Good work! However I actually think the data is much closer then
that here's why: If you read my sticky above, not ALL the
shorts were exited at the end of the day! Remember there
where three shorts that were exited early because profit targets
were hit, these shorts were NOT exited at the end of the day.
If you had SH also exit at the same time, I'm sure the
results would be even closer and maybe even better, here are those
dates where the shorts were exited either on the open or intra day
and not at the close
I have a little different problem
in trading MY 401K:
I can only buy Mutual funds. I am
currently searching for one that follows the SPY, long or short as
close as possible. One more restriction. I can only buy or sell end
of day. Of course this presents some problems. I purchased the
system mainly to trade my 401K, but I'm not so sure I can come
close enough to duplicate the same results using the system with
all the restrictions I have. Any one else have this problem? Anyone
out there have any Ideas or thoughts on this? Would much appreciate
any feedback.
next, a couple months back I showed someone the statistics and
they calculated using the Profunds or Rydex leveraged mutual funds
for the S&P 500 (not ETF's but the mutual funs), which you can
only enter at the close, not on the open. The results were
very good, in fact because those mutual funds are 2X, the results
were something like 18 million NOT
using compounding (because you already get that with the
leveraged accounts. Obviously some degradation will
occur if you only exit longs on the close instead of the open, but
like I said earlier, it's minor. Selling Longs on the open,
while it helps the strategy, made only about a 5% positive
difference.
In the 401k they have institutional classes which may be a
different symbol, but vfinx is what u can look up on yahoo finance.
But it is the same fund. Fidelity is also the other popular choice,
such as Fidelity Magellan which is so freaking huge it is basically
an S&P 500 index fund.
I used to trade Rydex funds and if I recall correctly, they gave
two times each day to trade in and out of their funds. I think the
first had to be placed by 10:30 AM, and that would be a morning
trade then there was the EOD trade.
Jim, I'm not sure if you have to be trading through Rydex as
your broker or not though to take advantage of that.
I think the study I had was on Rydex 2X funds and it was
extremely high like 18 million, maybe 20 million, because of the
compounding that would occur with the leverage. Also the
prices were all end of day.
a review of Matt's data shows that most of the money is made by
SPY long so using an index fund that mirrors S&P should be
addequate to make money. Not as much as the theoretical amount but
still nothing to sneeze at
Yes! But can only get out end of
day, not the next morning open. I'll have to wait till the END of
the next day to sell the long. As I recall, there is a big
difference in profit if you sell in this way....thank you all, lots
to consider....
It would be interesting to see what the results for the single-
entry and maybe the multi-entry systems would be if you only traded
the LONG signals and got out either at the end of the day of the
exit signal (not the next morning) or the end of the day the
following day since you cannot can only get out of mutual funds at
the end of the day.
Jim, I recall penalties for trading out of funds in less than 30
or 60 days. Not sure if this was just my broker (Fidelity), but I
had this restriction in one of my accounts.
No restrictions, only have to pay
$27 a trade for no load funds. There will be higher fees after (I
think) more than 13 trades in a year, have to check further, but as
I recall they weren't insanely high... so I also will have to
consider that into the equation. I would assume there are others
out there that have the same problems in this area I do, hope to
get enough feedback to make a wise decision whether it is really
worth it to use the system or not this way.
thanks very much for running those numbers. i was planning on
using SH for IRAs, and figured it would be close enough for gov
work, but glad to get some validation.
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fyi IRA's and SPY System
Posted by cdjd on 3rd of May 2011 at 09:15 pm
I used daily data of SH from 10/24/06 to 11/22/10 and substituted SPY shorts with SH longs
I "sold" SH at end of day of signal to duplicate "covering" rules for SPY.
Results: SPY shorts resulted in 115,825.10 total profit
SH longs resulted in 111,668.04 total profit.
I think it good enough for "Government Work" (IMO)
update on IRA and Spy System data mining
Posted by cdjd on 4th of May 2011 at 10:36 am
I re-did the calculations using the published single entry system data
results are from october 24 2006 to present
Shorting SPY = 115,825.1 profit
buying SH = 113,007.86 profit
and with Matt's comments re early exit, results should be even closer.
IMO even better than government work
Good work! However I actually
Posted by matt on 4th of May 2011 at 02:48 am
Good work! However I actually think the data is much closer then that here's why: If you read my sticky above, not ALL the shorts were exited at the end of the day! Remember there where three shorts that were exited early because profit targets were hit, these shorts were NOT exited at the end of the day. If you had SH also exit at the same time, I'm sure the results would be even closer and maybe even better, here are those dates where the shorts were exited either on the open or intra day and not at the close
SPY shorts vs SH longs
Posted by cdjd on 4th of May 2011 at 07:40 am
I don't have those dates. I must have used older data you published.
