The Why Behind the Numbers

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Dunker
Posts: 5
Joined: Wed Mar 10, 2021 12:53 pm

The Why Behind the Numbers

Post by Dunker »

Hello all,

I was wondering if anyone had any insight into the why behind their investment strategies. As an example, Strategy 85660 has a great return with a low standard deviation, and by the numbers, that's great. But when I look at it in detail, many of the moves make me think, "Now why in the hell does that work?"

When you look at less complex once-monthly strategies like Jahbulon's or gclapper's, some of the "whys" are easier to see. The Santa Claus Rally in December and the subsequent underperformance in January lead both mixes to transfer to S Fund in December and F Fund in January.

The adage "Sell in May and Go Away", while not a very effective Seasonal Strategy, does appear to have an effect on Seasonal Trading as Jahbulon's and gclapper's strategies both invest in equities from October through May (with the exception of January).

Aside from these basic examples, does anybody have any insight regarding the why behind their strategy? For example, in Strategy 85660, why in the world do I need to transfer to the G Fund for three trading days in February, then back to the S Fund for two trading days, only to switch back to the G Fund for the rest of the month? To be clear, I understand that the history and the math will show that it works, but I'm asking why it works. What happens on the 12th, 15th, and 17th trading days of February to make that happen?

I'm open to any input on any strategies. And they don't even have to be logical explanations. Feel free to throw in superstitious explanations for why a facet of your strategy works the way it does. I look forward to your insight.
Many happy returns!

TSPBuilder
Posts: 254
Joined: Tue Jun 19, 2012 2:14 pm

Re: The Why Behind the Numbers

Post by TSPBuilder »

Hello Dunker,
I apologize for not being able to answer why other than isn't it enough they it perform as well?

Something that might be of interest to you is comparing 85660 with 121017. They are very similar but the 121017 is slightly better in performance overall.

Cheers! T

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Dunker
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Joined: Wed Mar 10, 2021 12:53 pm

Re: The Why Behind the Numbers

Post by Dunker »

For the most part, yeah. I like the idea of sticking with a strategy and drowning out all of the noise. But I also want to learn as much as possible about why the system works the way it does. I think the more information we have, the better decisions we can make.

Thanks for the tip!
Many happy returns!

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bloobs
Posts: 1067
Joined: Tue May 21, 2019 8:00 pm

Re: The Why Behind the Numbers

Post by bloobs »

whether its a semi annual sell in may and go away, the monthlies, or tspcalc dailies, seasonal strategies all operate on the very simple principle of buying low and selling high. this is done by first selecting any tradable stock market product, then identifying the optimal dates to acquire it at a lower price and sell it subsequently at a higher price. the only difference between semi annuals, monthlies and dailies is the trading period "grain": which is 2x a year for "sell in may...", a month or two for monthlies; and as frequently as daily for tspcalc.

So when one asks why strat# 85660 would IFT from S to G then back to S over just two short days, it is because empirically, using openly published TSP price data over 15 years, G on average has outperformed S for those 2 days. Yes it really is just simple financial math.

in summary, the concept of a seasonal strategy is simple. its the design and execution thats of a system to generate these numbers that a challenge (kudos to mjedlin for pulling it off masterfully btw).

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Tomanyiron
Posts: 4239
Joined: Mon Apr 26, 2010 6:39 am

Re: The Why Behind the Numbers

Post by Tomanyiron »

March is the windiest month of the year. And over the past 15 years, on average the windiest day has been March 12.
The most rainfall in a 24 hour period was April 14-15, 2018 when 49.69 inches of rain fell at Waipā Garden on the island of Kauai. However May has actually been the wettest month for the past 15 years.

Scarfinger
Posts: 615
Joined: Mon Jan 30, 2012 12:00 am

Re: The Why Behind the Numbers

Post by Scarfinger »

Dunker wrote: Sun Mar 14, 2021 4:41 pm Hello all,

When you look at less complex once-monthly strategies like Jahbulon's or gclapper's, some of the "whys" are easier to see. The Santa Claus Rally in December and the subsequent underperformance in January lead both mixes to transfer to S Fund in December and F Fund in January.

The adage "Sell in May and Go Away", while not a very effective Seasonal Strategy, does appear to have an effect on Seasonal Trading as Jahbulon's and gclapper's strategies both invest in equities from October through May (with the exception of January).

Aside from these basic examples, does anybody have any insight regarding the why behind their strategy? For example, in Strategy 85660, why in the world do I need to transfer to the G Fund for three trading days in February, then back to the S Fund for two trading days, only to switch back to the G Fund for the rest of the month? To be clear, I understand that the history and the math will show that it works, but I'm asking why it works. What happens on the 12th, 15th, and 17th trading days of February to make that happen?
It is an easy answer to me. No one knows. It is all based on historical data, and then try to understand the emotional feelings that persuaded people to sell or buy at a certain time?

