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geov
Re: Exposure List Problem

Primus,
The reason I need accurate exposure lists is to enable one to schedule switch trades between stocks (SPY) and bonds (IEF) on specific dates. I have a model running in excel, the iM-SuperTimer that switches only on the weekly first trading days. It is based on all my timing models (about 15) which I developed over the years, some running on P123 and others in excel. This model is updated every Sunday for Monday trading, and gives Realized Transaction dates for SPY and IEF.

Step 1:
Run two simulations, 2x leveraged, in P123, SPY-Cash and IEF-Cash, using the exposure list based on the realized transaction dates of the excel model. In P123 the transaction dates must correspond exactly to those from excel. That is why I needed to get the exposure list settings to correctly reflect the 1st trading day dates.

Step2:
Use SPY-Cash and IEF-Cash as assets in a book. Because they were 2x leveraged, but now receive only a weight of 50% in the book, the value of the transactions are back to un-leveraged, and the performance from the book must equal the performance of the excel model, which is what happens. The book gives you all sorts of useful information which is difficult to get from excel, such as Risk Measurements, etc.

So, from the SuperTimer I get the good stock market periods, there were only 29 of them from 2000-2018. Here is the exposure listing, namely when the model should not be in stocks. Try using it in a stock model, you should get better performance trading only during the good stock market periods from the Super-Timer.

12/28/1999 , 04/11/2000
06/20/2000 , 09/26/2000
10/17/2000 , 08/28/2002
09/10/2002 , 10/15/2002
10/22/2002 , 03/25/2003
04/29/2003 , 05/06/2003
04/13/2004 , 04/27/2004
06/01/2004 , 06/30/2004
07/13/2004 , 08/03/2004
08/17/2004 , 08/24/2004
02/22/2005 , 03/08/2005
03/29/2005 , 04/12/2005
05/16/2006 , 06/13/2006
07/04/2006 , 07/11/2006
07/18/2006 , 08/01/2006
07/17/2007 , 08/14/2007
09/25/2007 , 10/23/2007
10/30/2007 , 03/24/2009
12/29/2009 , 01/19/2010
04/27/2010 , 06/01/2010
06/14/2011 , 06/21/2011
07/19/2011 , 08/02/2011
08/16/2011 , 12/28/2011
04/21/2015 , 04/28/2015
06/02/2015 , 06/30/2015
07/14/2015 , 08/18/2015
09/02/2015 , 06/21/2016
07/05/2016 , 07/19/2016
08/31/2016 , 10/25/2016
12/04/2018 , 01/16/2019

Attachment SuperTimer.png (62028 bytes) (Download count: 36)


Jan 21, 2019 12:54:07 PM       
primus
Re: Exposure List Problem

Thank you, Georg. I hadn't thought of doing that before.

"The world is. The world is. Love and life are deep maybe as his eyes are wide." - Rush, "Tom Sawyer"
http://the-world-is.com/blog

Jan 21, 2019 11:06:53 PM       
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