|
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
No comments:
Post a Comment