Once again today I read another Lance Roberts (whose
articles I find interesting) commentary from his website that said
no one can effectively "time the market"....meaning, in his mind,
go to 100% cash (or short) for an undefined period of time,
trade back in, and be successful doing that. If you follow Spy Pro,
or any other successful trading strategy that is out there, you
understand that Roberts' pronouncement is just more "fake news". He
also claimed that Warren Buffet wasn't a "buy and hold" investor
because he sells stocks from time to time.....really????? To me,
Buffet is a poster boy for B&H.
I have previously posted here about how I track daily RSI-2
values for the major indexes, and look for consecutive day patterns
based on those end of day values - especially for the Russell 2000
index that , in my opinion, is a pretty good barometer of the
market's up and down movement. Here is a recent EOD pattern for RUT
starting on June 19th - 71.94, 25.64, 19.48, 52.18, 81.42, 84.80,
36.10 (current day at 3:00 pm)
I count the first three of these numbers as a 3 day pattern
(71.94-19.48). That is followed by a four day pattern
(19.48-84.80). So far in 2017 there have been 14 three day
patterns, 11 four day patterns, 2 five day patterns, zero 6 day
patterns, 3 seven day patterns, and 1 eight day pattern. Everything
else is a 2 day pattern, or what you would call an up-down pattern.
There are frequent occasions where the RUT and other major indexes
will go up-down-up-down, etc for a reasonable amount of
time.
In my data, 2, 3 ,4, and 5 day reversion patterns dominate
the last ten years. Essentially, this means that the major indexes
are in a constant state of reversion to the mean from both a long
and short perspective. This is exactly why it is possible to move
in and out of the market successfully, in my
opinion.
While the current and revised Spy Pro signals have not been
delivered in "real time" for all of 2016, I took the stated S-Pro
signals and applied them to a hypothetical strategy that used XIV
for long signals, and VXX for short signals. Obviously, using the
stated EOD NAV's in these calculations is not a guarantee of the
real price that a trade might be executed at the close of the day -
but those are the values that I used in my calculations. I also
used the EOD value for long trade exits as opposed to MOO values. I
also haven't taken into account any trading costs in my example.
Trading XIV-VXX is also NOT an approach for a lot of people whose
risk profile would not match up with that amount of day-to-day up
and down volatility.
Using the Spy Pro trade dates (two exceptions for long
trades in real time I took the next day because they were reported
late by Matt)
XIV-VXX, starting with a hypothetical $10,000 balance grew
to more than $100,000 by the end of 2016!!!! This approach
spent some 91 days in cash in 2016. As of last night's close (in
real time trades) XIV-VXX was up +17.57% YTD (minus trading
costs)
Using those same 2016 trade dates for the 200% leveraged
Rydex long/short H share funds I like, the Spy Pro signals were up
+127.68% - half of that percentage with no leverage
employed.
Roberts
Posted by sbaxman111 on 27th of Jun 2017 at 03:55 pm
Once again today I read another Lance Roberts (whose articles I find interesting) commentary from his website that said no one can effectively "time the market"....meaning, in his mind, go to 100% cash (or short) for an undefined period of time, trade back in, and be successful doing that. If you follow Spy Pro, or any other successful trading strategy that is out there, you understand that Roberts' pronouncement is just more "fake news". He also claimed that Warren Buffet wasn't a "buy and hold" investor because he sells stocks from time to time.....really????? To me, Buffet is a poster boy for B&H.
I have previously posted here about how I track daily RSI-2 values for the major indexes, and look for consecutive day patterns based on those end of day values - especially for the Russell 2000 index that , in my opinion, is a pretty good barometer of the market's up and down movement. Here is a recent EOD pattern for RUT starting on June 19th - 71.94, 25.64, 19.48, 52.18, 81.42, 84.80, 36.10 (current day at 3:00 pm)
I count the first three of these numbers as a 3 day pattern (71.94-19.48). That is followed by a four day pattern (19.48-84.80). So far in 2017 there have been 14 three day patterns, 11 four day patterns, 2 five day patterns, zero 6 day patterns, 3 seven day patterns, and 1 eight day pattern. Everything else is a 2 day pattern, or what you would call an up-down pattern. There are frequent occasions where the RUT and other major indexes will go up-down-up-down, etc for a reasonable amount of time.
In my data, 2, 3 ,4, and 5 day reversion patterns dominate the last ten years. Essentially, this means that the major indexes are in a constant state of reversion to the mean from both a long and short perspective. This is exactly why it is possible to move in and out of the market successfully, in my opinion.
While the current and revised Spy Pro signals have not been delivered in "real time" for all of 2016, I took the stated S-Pro signals and applied them to a hypothetical strategy that used XIV for long signals, and VXX for short signals. Obviously, using the stated EOD NAV's in these calculations is not a guarantee of the real price that a trade might be executed at the close of the day - but those are the values that I used in my calculations. I also used the EOD value for long trade exits as opposed to MOO values. I also haven't taken into account any trading costs in my example. Trading XIV-VXX is also NOT an approach for a lot of people whose risk profile would not match up with that amount of day-to-day up and down volatility.
Using the Spy Pro trade dates (two exceptions for long trades in real time I took the next day because they were reported late by Matt)
XIV-VXX, starting with a hypothetical $10,000 balance grew to more than $100,000 by the end of 2016!!!! This approach spent some 91 days in cash in 2016. As of last night's close (in real time trades) XIV-VXX was up +17.57% YTD (minus trading costs)
Using those same 2016 trade dates for the 200% leveraged Rydex long/short H share funds I like, the Spy Pro signals were up +127.68% - half of that percentage with no leverage employed.
SO MUCH FOR NOT BEING ABLE TO "TIME THE MARKET"
Thank you for this info
Posted by goap1207 on 27th of Jun 2017 at 05:26 pm
Thank you for this info and your analysis. I find most of your posts pretty interesting and relevant.