Hi,
See my market timing system:
*Tom’s MX1 - 1 ETF SP500 Market Timer (SPY-SH) System
This should be short this week? If I run the R2G as a sim, it sells SPY and buys SH today. However, the R2G email says sell SPY, but not buy SH. Can you please look at this. I am not sure what’s going on? The ranking has definitely switched to short this week and the buy filters should not be stopping this? If they are, not sure why they are for the R2G, but not the sim I rerun of it?
Best,
Tom
Bump.
rerun with 2 allowed etfs to see what happens. Is it 0 - 50% invested using only long or only short through the entire run? On screens for etfs I am seeing some weirdness where it suddenly would either allow the one short etf or cash but never long. I allowed 2 etfs for the screen holdings and despite a universe of 18 etfs, it would only allow one long and one short but not 2 longs. Strange.
Kurtis,
This is a binary system that is either a) 100% long, b) 100% short or c) (rarely) 100% cash. I run 2-3 versions of this in my live money. On my personal systems when I rebalanced this morning they gave the sell SPY and buy SH (or short SPY) signal today. The R2G email gave the sell SPY, but no buy SH signal. However, if I rerun the R2G as a simulation with SPY-SH or SPY,IWM,SH, it still says to sell SPY today and buy SH. The system settings use trade at close, so not sure if this is the reason? But…I’m not sure why the R2G mailer is only saying sell SPY and not to buy anything?
Best,
Tom
Investigating. Thanks
Tom,
In a Live Port (and R2G) the historical port equity data was not being loaded, which makes PortBars fail and also #Bench fails. This has never worked. It was never noticed because PortBars & #Equity are mostly used in sims.
I’ll have a permanent fix after today.
As far as your R2G it should have bought SH on Monday. I can do it manually and email the subs
Sorry about that.
The R2G has been updated with a new long SH position was entered at $23.85 on 10/20/14 (the middle point of yesterday).
Very sorry about the inconvenience.
As it turns out this error worked out for the best for the subs since SH is now trading @ 23.34
Marco,
Thanks. That was a buy at close. You’re right, in this case, it helped Sub’s out. They would have lost more on the signal, but I prefer for it to be correct. I also use the port equity in a number of my hedges. They may or may not have properly hedged this week. Will have to recheck.
Best,
Tom
About half of my sim’s use the #Bench feature in some capacity. So…these were all also in error as well? It’s okay for them to just ‘correct’ at the next rebalance, just checking.
Sims are ok. Live ports were the problem.
Marco,
I meant live ports. My live ports and several of the R2G’s I offer frequently use both Bench and Equity. So, all of these are off, correct?
Best,
Tom
Yes. Looks lie you are using #Bench to avoid buying if the port equity has dropped. That signal is not working for live ports. The fix is going live tonight.
It’s a strange signal since it will make the port go flat and only start buyikng after a fixed period (I think)
“which makes PortBars fail”
Marco - how about SimWeeks? I presume SimWeeks is in the same boat as PortBars.
I provided a solution to a problem a few weeks ago using SimWeeks. (i.e. process buy rules every second week). PortBars doesn’t really cut it because you can’t guarantee the number of bars in a week.
Anyway, all functions available for sims should also be available for ports/R2G models, except for any look ahead features of course.
Steve