TSPcalc behavior discussion

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Keep it as is - COLLAPSE for trading days, and add EOM options
6
55%
Change it - PUSH for trading days, no need for EOM options
5
45%
 
Total votes: 11

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mjedlin66
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Posts: 1569
Joined: Wed Oct 02, 2013 7:51 pm

TSPcalc behavior discussion

Post by mjedlin66 »

I want to discuss a behavior decision I made in the very early days of TSPcalc.

Months such as March may have up to 23 trading days, depending on the year. In general, a month which starts on Monday will have its maximum number of trading days in that year. In general, a month which starts on Saturday will have its minimum number of trading days in that year.

March has a possible range of 21-23 trading days. In 2019, it only has 21.

In the beginning, it made good sense to me to give the user the option to trade on the 22nd and 23rd trading days, even though they might not be there. But at the very least, the LAST trade of each month (whether that is the 1st trade, the 2nd, or the 3rd G trade) MUST occur. Imagine you trade to S fund on the 23rd trading day of March, but then make no trades in April. So if that trade at the end of March does not occur, then your strategy will be completely different for all of April.

In order to make it work, I would have to either "PUSH" or "COLLAPSE" the trades from the 22nd and 23rd trading day, so that they would occur earlier. Each method had to prioritize something and compromise something.

Example strategy:
Began month in the C fund.
1st IFT: S fund on 21st Trading Day.
2nd IFT: I fund on 22nd Trading Day.
3rd IFT: G fund on 23rd Trading Day.
PUSH
This method would establish the priority as "all trades must occur."

PUSH Trades for 2019:
Began month in the C fund.
1st IFT: S fund on 19th Trading Day.
2nd IFT: I fund on 20th Trading Day.
3rd IFT: G fund on 21st Trading Day.

The compromise is that the user may have intended to stay in the beginning fund (C) for 20 trading days, and under this method, they would only stay in the C fund for 19 trading days.

COLLAPSE
This method would establish the priority as "trades will occur on the date they were planned, or not at all." Trades from the 21st, 22nd and 23rd trading days all collapse onto the 21st. The trade scheduled for the 22nd trading day would overwrite one scheduled for the 21st. And a trade scheduled for the 23rd trading day would overwrite both.

COLLAPSE trades for 2019:
Began month in the C fund.
1st IFT: G fund on 21st Trading Day.

The compromise is of course that the first two trades just didn't happen at all this year.

In the beginning I chose COLLAPSE. But maybe I should have chosen PUSH.

The decision point today is what to do for the coming 4.0 site update.

1) I can leave trading day treatment as COLLAPSE, but that leaves the user without an option to trade relative to the end of the month (say you want to trade 2 days before the last trading day). So I would add a new option in the drop-down box, that would allow you to select "1EOM,2EOM,3EOM", which represents options that trade 1 day, 2 days, and 3 days before End of Month.

2) Switch the trading day treatment to PUSH. This will change some strategies' statistics, but probably only insignificantly. Changing to PUSH would mean that I don't need to add "1EOM,2EOM,3EOM" options, because now 21st, 22nd, and 23rd Trading Days would do exactly the same thing.
Owner/creator of TSPcalc.com - "Know your numbers"

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fordest
Posts: 605
Joined: Wed Sep 26, 2012 3:48 pm

Re: TSPcalc behavior discussion

Post by fordest »

I think the COLLAPSE change will make the actual interface a little more confusing. But I voted for it anyway because that's what I have come to expect from the system. Back to back trading days seem pretty rare. I have never seen a "back to back to back" trading period. And the likelihood of it happening on the last three days of the month? And the likelihood of having that happen on the last three days of a month that runs to its max?

I think it needs to treat the calendar this way: Trade on that day if that day exists. If it does not, then trade on the last day. So... that sounds like COLLAPSE. But what I don't want to happen is for me to ask for a trade on the 22nd instead of "last day of the month" on a month when there is only 21 days and not have it trade at all.
100% in the daily system since August 2, 2017.
Following strategy (current pick) #88676. 2020 real life has been following #110838

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mjedlin66
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Joined: Wed Oct 02, 2013 7:51 pm

Re: TSPcalc behavior discussion

Post by mjedlin66 »

fordest wrote:
I think it needs to treat the calendar this way: Trade on that day if that day exists. If it does not, then trade on the last day. So... that sounds like COLLAPSE. But what I don't want to happen is for me to ask for a trade on the 22nd instead of "last day of the month" on a month when there is only 21 days and not have it trade at all.
Either way, the latest trade that you specified will still be executed. "Last" as currently listed in the trading options has no special meaning. In this case, it's value is 23. It just says the word "last" to kind of suggest to the user that there is a collapsing function at play here.
Owner/creator of TSPcalc.com - "Know your numbers"

ravioli817
Posts: 79
Joined: Sat Apr 17, 2010 7:13 pm

Re: TSPcalc behavior discussion

Post by ravioli817 »

I dont have a clear opinion on this because I cant really get a sense of how this will impact everything, but I just wanted to say that push/collapse is an obvious yet brilliant way of thinking about it.

actually, now that I think about it, I think Collapse makes more sense. Most trades are into a fund for a few days, If a trade on the 22nd of a month is skipped, it could ruin a large part of the next month. Push would make sense if we think that the number of days in a month (what day of the week a month starts in, or any other way to think about this) is a large influence on seasonal action because it would be a way to factor in length of a month into the trades. But I honestly cant think of a reason why that would be true that having a few more or less days in a month would have any influence. So FWIW I think maybe collapse might make sense. I guess its hard to see without having data.

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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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