|The daily seasonal strategy
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|Author:||mjedlin66 [ Mon Apr 17, 2017 5:52 am ]|
|Post subject:||The daily seasonal strategy|
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:7
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 10th
F: November 6th
S: November 17th
I: December 21st
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