Bailing out on seasonal strat. Thoughts?

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mjedlin66
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Re: Bailing out on seasonal strat. Thoughts?

Post by mjedlin66 »

Rothwell wrote:Something to keep in mind, when you create a strategy utilizing data from previous years, the results you get are “optimized” around whatever criteria you set:

2004 – 2018 Mean ALL Funds = 68355

Looking back at 2018 you see an impressive 20.74 for the mean, however if you go back and create a strategy that you could have created to actually use for 2018, you get:

2004 – 2017 Mean ALL Funds = 68353

Now move it forward a year and you will see how that strategy actually would have performed which is a not so impressive -3.63.

For fun, check out the “Seasonal Blind Tests”, “Case 1: Highest Mean, All Funds”, year 2018 and follow it all the way to the right and you get -3.63.

If you want to know how any of these strategys actually would have worked, you can add each number all the way to the right for each year and then divide by the number of years (I know it is a simple average and not a compounding average but it still gives something that is close enough).

Using "Case 1" again, adding 2009 - 2018 and dividing it by 10 (years) you get a simple average of 7.99%. To compare from the TSP.gov "Individual Funds Annual Returns (10 Yr Summary)" from 2009 - 2018 the C fund averaged 13.17% and the S fund 13.67%...
Just want to point out that you don't have to add those up and divide by the number of years. You also don't have to check tsp.gov for the core fund returns. Check out the bottom of the table... dark green rows.
Owner/creator of TSPcalc.com - "Know your numbers"

Rothwell
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Joined: Tue Sep 15, 2015 3:18 pm

Re: Bailing out on seasonal strat. Thoughts?

Post by Rothwell »

mjedlin66, you are correct sir. I should point out that my obsessive personality had me reinventing the wheel and testing one strategy at a time for far too long until I realized you had done all the work for us already (and I thank you by the way).

I would like to point out for others that the only strategies listed in the blind tests (with the exception of Case 7 and 8) that beat buy and hold over time are the ones that are C & S ONLY.

Also, mjedlin66 would you please blind test "Beats C" and "Beats S" C & S only? Thanks ;)

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mjedlin66
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Re: Bailing out on seasonal strat. Thoughts?

Post by mjedlin66 »

Rothwell wrote:
Also, mjedlin66 would you please blind test "Beats C" and "Beats S" C & S only? Thanks ;)
No problem. It is running now. Should be up within a few hours.
Owner/creator of TSPcalc.com - "Know your numbers"

tsartele
Posts: 9
Joined: Fri Nov 25, 2016 11:05 pm

Re: Bailing out on seasonal strat. Thoughts?

Post by tsartele »

Being able to look back is a very powerful tool. This post was made on June 27 and the OP was allowing his emotions to take over and treating strategies like speed dating. From June 27 to July 26th the S Fund returned 3.79% and the C Fund returned 3.56%. As of to date my seasonal strategy has returned 21.69% and the C 19.57 and S 16.33. The moral of the story is we follow seasonal strategies because it removes the emotion out of investing all you have to do is trust the strategy and allow it to work for you. Those who try to swing trade/day trade their TSPs will do it inspite of themselves. Happy investing.

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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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