Posted by burkmere on 10th of May 2011 at 05:56 pm
On the long term mechanical spy system, can anyone tell me
offhand if going long with (for example) SSO and short with SDS
results in any significant decay or would a strategy like this have
significantly outperformed going long and short the spy? I
these instruments didn't exist back years ago, but maybe someone
has done an analysis.
Thanks for the help. I may have missed a discussion about this
if there was one.
burkmere - The Long Term SPX 1961 system was intended as a paint
dry system for people who generally buy and hold, or have a very
limited 401K plan through their jobs. It's not meant to trade
SPY or SSO. I envisioned that it would be for mutual funds
that follow or mirror the S&P 500 mostly for
the restrictive 401K plans that seem to propagate most
employee 401K plans.
For example, when I used to work a day job, my employer offered
a 401K plan with a selection of only about 8 different mutual funds
through Fidelity Fund, that you could pick and choose from.
For example, there was a bond fund, a money market fund,
small cap fund, large cap fund, a fund that focused on dividends,
an aggressive growth fund, a fund that tried to mirror the S&P
500 etc. From what I understand, this limited selection is
very typical for most employers 401k plans. Also I was only
allowed to make about one transaction or change per month with most
of the funds and a few of them had restrictions of 2 - 3 months, if
you made a change in a shorter time (moved in and out of the fund
quickly) you would either get charged a 1-2% fee, or a nasty letter
from Fidelity stating some bullshit about how it's better to buy
and hold and that your quick move in and out negatively affected
that dogma LOL.
Anyway, that 1961 system was developed for the common
(restricted) 401K plans out there like that that seem to dominate
most employers, where you have limited selection and where you
are redistricted from making many changes. Most
people simply put their money into those funds and never move them
out either because it's easier or because they believe the dogma of
buy and hold that is taught. The goal of that system was to
offer a long term timing model that would work with those
restricted plans, require basically no work, and of course would be
far better then simply buying and holding those funds through bull
and bear markets like most do, why not at least go into money
market or bonds during the bear markets vs riding the sine wave up
and down with the masses. That system would not interest a
trader who had options, again my other name for that 1961 system is
the 'paint dry system' because it's like watching paint dry.
Posted by burkmere on 11th of May 2011 at 12:01 am
Thanks, Matt. I understand. Some deferred comp plans (such as
mine) that are as 401ks, 457s, etc do have quite a bit of
flexibility with how often to trade/ invest, etc. For example my
employer plan with Fidelity allows for the creation of a "brokerage
link" feature which allows frequent trading of virtually any stock
or eft including SSO, SSD, etc. within that deferred compensation
account.
My plan is probably a little unusual as I work for a
pretty progressive company, but I can trade very frequently subject
to the settlement rules, etc. Given the long time between trades,
however, and doing some eyeballing of the recent activity since
2006 (when SSO and SSD were introduced) it doesn't appear worth the
risk to use the 2x funds to invest using the long term
model.
One approach, of course, could be to use a percentage of the
deferred compensation money (401k) for the long term spy system
.... but not all of it. You are certainly right, though. it does
beat the heck out of buy and hold!!
Posted by epmaruggi on 10th of May 2011 at 10:43 pm
Matt,
Have you ever considered creating a "Read this First" section of
the website that gives an overview of all the features of BPT for
new members? I've been a member for several months and am still
learning about features like the 1961 system.
Such an overview should be geared toward helping new members
develop a trading strategy in which they could get the most from
what BPT has to offer. I know I was pretty lost when I first joined
and could have benefited (and probably still would) from this.
You probably could copy what you just wrote about the 1961
system and paste it into the new section.
Posted by burkmere on 10th of May 2011 at 06:20 pm
I did join as a member of the short term system and discuss that
system on that thread. However, since the long term system is
offered to general members, I decided to pose the question to the
broader membership. So I gather you are saying the two time s&p
etfs still perform significantly better even over the very long
holding periods that exist for the long term system. Thanks for the
response(es).
Burkmere, SSO and SDS have only been in existence since 2006,
whereas Matt's long term SPY system goes back to 1961.
However, one can obviously get a feel for how SSO and SDS might
have fared over the whole period by just comparing for the five
years they have been around.
Happily, the long term SPY system triggers very few trades - if
you look at the stats via the tab, there have been only eight
trades since 2006, including the current trade. In just a few
minutes a manual check of SSO and SDS on the eight pairs (buy/sell)
of dates in question would give you the answer you are looking for.
I would do it myself, but it is 11.30 pm here and I'm going to
bed...zzz
[eye patches]
Oh. I see the distinction. My analysis was only on the 'system'
trades. Some of those lasted several weeks and even a couple
months. If the holding period is always measured in months even
years then not sure. Sorry that I misunderstood the question. My
bad.
Posted by burkmere on 10th of May 2011 at 06:40 pm
We are not to discuss the spy short system on this thread and I
wasn't referring to it; only the long term system since 1961 that
only makes a long term trade every year or so...I was just
wondering out loud if the time frame is so long whether there is
significant degradation...
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Long Term Mechanical SPY system..(not short term)
Posted by burkmere on 10th of May 2011 at 05:56 pm
On the long term mechanical spy system, can anyone tell me offhand if going long with (for example) SSO and short with SDS results in any significant decay or would a strategy like this have significantly outperformed going long and short the spy? I these instruments didn't exist back years ago, but maybe someone has done an analysis.
