Best monthly winning streak

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Regularguy
Posts: 191
Joined: Tue Sep 24, 2013 11:39 am

Re: Best monthly winning streak

Post by Regularguy »

Interesting search.
On TSPCalc, search seasonal strategy and change the end year to 2017.
Then pick any top performer.
After you find one , at the bottom graph change to end year to 2021.
Notice how the C fund beat all the seasonal 's ? Notice how the returns are also very constant, until, right when they were not built on back data, 2017 in this case, they are all over the place? Hard to beat buy and hold in this casino.

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12squared
Posts: 675
Joined: Thu Dec 31, 2015 7:28 am

Re: Best monthly winning streak

Post by 12squared »

Regularguy wrote: Sat Jan 15, 2022 1:08 pm Interesting search.
On TSPCalc, search seasonal strategy and change the end year to 2017.
Then pick any top performer.
After you find one , at the bottom graph change to end year to 2021.
Notice how the C fund beat all the seasonal 's ? Notice how the returns are also very constant, until, right when they were not built on back data, 2017 in this case, they are all over the place? Hard to beat buy and hold in this casino.
I'm not surprised. Using the default settings, all of the "Top Performers" have Means > 39 and Std Devs from 27 to 32. Assuming the distribution is "normal", we should expect their range to be Mean +/- 1 SD about 2/3rds of the time, e.g. 39+/-30 => a range of 9 to 59.

The three with the highest mean, highest Std Dev and lowest Std Dev from the 100 displayed are far from the most consistent performers.
https://tspcalc.com/seasonal.php?ID=894 ... ears=04-21
In 2009 each of these returned 4-5x what C did. I suspect the other 97 did as well. Those 113% to 137% returns - 2.9 to 3.5 SD above their means - skew their means. From 2010 to 2017 the means are only 28 to 33.
“The genius of investing is recognizing the direction of the trend – not catching the highs or the lows.”
- Dean Witter

"Put all your eggs in one basket and then watch that basket."
- Andrew Carnegie

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bloobs
Posts: 1616
Joined: Tue May 21, 2019 8:00 pm

Re: Best monthly winning streak

Post by bloobs »

Notice how all seasonal strategies that rock during inflationary years perform subpar during all other years?

Personally I wouldn't pick a strat SOLELY on the basis of what I (and everyone else by now) forecast is a rapidly rising inflation environment in the coming years. I would still continue to consider the many other factors that history shows will still have a hand in moving the market. Factors known and, gulp, unknown and unexpected.

Regularguy
Posts: 191
Joined: Tue Sep 24, 2013 11:39 am

Re: Best monthly winning streak

Post by Regularguy »

12squared wrote: Sat Jan 15, 2022 6:06 pm
Regularguy wrote: Sat Jan 15, 2022 1:08 pm Interesting search.
On TSPCalc, search seasonal strategy and change the end year to 2017.
Then pick any top performer.
After you find one , at the bottom graph change to end year to 2021.
Notice how the C fund beat all the seasonal 's ? Notice how the returns are also very constant, until, right when they were not built on back data, 2017 in this case, they are all over the place? Hard to beat buy and hold in this casino.
I'm not surprised. Using the default settings, all of the "Top Performers" have Means > 39 and Std Devs from 27 to 32. Assuming the distribution is "normal", we should expect their range to be Mean +/- 1 SD about 2/3rds of the time, e.g. 39+/-30 => a range of 9 to 59.

The three with the highest mean, highest Std Dev and lowest Std Dev from the 100 displayed are far from the most consistent performers.
https://tspcalc.com/seasonal.php?ID=894 ... ears=04-21
In 2009 each of these returned 4-5x what C did. I suspect the other 97 did as well. Those 113% to 137% returns - 2.9 to 3.5 SD above their means - skew their means. From 2010 to 2017 the means are only 28 to 33.
Back in 10/02/2017 15981 was one of the strats you mentioned and I began to follow also. std dev 4.97 cagr 29.80 time in stocks 55.20.
In 2018 -2.48,
2019 +28.03,
2020 -2.06,
2021-1.26
I guess my only message is to new investors, that buy and hold is very, very difficult to beat. And maybe suggest to use only a small portion or low percentage of TSP move in and out with.

Which are the high inflationary years? What % is considered high? over 2%
I am defiantly not an expert, just asking questions and opinions to review.

User avatar
12squared
Posts: 675
Joined: Thu Dec 31, 2015 7:28 am

Re: Best monthly winning streak

Post by 12squared »

Regularguy wrote: Tue Jan 18, 2022 12:36 pm I guess my only message is to new investors, that buy and hold is very, very difficult to beat.
Especially when the Fed is buying billions in bonds every month, aka "Quantitative Easing", much of which finds its way into purchase of equities.
“The genius of investing is recognizing the direction of the trend – not catching the highs or the lows.”
- Dean Witter

"Put all your eggs in one basket and then watch that basket."
- Andrew Carnegie

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