Top Daily Seasonals - S to G and back to S - Nov30/Dec 1?

[idaho1]

Trying to better understand daily seasonal strategies. Does market history warrant a change to G on Nov. 30 and then to S on Dec. 1? Most of the top performing daily seasonal strategies follow this path. Thanks

[Ofsthun01]

I think that was from a massive drop back in 2008. I don't know if there is a real trend with Dec 1st being a historically low day, or if all the strategies that were created which include a move resulting in being in G on Dec 1st were created, in part, by taking that singular moment into consideration.

[robika]

I think the biggest reason is if you compare the strategies that move to G for the day, the mean for the month of December goes up. Take 16922 and 19055 for example, 16922 goes to G for the 1st and has a mean of 3.73 for the month of December, whereas 19055 is the exact same strategy except it stays in S and it's December mean is 2.98 (using 2004 through 2016 numbers).

[MakeMe$$$$]

I think that was from a massive drop back in 2008. I don't know if there is a real trend with Dec 1st being a historically low day, or if all the strategies that were created which include a move resulting in being in G on Dec 1st were created, in part, by taking that singular moment into consideration.

FWIW, statistically and compared to my own strategy with the 1 day move from S to G then back to S reduces my returns by about 8% over 5 years. My strategy is 12767 and the modified one is 13503. Trying to see if your thoughts on the 2008 drop can be seen I did a few runs.

Total compound return of 13503 (no move to G) vs my 12767 with the move to G

2012 thru 2017 = 331.18 vs. 341.49 the winner is 12767
2011 thru 2017 = 551.55 vs. 570.67 the winner is 12767
2010 thru 2017 = 846.08 vs. 854.25 the winner is 12767
2009 thru 2017 = 1,807.63 vs. 1,796.10 the winner is 13503
2008 thru 2017 = 2,816.18 vs. 3,148.94 the winner is 12767
2007 thru 2017 = 3,372.28 vs. 3,791.25 the winner is 12767

I think that is enough.

OK...I suppose there are a ton of ways you can look at this comparison but is seems to support that STATISTICALLY when comparing these 2 nearly identical strategies that being in the G fund on the first trading day of December does improve returns.

The questions is whether it is that much of a big deal...probably not. Still...I have a strategy and I'm going to follow it.

[robika]

I think that was from a massive drop back in 2008. I don't know if there is a real trend with Dec 1st being a historically low day, or if all the strategies that were created which include a move resulting in being in G on Dec 1st were created, in part, by taking that singular moment into consideration.

FWIW, statistically and compared to my own strategy with the 1 day move from S to G then back to S reduces my returns by about 8% over 5 years. My strategy is 12767 and the modified one is 13503. Trying to see if your thoughts on the 2008 drop can be seen I did a few runs.

Total compound return of 13503 (no move to G) vs my 12767 with the move to G

2012 thru 2017 = 331.18 vs. 341.49 the winner is 12767
2011 thru 2017 = 551.55 vs. 570.67 the winner is 12767
2010 thru 2017 = 846.08 vs. 854.25 the winner is 12767
2009 thru 2017 = 1,807.63 vs. 1,796.10 the winner is 13503
2008 thru 2017 = 2,816.18 vs. 3,148.94 the winner is 12767
2007 thru 2017 = 3,372.28 vs. 3,791.25 the winner is 12767

I think that is enough.

OK...I suppose there are a ton of ways you can look at this comparison but is seems to support that STATISTICALLY when comparing these 2 nearly identical strategies that being in the G fund on the first trading day of December does improve returns.

The questions is whether it is that much of a big deal...probably not. Still...I have a strategy and I'm going to follow it.

My current strategy already has 3 moves in December (including a G move at the end) so I can't add another move anyway, so I'm going to stay in S and not bother with moving to G for just one day.
Besides my strategy is quite conservative with a current SD of 2.58 and if you look at the 2 strategies I talked about above, that move to G for the first day of December adds nearly 1.5 to the SD. Most certainly not worth increasing my SD just for one day.

