :mrgreen: I've been meaning to send reminder to Aitrus, but it sounds like he has almost finished his book.

How are things going in Japan with you & your bride?

floridabre
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Re: The daily seasonal strategy

Post by floridabre »

awesome! then i put the numbers in my tracking system and got depressed - if this system had existed in 2004 and I moved just the money in my account at that time in and followed faithfully my balance as of the end of 2016 would have been approximately 7.5 million - (more than any other account in TSP) - now i'm disappointed :shock:

ksmoly04
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Re: The daily seasonal strategy

Post by ksmoly04 »

Great work MJ! I've been running the numbers on my TSP and I'd be sitting at 3.66% as of yesterday as opposed to the 1.68% I'm currently at.
Daily Seasonal Since: August 23, 2017
Current Strategy: 16198 / 7.21σ

Cpayne09
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Re: The daily seasonal strategy

Post by Cpayne09 »

I'm like a little school girl right now. This gets me so excited! Looking forward to the work you guys do in the future!

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tyson8492
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Re: The daily seasonal strategy

Post by tyson8492 »

This is really outstanding work. However shouldn't the overall return for 2008 be negative (-45.8% instead of 45.8%)?

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Fund Prices2024-03-28

FundPriceDayYTD
G $18.15 0.05% 1.05%
F $19.08 -0.06% -0.74%
C $82.21 0.11% 10.55%
S $82.43 0.30% 6.92%
I $42.57 -0.24% 5.95%
L2065 $16.38 0.02% 8.37%
L2060 $16.39 0.02% 8.38%
L2055 $16.39 0.02% 8.38%
L2050 $32.73 0.01% 6.95%
L2045 $14.91 0.02% 6.58%
L2040 $54.38 0.02% 6.22%
L2035 $14.34 0.02% 5.79%
L2030 $47.67 0.02% 5.38%
L2025 $13.15 0.03% 3.43%
Linc $25.61 0.03% 2.82%

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