Track Record (Market Timing)

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.

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%
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%
2012-Jun-01 SELL (Short) 128.44    
2012-Jun-08 exit 134.19 -5.75 -4.5%
2012-Jun-08 BUY (Long) 134.19    
2012-Jun-25 exit 131.70 -1.80 -1.3%
2012-Jun-25 SELL (Short) 131.70    
2012-Jul-27 exit 138.57 -6.87 -5.2%
2012-Aug-10 BUY (Long) 140.60    
2012-Oct-19 exit 143.20 3.38 2.4%
2012-Oct-19 SELL (Short) 143.20    
2012-Nov-19 exit 138.89 4.31 3.0%
2012-Nov-19 BUY (Long) 138.89    
2013-Feb-21 exit 151.14 13.27 9.6%
2013-Feb-21 SELL (Short) 151.14    
2013-Mar-04 exit 153.66 -2.52 -1.7%
2013-Mar-04 BUY (Long) 153.66    
2013-Apr-03 exit 155.43 2.46 1.6%
2013-Apr-03 SELL (Short) 155.43    
2013-Apr-08 exit 154.14 1.29 0.8%
2013-Apr-08 BUY (Long) 156.50    
2013-Apr-15 exit 156.29 -0.21 -0.1%
2013-Apr-15 SELL (Short) 156.29    
*last   154.14 2.15 1.4%
         
  Winning %   53.6% 53.6%
  Ave Win/Ave Loss   1.6 1.6
  Profit Factor   1.9 1.9
  Count   28 28
         
    SPY Point Compounded Trade End
      Return Max Drawdown
Market Timing since Apr 2011 32.50 24.7% 16.09%
Buy & Hold SPY since Apr 2011 24.15 18.4%  

Note of dividends paid of $0.614, $0.688, $0.688, $0.779, $1.022, $0.694

Discussion

11 thoughts on “Track Record (Market Timing)

  1. 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 am
  2. Hello,

    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 am
    • The 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 pm
  3. timely 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 pm
  4. Hi, when are you going to update your track record above? It’s currently stuck at 21 Feb 2013.

    Posted by Anonymous | March 20, 2013, 11:01 pm
  5. Prefer your previous presentation of yearly performance. Why did you change it?

    Posted by Anonymous | March 21, 2013, 10:34 pm
  6. Do you practise scaling or is it always 100% either direction? By the way, looks like you have not updated in a while.

    Posted by Anonymous | May 1, 2013, 2:54 am

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