I have for that period of time time
I have a little different
Posted by Jim on 4th of May 2011 at 09:04 am
I have a little different problem in trading MY 401K:
I can only buy Mutual funds. I am currently searching for one that follows the SPY, long or short as close as possible. One more restriction. I can only buy or sell end of day. Of course this presents some problems. I purchased the system mainly to trade my 401K, but I'm not so sure I can come close enough to duplicate the same results using the system with all the restrictions I have. Any one else have this problem? Anyone out there have any Ideas or thoughts on this? Would much appreciate any feedback.
Thanks in advance :-)
Jim - first off, open
Posted by matt on 4th of May 2011 at 11:16 am
Jim - first off, open a trading account!
next, a couple months back I showed someone the statistics and they calculated using the Profunds or Rydex leveraged mutual funds for the S&P 500 (not ETF's but the mutual funs), which you can only enter at the close, not on the open. The results were very good, in fact because those mutual funds are 2X, the results were something like 18 million NOT using compounding (because you already get that with the leveraged accounts. Obviously some degradation will occur if you only exit longs on the close instead of the open, but like I said earlier, it's minor. Selling Longs on the open, while it helps the strategy, made only about a 5% positive difference.
One of the biggest is vfinx
Posted by rikkwan on 4th of May 2011 at 10:29 am
That's the symbol- it is the Vanguard S&P 500 fund and is very popular in 401k plans. VFINX.
Of course vfinx is the retail symbol
Posted by rikkwan on 4th of May 2011 at 10:33 am
In the 401k they have institutional classes which may be a different symbol, but vfinx is what u can look up on yahoo finance. But it is the same fund. Fidelity is also the other popular choice, such as Fidelity Magellan which is so freaking huge it is basically an S&P 500 index fund.
before inverse ETFs they had the Rydex funds
Posted by rikkwan on 4th of May 2011 at 10:43 am
So that's an option on the inverse (short) side if u r talking strictly mutual funds
I used to trade Rydex
Posted by oreo on 4th of May 2011 at 11:07 am
I used to trade Rydex funds and if I recall correctly, they gave two times each day to trade in and out of their funds. I think the first had to be placed by 10:30 AM, and that would be a morning trade then there was the EOD trade.
Jim, I'm not sure if you have to be trading through Rydex as your broker or not though to take advantage of that.
I think the study I
Posted by matt on 4th of May 2011 at 11:21 am
I think the study I had was on Rydex 2X funds and it was extremely high like 18 million, maybe 20 million, because of the compounding that would occur with the leverage. Also the prices were all end of day.
my two cents on 401K
Posted by cdjd on 4th of May 2011 at 09:32 am
a review of Matt's data shows that most of the money is made by SPY long so using an index fund that mirrors S&P should be addequate to make money. Not as much as the theoretical amount but still nothing to sneeze at
Yes! But can only get
Posted by Jim on 4th of May 2011 at 10:01 am
Yes! But can only get out end of day, not the next morning open. I'll have to wait till the END of the next day to sell the long. As I recall, there is a big difference in profit if you sell in this way....thank you all, lots to consider....
It would be interesting to
Posted by stevedfw on 4th of May 2011 at 11:12 am
It would be interesting to see what the results for the single- entry and maybe the multi-entry systems would be if you only traded the LONG signals and got out either at the end of the day of the exit signal (not the next morning) or the end of the day the following day since you cannot can only get out of mutual funds at the end of the day.
Jim, I recall penalties for
Posted by baker on 4th of May 2011 at 09:20 am
Jim, I recall penalties for trading out of funds in less than 30 or 60 days. Not sure if this was just my broker (Fidelity), but I had this restriction in one of my accounts.
No restrictions, only have to
Posted by Jim on 4th of May 2011 at 09:47 am
No restrictions, only have to pay $27 a trade for no load funds. There will be higher fees after (I think) more than 13 trades in a year, have to check further, but as I recall they weren't insanely high... so I also will have to consider that into the equation. I would assume there are others out there that have the same problems in this area I do, hope to get enough feedback to make a wise decision whether it is really worth it to use the system or not this way.
Thanks for the feedback
Thanks...
Posted by burkmere on 3rd of May 2011 at 09:22 pm
Good work... Yes, close enough! ;) About a 1% per year difference?
thanks very much for running
Posted by puma on 3rd of May 2011 at 09:45 pm
thanks very much for running those numbers. i was planning on using SH for IRAs, and figured it would be close enough for gov work, but glad to get some validation.