The first financial adviser that tells me he knows what the market is going to do would be the first financial advisor I would get rid of.

Even historical data doesn't guarantee future results. That is why there are so many data systems, chart patterns, and concepts to try and determine "what is more likely". Even knowing the exact catalyst that would cause a stock market bubble to burst doesn't guarantee when it will burst.

You would not only have to know the why but also the when. And from my experience, nobody knows both of those answers. So use a system like tspcalc to try and help you determine what is "more likely" to happen. No system can guarantee what is going to happen.
I am just an average Joe. I have no clue to what the market will do.
TimboSlice wrote: "People really need to stop overthinking this."
Following Daily Seasonal # 139921 as a general guideline.

tnwhiskey
Posts: 31
Joined: Thu Dec 12, 2019 7:14 pm

Re: The Why Behind the Numbers

Post by tnwhiskey »

Great conversation guys. Here's a couple of daily seasonal charts of the "S" fund I look at from time to time to see how it matches up to "X" "Y" "Z" etc strategy. The first chart is from 2010-2019 and the second is from 2010-2020. I believe knowledge and understanding helps to mitigate losses & improve our chance of winning in the long run. Hopefully someone will find these informative.

Image

Image

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stilljammi
Posts: 163
Joined: Sun Dec 01, 2019 3:59 pm

Re: The Why Behind the Numbers

Post by stilljammi »

It can also be a self-fulfilling prophecy. If enough people think it's profitable to buy/sell at a certain time — and do — then that can affect the market. The easiest explanation for some of these cycles is that they are fabricated.

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bloobs
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Joined: Tue May 21, 2019 8:00 pm

Re: The Why Behind the Numbers

Post by bloobs »

stilljammi wrote: Tue Mar 16, 2021 12:16 pm It can also be a self-fulfilling prophecy. If enough people think it's profitable to buy/sell at a certain time — and do — then that can affect the market. The easiest explanation for some of these cycles is that they are fabricated.
Jammi, I think you just succinctly stated the root cause, or answered the "whys" and "hows", driving stock market moves.

Accordingly, now that we have this awareness, I say this information really has little bearing on the "whens" and "whichs" (i.e. us figuring out what to buy & sell and when) that form the basis of our seasonal strategy decisions. All seasonals care about is forecasting future patterns of price moves based entirely on past data--and couldn't care less about the collective psychology nor behind-the-scenes collusion of the market makers and power players, or any other qualitative/subjective factors.

GPIN
Posts: 14
Joined: Tue Feb 28, 2017 12:31 pm

Re: The Why Behind the Numbers

Post by GPIN »

I have not taken the time to look, but perhaps some of the seasonal moves also align with Fed Reserve meetings, quarterly reports from corporations, unemployment/job reports, etc. It could be there may be some predictable market actions that align with economic news or that respond to that news. But that is pure speculation on my part. Oh, and don't forget the moon phase https://lunatictrader.com/moon-cycles-in-the-markets/ :D

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Dunker
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Joined: Wed Mar 10, 2021 12:53 pm

Re: The Why Behind the Numbers

Post by Dunker »

GPIN, thanks for your speculation. Now it's time for me to brush up on when those meetings/reports take place to see if there is a pattern.

Great, now I have to learn the lunar cycle...
Many happy returns!

Scorpio70
Posts: 432
Joined: Thu Dec 24, 2015 11:49 am

Re: The Why Behind the Numbers

Post by Scorpio70 »

I like to look at what is happening. Strategies are for a normal free market, which we no longer have. The 10 year yield will continue to increase as does inflation. When the debt market implodes, so will the stock market. The Federal Reserve can only postpone the inevitable, and by doing so, make it worse.

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Fund Prices2021-04-16

FundPriceDayYTD
G $16.56 0.00% 0.34%
F $20.66 -0.21% -2.53%
C $62.57 0.36% 11.92%
S $83.28 -0.04% 12.24%
I $38.19 0.63% 7.92%
L2065 $13.71 0.39% 10.49%
L2060 $13.71 0.39% 10.49%
L2055 $13.71 0.39% 10.49%
L2050 $27.99 0.31% 8.45%
L2045 $12.79 0.29% 7.92%
L2040 $46.72 0.27% 7.42%
L2035 $12.36 0.25% 6.82%
L2030 $41.20 0.23% 6.25%
L2025 $11.71 0.18% 4.93%
Linc $22.82 0.08% 2.45%

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