Thanks for the help. I may have missed a discussion about this if there was one.
burkmere - The Long Term
Posted by matt on 10th of May 2011 at 09:40 pm
burkmere - The Long Term SPX 1961 system was intended as a paint dry system for people who generally buy and hold, or have a very limited 401K plan through their jobs. It's not meant to trade SPY or SSO. I envisioned that it would be for mutual funds that follow or mirror the S&P 500 mostly for the restrictive 401K plans that seem to propagate most employee 401K plans.
For example, when I used to work a day job, my employer offered a 401K plan with a selection of only about 8 different mutual funds through Fidelity Fund, that you could pick and choose from. For example, there was a bond fund, a money market fund, small cap fund, large cap fund, a fund that focused on dividends, an aggressive growth fund, a fund that tried to mirror the S&P 500 etc. From what I understand, this limited selection is very typical for most employers 401k plans. Also I was only allowed to make about one transaction or change per month with most of the funds and a few of them had restrictions of 2 - 3 months, if you made a change in a shorter time (moved in and out of the fund quickly) you would either get charged a 1-2% fee, or a nasty letter from Fidelity stating some bullshit about how it's better to buy and hold and that your quick move in and out negatively affected that dogma LOL.
Anyway, that 1961 system was developed for the common (restricted) 401K plans out there like that that seem to dominate most employers, where you have limited selection and where you are redistricted from making many changes. Most people simply put their money into those funds and never move them out either because it's easier or because they believe the dogma of buy and hold that is taught. The goal of that system was to offer a long term timing model that would work with those restricted plans, require basically no work, and of course would be far better then simply buying and holding those funds through bull and bear markets like most do, why not at least go into money market or bonds during the bear markets vs riding the sine wave up and down with the masses. That system would not interest a trader who had options, again my other name for that 1961 system is the 'paint dry system' because it's like watching paint dry.
I understand.....
Posted by burkmere on 11th of May 2011 at 12:01 am
Thanks, Matt. I understand. Some deferred comp plans (such as mine) that are as 401ks, 457s, etc do have quite a bit of flexibility with how often to trade/ invest, etc. For example my employer plan with Fidelity allows for the creation of a "brokerage link" feature which allows frequent trading of virtually any stock or eft including SSO, SSD, etc. within that deferred compensation account.
My plan is probably a little unusual as I work for a pretty progressive company, but I can trade very frequently subject to the settlement rules, etc. Given the long time between trades, however, and doing some eyeballing of the recent activity since 2006 (when SSO and SSD were introduced) it doesn't appear worth the risk to use the 2x funds to invest using the long term model.
One approach, of course, could be to use a percentage of the deferred compensation money (401k) for the long term spy system .... but not all of it. You are certainly right, though. it does beat the heck out of buy and hold!!
Suggestion for website
Posted by epmaruggi on 10th of May 2011 at 10:43 pm
Matt,
Have you ever considered creating a "Read this First" section of the website that gives an overview of all the features of BPT for new members? I've been a member for several months and am still learning about features like the 1961 system.
Such an overview should be geared toward helping new members develop a trading strategy in which they could get the most from what BPT has to offer. I know I was pretty lost when I first joined and could have benefited (and probably still would) from this.
You probably could copy what you just wrote about the 1961 system and paste it into the new section.
-Ed
The answer to your question ..
Posted by cubby on 10th of May 2011 at 06:13 pm
.. was discussed in detail. So your assumption this was previously answered is correct.
Lately such system discussions are held in the separate SPY forum, to avoid giving away for free what many others have paid for.
But your question is a good one and deserves an answer.
In order, noand yes. The SSO/SDS approaches roughly doubled performance.
thanks...
Posted by burkmere on 10th of May 2011 at 06:20 pm
I did join as a member of the short term system and discuss that system on that thread. However, since the long term system is offered to general members, I decided to pose the question to the broader membership. So I gather you are saying the two time s&p etfs still perform significantly better even over the very long holding periods that exist for the long term system. Thanks for the response(es).
Title: SSO/SDS v SPX Burkmere, SSO
Posted by philosoraptor on 10th of May 2011 at 06:29 pm
Burkmere, SSO and SDS have only been in existence since 2006, whereas Matt's long term SPY system goes back to 1961.
However, one can obviously get a feel for how SSO and SDS might have fared over the whole period by just comparing for the five years they have been around.
Happily, the long term SPY system triggers very few trades - if you look at the stats via the tab, there have been only eight trades since 2006, including the current trade. In just a few minutes a manual check of SSO and SDS on the eight pairs (buy/sell) of dates in question would give you the answer you are looking for. I would do it myself, but it is 11.30 pm here and I'm going to bed...zzz
[eye patches]
Yes..
Posted by burkmere on 10th of May 2011 at 06:42 pm
I'll check myself...yes, I know they have only been in existence for five years...
I was being somewhat (ok, very) lazy thinking that maybe this had already been discussed/done.
Long Term Mechanical SPY system..(not short term)
Posted by cubby on 10th of May 2011 at 06:26 pm
Oh. I see the distinction. My analysis was only on the 'system' trades. Some of those lasted several weeks and even a couple months. If the holding period is always measured in months even years then not sure. Sorry that I misunderstood the question. My bad.
It's ok..
Posted by burkmere on 10th of May 2011 at 06:40 pm
We are not to discuss the spy short system on this thread and I wasn't referring to it; only the long term system since 1961 that only makes a long term trade every year or so...I was just wondering out loud if the time frame is so long whether there is significant degradation...