General Market and Timing

Hi there,

just wondering if anyone is looking at the general market. As I am writing this, the stock futures are again down strongly this morning.
Any TIMING rules that got you out in time?
Maybe with the new timing capabilities (Breadth) we have here now?

Werner

Subscribers for Stitts Wealth Management - DJIA / Gold and Stitts Wealth Management - SP400+SP600 / LT TBonds are doing exceptionally well. The timing rules are described on my site (go to the model description to find the link).

Steve

Look at the market timing section:
http://stockmarketstudent.com/djiagold-r2g-model/
http://stockmarketstudent.com/wealth-management-sp400-sp600-r2g

Steve

Werner,

I actually added a lot of money to my dynamic hedges and market neutral stuff about 2 weeks ago when I posted about my feelings (and research) on general valuation levels in the markets.
See:
http://www.portfolio123.com/mvnforum/viewthread_thread,8053_offset,0

I opened one of these as an R2G about 1 month ago and the other this week, but have been using them for 9 months or so. I’ve also moved a lot of money to all hedged systems (as of this summer).

This shift was just based on discretionary comfort level with market valuations. For the most part I’ve been making money these past 2 weeks. I did get killed on one MLP system where I hedged with the wrong underlying contract and my leverage was too high. But, got that fixed within a few days. So, for example…this week I am flat and my largest daily move was .3%. That has me sleeping okay.

But…I will play with the indicators and see what I find. My general guess is that anything relying on SPmovements would not have caught this, unless it was also subject to a LOT of historical whipsaws, or a lot of optimization. But, there are some very helpful marketing timing rules in market breadth, etc. So, far I am still working with them at the ETF timing level. It takes time.

I have found some market breadth indicators that seem very promising and would have had me out. But, likely not before this Monday, but not sure I am comfortable with them yet.

Best,
Tom

Steve,

Congrats on the switching logic in these two so far. I am mostly skeptical of seasonal timers (apart from maybe 5-10% of a portfolio), but this is working so far. And that’s all that matters. So, well done. It’s definitely been a portfolio diversifier as you say. At least in this market correction.

Best,
Tom

Werner

In my view there is one reliable method of ‘market timing’ - If your equity curve is going up your method is working in present conditions so stay in, if it’s going down it not so get out. Works for me.

The image is the equity curve (weekly bars) of an R2G “:slight_smile: 25 Large Liquid Stocks” with my very simple stops plotted (not possible in PF123). You will see I am now out of the market. I will not be back in until the uptrend starts again.

Steve


25 Large Liquid.jpg

Steve J,

Agree. I do this on some systems on my own. It can work in P123 in a much less precise way, sort of, if you just sell all stocks at each rebal (or if port equity has fallen X amount) and then require that the system equity is above where it was X days ago. For example - close(0,#Equity)>.9*close(30,#Equity). It’s not as good as actual equity curve timing, but if you don’t rebalance too much (say on a monthly system), this form of equity timing on some sleeves can stabilize an overall portfolio.

Can also use similar logic in hedging (and then it can be true ‘relative’ equity curve timing).

Best,
Tom

Hi Steve and Tom,

thanks for your replies.
Steve: Hm. Your two R2G models do indeed look good for the present market turmoil. But I also have reservations about seasonality. There are just too many “seasons” I remember, where the opposite happened what “everybody” (According to the season) was expecting.

Tom: Thank you for your insights. Just like you, I think no “Moving Average” rule would have caught the current downturn, except VERY shortterm. But then it would have been whipsawed to death in the past

I feel there is some gold to be mined in the new BREADTH section that is available now (Thanks Marco !).
(Tools >> Series >> Custom Series). I am experimenting with this but it is all too new for me and I haven’t be able to come with something reliable enough to trust it with real money.

Werner

Hi All:

This is great discussion.

I’d like to see it continued in the “Market Timing” section of the forum so it will be easier to find in the future.

Here the link to a new thread I started in that section. Comments how I’ve combined “Macro” and “Micro” timers for use in my systems are found there.

https://www.portfolio123.com/mvnforum/viewthread_thread,8103_lastpage,yes#41662

Regards,
Brian

I congratulate those that were able to avoid the downturn. To the rest, patience is your friend and tune out the noise.

Scott

"There are just too many “seasons” I remember, where the opposite happened what “everybody” (According to the season) was expecting. "

Werner - Of course you should be wary of seasonal, or ANY market timing strategy for that matter. This is why my models switch to an alternate instrument (TLT or GLD) as opposed to switching to cash… and in my documentation I recommend that you choose a diversified set of strategies. Seasonals are one of the few methods that doesn’t succumb to delays (such as moving averages) and with good design you can minimize potential for whipsaw (which we have already seen in some models).

If I had a penny for every time someone told me they would not use seasonals for timing, invest in TLT or GLD because they are clearly going down then I would be rich! The proof is in the pudding.

Take care
Steve

So Steve what do you do for Novembers? :slight_smile:

Sterling - one method (not mine but tends to work) gets into the stock market when the MACD for the S&P 500 goes positive on or after October 16th. So November would be “in the market” if/when the above occurs.

Steve