[Ofsthun01]

Total compound return of 13503 (no move to G) vs my 12767 with the move to G

2012 thru 2017 = 331.18 vs. 341.49 the winner is 12767
2011 thru 2017 = 551.55 vs. 570.67 the winner is 12767
2010 thru 2017 = 846.08 vs. 854.25 the winner is 12767
2009 thru 2017 = 1,807.63 vs. 1,796.10 the winner is 13503
2008 thru 2017 = 2,816.18 vs. 3,148.94 the winner is 12767
2007 thru 2017 = 3,372.28 vs. 3,791.25 the winner is 12767

Did you include 2017 in your results? I'm not sure how much it would screw with your results or not, but since we haven't hit Dec 1st yet, 2017 should probably be excluded.

[MakeMe$$$$]

Total compound return of 13503 (no move to G) vs my 12767 with the move to G

2012 thru 2017 = 331.18 vs. 341.49 the winner is 12767
2011 thru 2017 = 551.55 vs. 570.67 the winner is 12767
2010 thru 2017 = 846.08 vs. 854.25 the winner is 12767
2009 thru 2017 = 1,807.63 vs. 1,796.10 the winner is 13503
2008 thru 2017 = 2,816.18 vs. 3,148.94 the winner is 12767
2007 thru 2017 = 3,372.28 vs. 3,791.25 the winner is 12767

Did you include 2017 in your results? I'm not sure how much it would screw with your results or not, but since we haven't hit Dec 1st yet, 2017 should probably be excluded.

Since 13503 is a clone of my strategy but removes the 1 day move I don't see that having 2017 YTD data would invalidate the trend. Even if we see that this year Dec 1st bucks the trend it doesn't necessarily negate the historic trend analysis. Still...it is such a minor difference over the course of years it isn't something to get all whacked out over it.

I think the "danger" of excessive analysis of a trend based on a single day is generally counter productive. I think the philosophy that "the trend is your friend" is nothing to take too lightly. Now, that is generally more attributed to traditional chart tracking but I'm not so sure it isn't just as applicable with a system like this. Keep in mind that for most of you folks it is a marathon, not a sprint. For me...I HOPE it is still a marathon.

[MakeMe$$$$]

With all that being said about trends and such, I have to admit I'm tempted to cancel my trade. It is tempting because of the possible first step of passing tax reform. If it passes the senate I would expect another day of good gains. HOWEVER...if something happens to endanger the longer term prospect of passing a bill things could go south quickly.

OH WELL! LOL I'll just stay the course and see what happens.

[evilanne]

We live in interesting times Advantage of MakeMe$$$$'s mix is you don't have to choose between G or F, very close to some of the monthly strategies and with the current bull market it could pay off greatly or the Fed could totally screw it up. Very interest analysis. Good Luck.

[MakeMe$$$$]

I would like to add that I decided to stay with my move to G for 1 day. Here is my thought process.

I think that tax reform is somewhat baked into the cake already. If the Senate does pass a bill that would reenforce that factor. If it fails...I expect a pretty negative reaction. By pure luck my strategy calls for me to be in G after COB today so I'll take it.

Keep in mind that there is still a bit of work for tax reform to reach Trump's desk. Also, the daily strategy is purely a statistical based system and doesn't take into any consideration current or future events of major importance. I think that daily strategy users will be challenged to consider diverging from the plan under some circumstances.

[Keithj01]

Looks like you were right.

[TSPNerd]

I had been debating the same thing for a while. In the end, I got busy and forgot to move G yesterday. Hopefully today's not too much of a down day.

[MakeMe$$$$]

Looks like you were right.

That makes me 1 for 100 guesses. LOL

Now...does the market still slide until tax reform is solidified? I'm watching.

Staying G another day.

[opg]

Looks like it is more related to Flynn instead of tax reform, right?

[bad70nova]

hang in there stay the course, by the end of the day most of the early losses should be wiped out with just a minimum loss. (Ok this is my hopes, not a fact)