Friday, June 15, 2018

6/15/2018 Double Sector Trade

Continuing the annoying pattern, the Sector Model remains temporarily split.

It sold the XLP and XLU positions to buy XLI and XLV positions with a favorable gap.

Monday, June 11, 2018

6/11/2018 Double Sector Trade

The Sector Model (currently split) sold XLB and XLI and bought XLP and XLU with favorable gaps (i.e. the sells were up more than the buys on intraday prices).

The split between the model is temporary.

Sunday, June 10, 2018

6/10/2018 Potential Double Trade in Sector Model on Monday


Sector Model
XLI and XLB
1.66%
Full Model
Date
Return
Days
BT
8/11/2015
-56.89%
1034
TMK
11/23/2015
45.75%
930
NVR
12/16/2015
92.71%
907
CMP
2/19/2016
8.76%
842
NVR
2/22/2016
100.83%
839
AMWD
3/17/2016
51.43%
815
CASY
5/12/2016
-13.89%
759
AEM
6/7/2016
-9.91%
733
ESRX
6/13/2016
3.27%
727
AMED
6/16/2016
59.31%
724
FRO
6/27/2016
-21.23%
713
ASTE
7/12/2016
3.25%
698
MFC
9/1/2016
50.37%
647
SFM
9/8/2016
8.49%
640
CFFN
9/12/2016
4.99%
636
FOSL
5/11/2017
96.68%
395
HIBB
7/25/2017
95.42%
320
FOSL
7/27/2017
157.25%
318
HZO
8/1/2017
65.99%
313
BCE
5/31/2018
3.16%
10
(Since 5/31/2011)
S&P
Annualized
10.89%
Sector Model
Annualized
15.02%
Full Model
Annualized
16.59%
S&P
Total
106.80%
Sector Model
Total
167.36%
Full Model
Total
194.12%
Sector Model
Advantage
4.13%
Full Model
Advantage
5.70%
Previous
2018
S&P
98.38%
4.25%
Sector Model
172.95%
2.14%
Full Model
145.63%
19.74%



The Full Model continues to pull away from the benchmark set by the Sector Model – now split in a double whipsaw and set to trade tomorrow into XLU and/or XLP out of XLB and/or XLI.  The sector model trades are dependent upon intraday moves.



In any case, the Full Model is finally populated with enough data to run on its own adaptive metrics, and it unlikely to make a trade until October.  The two exceptions would be a perfect setup where the fundamental and technical buy and sell metrics line up, or if one of the positions is thrown into cash by a corporate buyout or privatization.



Tim






Monday, June 4, 2018

6/4/2018 Sector Trade Split

Closed the position in XLP.

The Sector Model was too close to call between XLI and XLB, so I split the buy into half of each.

Sunday, June 3, 2018

6/3/2018 Update, and a New Trade Rule


Sector Model
XLP
-0.31%
Full Model
Date
Return
Days
BT
8/11/2015
-57.26%
1027
TMK
11/23/2015
44.97%
923
NVR
12/16/2015
83.00%
900
CMP
2/19/2016
3.99%
835
NVR
2/22/2016
90.71%
832
AMWD
3/17/2016
50.26%
808
CASY
5/12/2016
-13.81%
752
AEM
6/7/2016
-9.38%
726
ESRX
6/13/2016
1.53%
720
AMED
6/16/2016
52.10%
717
FRO
6/27/2016
-19.68%
706
ASTE
7/12/2016
1.63%
691
MFC
9/1/2016
49.82%
640
SFM
9/8/2016
9.81%
633
CFFN
9/12/2016
2.89%
629
FOSL
5/11/2017
64.13%
388
HIBB
7/25/2017
98.47%
313
FOSL
7/27/2017
114.67%
311
HZO
8/1/2017
58.59%
306
BCE
5/31/2018
0.00%
3
(Since 5/31/2011)
S&P
Annualized
10.66%
Sector Model
Annualized
14.74%
Full Model
Annualized
15.66%
S&P
Total
103.39%
Sector Model
Total
162.21%
Full Model
Total
177.28%
Sector Model
Advantage
4.08%
Full Model
Advantage
5.00%
Previous
2018
S&P
98.38%
2.53%
Sector Model
172.95%
0.17%
Full Model
145.63%
12.88%



Yesterday’s trade ended up netting a better than 17% profit for a six month hold, but on consideration I will be adding a new rule to my existing set to prohibit any short term trades.  With an average holding period of five years and a goal for post tax optimization, there is no reason to make any short term trades in the future.



Granted, I’m conducting this open portfolio in an IRA account, so it doesn’t matter for me, but this is a blog with a stated purpose that I plan to stick with.



So here are some of the rules:



1)      If a trade is turned to cash through a merger or other kind of company action, execute the next buy from the new cash position. (This should go without saying, but I’m saying it anyway).

2)      If a trade is on a “perfect” setup, execute the trade. (A perfect setup is that the sell is in the worst possible position from both technical and fundamental parameters and the buy is in the best possible position from both technical and fundamental parameters.  The model experiences such a “perfect” setup around 1% of the time).

3)      If no perfect setup exists, hold until the next rotation window happens. (With an average holding period of 2034 calendar days per position and 20 positions, a minimum period between rotation windows is 102 calendar days).

4)      Only trade on a minimum favorable gap as calculated by the model. (This is a technical feature requiring a 0% to 9% favorable gap in order to trade, depending on internal metrics.  A favorable gap is when the sell is up relative to the buy.  So if the sell is up 3% and the buy is up 2% that is a 3-2=1% favorable gap).

5)      Never make a short term trade, unless forced to do so by the first rule (above).



The Full Model is clearly stripping ahead, and hopefully will continue to do so.  Of interesting note is BT, which was purchased when the model had an earlier set of fundamental parameters, but is only now approaching what would have been a “buy” status.  It has another three years to cook anyhow, so it will be something to watch going forward.  Ending in a profit would be a good ending to that annoying stock.



Tim