|
Sector Model
|
XLU
|
0.66%
|
|
|
Full Model
|
Date
|
Return
|
Days
|
|
BT
|
8/11/2015
|
-39.30%
|
726
|
|
TMK
|
11/23/2015
|
32.65%
|
622
|
|
NVR
|
12/16/2015
|
61.30%
|
599
|
|
CMP
|
2/19/2016
|
3.43%
|
534
|
|
NVR
|
2/22/2016
|
68.10%
|
531
|
|
AMWD
|
3/17/2016
|
41.77%
|
507
|
|
CASY
|
5/12/2016
|
-3.37%
|
451
|
|
AEM
|
6/7/2016
|
-10.10%
|
425
|
|
ESRX
|
6/13/2016
|
-17.63%
|
419
|
|
AMED
|
6/16/2016
|
-3.61%
|
416
|
|
FRO
|
6/27/2016
|
-21.93%
|
405
|
|
ASTE
|
7/12/2016
|
-17.09%
|
390
|
|
MFC
|
9/1/2016
|
53.76%
|
339
|
|
SFM
|
9/8/2016
|
20.99%
|
332
|
|
CFFN
|
9/12/2016
|
4.67%
|
328
|
|
FIG
|
12/6/2016
|
60.88%
|
243
|
|
FOSL
|
5/11/2017
|
-19.39%
|
87
|
|
HIBB
|
7/25/2017
|
14.50%
|
12
|
|
FOSL
|
7/27/2017
|
5.43%
|
10
|
|
HZO
|
8/1/2017
|
4.71%
|
5
|
|
(Since 5/31/2011)
|
|||
|
S&P
|
Annualized
|
10.35%
|
|
|
Sector Model
|
Annualized
|
16.63%
|
|
|
Full Model
|
Annualized
|
13.65%
|
|
|
S&P
|
Total
|
83.92%
|
|
|
Sector Model
|
Total
|
158.92%
|
|
|
Full Model
|
Total
|
120.59%
|
|
|
Sector Model
|
Advantage
|
6.27%
|
|
|
Full Model
|
Advantage
|
3.29%
|
|
|
Previous
|
2017
|
||
|
S&P
|
66.43%
|
10.51%
|
|
|
Sector Model
|
120.54%
|
17.40%
|
|
|
Full Model
|
91.27%
|
15.33%
|
In the current metrics, the Full Model has still failed to
find a maximum holding period, even after over 6 years of live testing:
Note on the “Taxed” line that the maximum annualized return
rate continues to be the maximum recorded holding period. Although the factor of taxes does indeed
favor a longer holding period because of compound interest, I suspect that
another factor is the effect of High Frequency Trading Algorithms eating away
the potential profitability of short term trades. Just as humans cannot compete with these
black boxes, neither can my model. But
that’s the point of my model: I’m not trying to compete with the HFTs, but
rather to get out of their way.
That said, I still ended up with three trades in the past
few weeks, even though a 6 year holding period over 20 positions should have
taken most of a year to trade that often.
There were two contributing factors: 1) I need to tighten up my gap
threshold, and 2) some of my trades were forced by my companies being bought
out for a nice profit. Holding through
the acquisition wasn’t even an option, and I needed to trade.
The Sector Model, on the other hand, has held the XLU
position for an unusually long period of time, and the performance graph has
become disturbingly quiet:
Note that such close hugging of a trend-line doesn’t always
end well for the broad market, and in fact the sector ratios continue to favor
defensive industries:
One can never time these things, but it remains a
puzzle. On the one hand, the recent
slashing of regulations by the Trump administration typically helps the market
for a few years, but on the other hand the failure of any sign of bipartisan
healthcare reform bodes ill.
The dollar has been falling lately, which might explain why
retail stocks are falling into my model.
But those are hardly bearish moves.
Will be interesting to watch. As always, I’m happy I don’t have to worry
about timing.
Tim
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