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Portfolio123 » List all forums » Forum: Testimonials » Thread: Market Timing |
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Total posts in this thread: 17
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dwpeters
Advanced Member
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Hi, I have tested several combinations of strategies and allocations, as well as dynamic allocations based on market trend, but 60/40 Long/Short always seems to work about as well as any other option. The short strategy I'm trading now is not always fully invested but has a target allocation of about 40% and I take the trades as they come. I did start with a smaller allocation but the strategy and the allocation have proven themselves to me in real trading. Liquidity can affect the ability to borrow stock but the most important factor is the broker. Some brokers don't have many shares to short in general and may be quick to call shares back (shares sold short are borrowed and may have to be returned if the owner sells and the broker has no more shares to borrow), and some brokers don't allow shorting of stocks under $5, or under $3. I opened an account with Interactive Brokers specifically so that I could sell stocks short. They have no minimum price limit, they have shares of most stocks and I have never had shares called back. I've heard ThinkorSwim can be pretty good too. IB's list of shortable stocks is regularly updated and available here: http://www.interactivebrokers.com/en/trading/SearchShortableStocks.php?cntry=usa&tag=United%20States&ib_entity=llc&ln= FYI, I'm working on a long/short strategy that trades weekly in stocks trading > $1M per day. The 60/40 long/short combo has 71% lower drawdown and 61% lower down standard deviation (annualized standard deviation of the days with negative returns) than the average of the long/short strategies separately, with no market timing. For comparison using the best market timing rules I have the long only strategy would have higher returns but even higher risk. Risk adjusted returns are 26% higher for the long/short strategy. Don ---------------------------------------- [Edit 1 times, last edit by dwpeters at Jan 22, 2011 7:39:33 PM] |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1553 Status: Offline |
I worked with Christopher Michaels (the developer of IntelegentValue) helping him develop P123 Sims for use on his site in 2005 through 2007. At that time he was not using any form of market timing. I have no idea what method he used to fill in the timing dates prior to the date he started using market timing, but they certainly weren’t his real time dates. He may have received them from someone else that had real time dates. If so he needs to explain that. If anyone knows his method please let us know. Cheyenne maybe? Denny  ---------------------------------------- "The significant problems we face cannot be solved at the same level of thinking that we were at when we created them". Albert Einstein |
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ckochiya123
Advanced Member
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Hi Essam, Regarding p123 market timing rules, they certainly could be used as buy/sell signals for mutual funds. Regarding manual calculations of the p123 market timing rules, I would have to defer to those with a greater understanding of the theory behind the rules. A good thread entitled "Working toward a better Market Timing Model" can be found here: http://www.portfolio123.com/mvnforum/viewthread?thread=4206#19587 Chris |
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cheyenne
Advanced Member UNITED STATES Joined: Mar 5, 2009 Posts: 84 Status: Offline |
Hi Steve, IntelligentValue's returns are documented every five minutes during the trading day by an independent third party data provider: FinancialContent.com. Besides IntelligentValue, they have very large clients such as the San Francisco Chronicle, CNET, and Minyanville.com. Besides the daily portfolio update every five minutes, a snapshot of the portfolio performance is documented at the end of each day with the open, high, low, and cose for the day. The profit or loss percentage is also provided each day. In addition, a performance graph based on the daily performance data is updated at the end of each day. You can see these graphs on the 'Results' page of the Preview at http://www.intelligentvalue.com/results.htm . ---------------------------------------- Chris "Not everything that can be counted counts, and not everything that counts can be counted." - Albert Einstein |
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Stittsville123
Advanced Member
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Roger - I found this: (see graph). What is the ticker symbol for IntelligentValue's market timing signal? Steve ---------------------------------------- 
Aggressive.GIF
(22440 bytes)
(Download Count: 198)
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marco
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To: Cheyenne, Ginger, IntelligentValue and other names you have used in the past. Thank you for your posts but please do not promote your services in P123 forums. Thank you Marco ---------------------------------------- Portfolio123 Staff |
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cheyenne
Advanced Member UNITED STATES Joined: Mar 5, 2009 Posts: 84 Status: Offline |
I just stumbled across this post that I hadn't seen in a ling time. I would like to apologize to Marco and members of P123 for attaching my newsletter site's name to the post about the timing system we are now using with our website. I realize now that by mentioning the site's name, we violated P123's policy about promotion in the P123 community area, and I understand that it was wrong. I have provided more training to my marketing person to make sure that this doesn't happen again. However, I take responsibility for the error. For Marco: I never use my own name as a user name or password on any site. "Ginger" was my first pet as an infant - a beautiful little Cocker Spaniel. "Cheyenne" is a loved young relative who I initially set up and taught how to use P123 to identify good stocks for her retirement account. I took over the account when she lost interest and I have been using it again, full time. All the new features introduced in the last two years have made P123 second-to-none and an incredible value. PORTFOLIO Steve (Stittsville): Just for the record, the Aggressive Portfolio chart you posted above is from one of a set of portfolios that were discontinued quite some time ago in favor of a single , larger portfolio. Because of an increasingly serious medical condition, by 2010 I was simply unable to put in the hours to rebalance multiple portfolios and do all the research necessary on 20-40 stocks in four portfolios every weekend of the year. My professional performance suffered as a result. Unfortunately, there were stocks left in the portfolio table in FinancialContent's system that were unattended after I removed the (Aggressive) portfolio's presentation from the site. The portfolio database was abandoned without rebalance or attention. FinancialContent's system continued to track the 'orphaned' stocks left in it. I didn't know they were still there, but I made sure they were removed today. To clear up any misconceptions about that portfolio's performance, here is a link for two complete graphs on a plain white page (no site name) showing that portfolio's performance since it's launch in 2006 up to the time my medical problems became serious, and a second chart of the same portfolio through today, long after the port's abandonment: http://www.intelligentvalue.com/fvms_chart.htm From its launch in June 2006 through mid-2009 (3 yrs), the portfolio gained about 800% before the downturns came - caused by my inability to attend to the careful management of multiple portfolios when my medical condition became serious. I pulled the portfolio from the site, but unfortunately, I left it live with unattended stocks in FinCon's database. Also to Steve (Stittsville123): I don't use Collective2, but all trades are tracked by FinancialContent.com and prices are updated in the portfolio tables every five minutes of the day. Stock suggestions are posted on the weekends or in the evening for purchase at the next day's open. Prices of each position's opening price and close price is updated in the portfolio database tables with a few hours of the opening purchase and the closing sale. And to Don (DWPETERS): I have updated the timing system and the dates when new features became available to me. Just as we update our sims and ports when P123 has updates - or when software companies introduce new, improved versions of their products, I have done the same. Yes, the timing dates have been updated a couple of times, but I have always brought that update to member's attention and noted it prominantly on the site's Market Timing page. And, by the way, my health is better now after finally finding the right doctors, and I finally have help with the work, including a new manager, editors, marketing and other staff. Again, I apologize to Marco, the staff of P123, and the community members for the inappropriate mention of our site's name with the postings of the timing signals. It won't happen again. Chris ---------------------------------------- Chris "Not everything that can be counted counts, and not everything that counts can be counted." - Albert Einstein ---------------------------------------- [Edit 3 times, last edit by cheyenne at Aug 24, 2012 5:07:47 AM] |
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Re: Market Timing
