TimelySetup
Objectively defined non ambiguous Market Reading.
The following are forward-looking market timing track record since the blog started. Next day opening price of SPY is used to calculate gain/loss so that we can take advantage of it in a realistic setting. SPY is used for reference only. You can use other instrument of your liking, e.g. TNA, options, futures. For historical back-testing results, please read the last section of Market Breadth Pattern guide.
Blog started on late April 2011. From Dec 14, 2011 to Jan 5, 2012 I went for holiday and did not update the blog.
Year 2012 (from Jan 18)
| Date | Action | SPY Next Day Open | Gain/Loss | In Percent |
| 2012-Jan-18 | BUY (Long) | 131.22 | ||
| 2012-Mar-02 | exit | 137.10 | 5.88 | 4.5% |
| 2012-Mar-13 | BUY (Long) | 140.10 | ||
| 2012-May-04 | exit | 136.48 | -3.01 | -2.1% |
| 2012-May-08 | BUY (Long) | 135.10 | ||
| 2012-May-15 | exit | 133.92 | -1.18 | -0.9% |
| 2012-May-15 | SELL (Short) | 133.92 | ||
| 2012-May-23 | exit | 132.63 | 1.29 | 1.0% |
| Winning % | 50.0% | 50.0% | ||
| Ave Win/Ave Loss | 1.7 | 1.8 | ||
| Profit Factor | 1.7 | 1.8 | ||
| Count | 4 | 4 | ||
| SPY Point | Compounded | Trade End | ||
| Return | Max Drawdown | |||
| Market Timing | since Jan 18 | 2.98 | 2.3% | 3.00% |
| Buy & Hold SPY | since Jan 18 | 2.09 | 1.6% |
Note: SPY paid dividend of $0.6139 on Mar 16, 2012.
Year 2011 (from April 20 to Dec 14)
| Date | Action | SPY Next Day Open | Gain/Loss | In Percent |
| 2011-Apr-20 | BUY (Long) | 133.79 | ||
| 2011-May-09 | exit | 135.17 | 1.38 | 1.0% |
| 2011-May-11 | SELL (Short) | 135.67 | ||
| 2011-May-26 | exit | 133.00 | 2.67 | 2.0% |
| 2011-May-31 | BUY (Long) | 134.51 | ||
| 2011-Jun-01 | exit | 131.96 | -2.55 | -1.9% |
| 2011-Jun-01 | SELL (Short) | 131.96 | ||
| 2011-Jun-23 | exit | 128.27 | 3.69 | 2.8% |
| 2011-Jun-23 | BUY (Long) | 128.27 | ||
| 2011-Jul-13 | exit | 132.09 | 3.82 | 3.0% |
| 2011-Jul-21 | BUY (Long) | 134.52 | ||
| 2011-Jul-26 | exit | 132.59 | -1.93 | -1.4% |
| 2011-Jul-27 | SELL (Short) | 130.60 | ||
| 2011-Aug-09 | exit | 115.26 | 15.34 | 11.7% |
| 2011-Aug-18 | SELL (Short) | 112.96 | ||
| 2011-Oct-04 | exit | 112.62 | 0.34 | 0.3% |
| 2011-Oct-04 | BUY (Long) | 112.62 | ||
| 2011-Oct-17 | exit | 120.14 | 7.52 | 6.7% |
| 2011-Oct-17 | SELL (Short) | 120.14 | ||
| 2011-Oct-21 | exit | 124.17 | -4.03 | -3.4% |
| 2011-Oct-27 | BUY (Long) | 128.00 | ||
| 2011-Nov-09 | exit | 124.79 | -3.21 | -2.5% |
| 2011-Nov-09 | SELL (Short) | 124.79 | ||
| 2011-Nov-30 | exit | 124.85 | -0.06 | -0.0% |
| 2011-Dec-05 | BUY (Long) | 126.21 | ||
| 2011-Dec-14 | exit | 123.03 | -3.18 | -2.5% |
| Winning % | 53.8% | 53.8% | ||
| Ave Win / Ave Loss | 2.0 | 2.0 | ||
| Profit Factor | 2.3 | 2.3 | ||
| Count | 13 | 13 | ||
| SPY Point | Compounded | Trade End | ||
| Return | Max Drawdown | |||
| Market Timing | since Apr 20 | 19.80 | 15.75% | 8.20% |
| Buy & Hold SPY | -10.76 | -8.04% |
Discussion
6 Responses to “Track Record (Market Timing)”
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considering how trend following was very challenging in 2011, you did a good job! your thoughtful and thorough analysis definitely paid dividends
Posted by Anonymous | January 26, 2012, 3:18 amthank you. i hope 2012 would be even better.
Posted by timelysetup | January 26, 2012, 4:46 amHello,
Can you expand upon your market state indicator and what would cause it to change to bullish? thanks
Posted by steve | January 27, 2012, 9:13 amThe broad market state is changed to Strong if there are:
* not many distribution on consolidated stocks, and
* many accumulation on consolidated stocks and up trending stocks, and
* no repeated distributions on up trending stocks, and
* market index is rising significantly together with many accumulation on consolidating stocks or up trending stocks.
What we have seen recently is modest accumulation, not the kind of heavy accumulation on large number of stocks on high volume.
Posted by timelysetup | January 28, 2012, 9:18 pmtimely can you double check your calc for win/loss ratio for 2011, I believe it is 7 wins/6 losses = 1.2? thx
Posted by mike | January 28, 2012, 5:41 pmwin/loss ratio here refers to average winning size divided by average losing size. The number of wins vs. the number of loss is reflected in winning percentage, i.e. 53.8%.
Posted by timelysetup | January 28, 2012, 9:12 pm