| Index | Recent Threads | Who's Online | User List | Search |
|
|
 |
Portfolio123 » List all forums » Forum: Simulations and Portfolios » Thread: Let's Say Market Goes DOWN - Now what??? |
|
Total posts in this thread: 30
|
[Request a Feature]
[Post new Thread] [Add To My Favorites] [Watch this Thread] |
| Author |
|
|
areid
Advanced Member
|
If you could provide a review of Vector Vest that woudl be great too. I've been looking at them and it seems that they provide you with their ranking system. Not nearly as flexible as P123. If their market timing calls are that good though it might be worth it since you could then switch out of your long ports and into your short ones. |
||
|
|
jerrodmason
Advanced Member UNITED STATES Joined: Jan 14, 2005 Posts: 599 Status: Offline |
J ---------------------------------------- The smart money was on Goliath. "He's not the Messiah. He's a very naughty boy." |
|||
|
|
JHENF
Member FINLAND Joined: Dec 30, 2003 Posts: 5 Status: Offline |
My first post here although I have been around since 2003. I bought Leslie N. Masonson´s market timing book few years ago and read it through and developed my own very simple timing method based on his VLAI4 system. I have used this exact system since 2004 to time my investments to mutual funds through my pension insurance system (I live in Finland where they don´t allow direct stock investments with pension savings). I haven´t applied it to my Portfolio123 based portfolio because I thought it would hamper the total return too much. After the May correction I was a bit annoyed  by the 15% drawdown in my P123 live portfolio and made exposure list based on signals of my modified Masonson´s system. The VLAI4 weekly system presented in Masonson´s book goes long when the Friday close of Value Line Arithmetic index is four percent from previous low close and covers (or goes short) when it drops four percent from previous high close. There is also similar system which uses Nasdaq Composite index and I use ^IXIC myself in my own system. Masonson´s Nasdaq system used the threshold of 6% for signal but I use 4% drop to exit market and 3% up move for entry signal. The results to my P123 simulations were really positive because lower drawdowns didn´t come with equal drop in total return. I decided to share this exposure list with you guys and hope this sparks more conversation in this thread and maybe produce better and more sophisticated techniques to improve our trading. 04/30/01 05/07/01 06/04/01 06/11/01 06/18/01 07/02/01 07/09/01 07/16/01 08/13/01 10/01/01 01/22/02 03/04/02 03/25/02 05/20/02 05/28/02 08/12/02 09/03/02 10/14/02 12/16/02 01/13/03 01/21/03 02/24/03 04/14/03 04/21/03 08/11/03 08/18/03 09/29/03 10/06/03 02/17/04 04/05/04 05/03/04 06/01/04 07/19/04 08/23/04 01/18/05 05/09/05 10/10/05 11/07/05 05/15/06 No entry signal yet |
||
|
|
hengfu
Advanced Member
|
Hi, Chris: All I found on VectorVest web is the outdated timing data: http://www.vectorvest.com/research/ridingthewave2.htm I wonder if you could share your exposure list created from VectorVest, so we could run some simulations with different ranking systems with it? Thanks a lot. Regards, Hengfu |
|||||
|
|
ginger
Advanced Member
|
Hengfu, A chart of the Vectorvest market timing for the last 5+ years is available by clicking the link that says, "Market Timing Graph" on the left side menu of their member's home page. This chart shows the exact days when the market is headed up - or down. I don't use exposure lists. I'm not sure how that would apply to market timing, anyway. When I refer to market timing, I mean being in or out of the market (cash) based on a system with a proven track record of successful recommendations. Based on my analysis, the Vevtorvest system appears to be very successful. By getting out of the market during down periods, returns should be dramatically enhanced. I am currently using only about 40% of my picks from the P123 generated portfolios. The rest of my picks are from my personal attempt to get some returns going using oil, gold and inverse Nasdaq index ETFs. So far, it has been all for naught in this very troubling market. Like everyone else, I've just been spinning my wheels after the May/June small cap massacre. If I had truly stuck with the Vectorvest timing recommendation instead of trying to squeeze out a return, I would still be in cash since the middle of May. Again, this confirms the accuracy of their system. I plan to go back to P123 portfolios during the "green" periods according to Vectorvest and go to cash when the indicator generates a "down market." I'll let you all know how it works over time. Chris Michaels |
||
|
|
hengfu
Advanced Member
|
Thanks for the explanation. Here is what I meant for the exposure list: http://www.portfolio123.com/mylists.jsp If you have a list of dates to be out market completely, you can specify them and run sims with them. It is very useful to backtest if the timing data works well with your 123 systems. Regards, Hengfu |
|||
|
|
ginger
Advanced Member
|
Hengfu, I have been manually running sims using the market timing based on VectorVest, but it is a huge headache. I have to run each period and calculate the returns added together. You say, "If you have a list of dates to be out market completely, you can specify them and run sims with them." How exactly does P123 accomodate this testing? Chris |
||
|
|
hengfu
Advanced Member
|
Hi, Chris: Click Home->My P123->Exposure Lists->New List Put the date from VectorVest in the following format and save it: 09/15/00 01/18/01 02/23/01 04/30/01 06/25/01 11/13/01 02/06/02 03/06/02 Then in Simulation Step 1 -> Choose Exposure List Choose the list you just create and run Sim. Let me know if you have problem doing it. I don't have VectorVest date list. I use AlphaKing list posted in the forum, and my experiments showed drawdown is greatly reduced, but performance is suffered as well unless applying to some large index-type of portfolios like $100M/SP500. Hedging using options or Rydex/Profund may increase the performance while out of the market, but without simulations I am hesitate doing that. Hengfu |
|||
|
|
ginger
Advanced Member
|
Hengfu, I tried doing the last couple years to start and got this message when I saved the exposure list: List updated! You entered 10 tickers of which up to 0 were valid. Invalid tickers are : 04/19/04 06/29/04 07/13/04 09/07/04 03/16/05 06/01/05 09/21/05 11/18/05 05/18/06 07/26/06 It doesn't show up when I go to "Choose Expose List" in Step 1. What's the problem? Thanks, Chris |
||
|
|
Capnpaul
Advanced Member
|
Chris You entered your dates as a "Restrict Buy List" (which accepts symbols). Retry and select Exposer rather than Global Restrictions. HTH |
||
|
|
[Show Thread Printable Version] [Post new Thread] |
