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[exactly]

Hi dear SSPs,

After so many years, I come to you with the last dark point in my understanding of your re balancing strategy.

As you know, years ago, I had made a spreadsheet (as a matter of fact 5, for Portfolio UPM v1 to v5), applying your allocation strategy.
Even if I have used it more or less all those years, I keep updating the data every evening.
And every evening (almost), my theoretical results match yours exactly, so I really thing that I have well implanted the formulas.
The exceptions are Monday, (and sometimes Tuesday), if there were stocks to sell.

I have tried to re-read so many posts, but I couldn't find the answer:

If a stock is to be sold, what weight does it have in the total weight before Monday's open?
Does it keep it performance weighting?

I now refer in particular to your post in reply to Victor (I miss all them when this forum was so active, but I guess life goes on).

http://www.superstockpicker.com/forum/index.php?topic=3.msg876#msg876
(Reply # 6, Dec 2 2007)

In principle:
a) we are fully invested,
b) we re balance only when there are new orders.

This implies that all buy and sell transactions will be made the same day, and then nothing will be changed until the next orders will come in.

So let us assume we are Sunday Feb. 22, we prepare our next day transactions for Portfolio UPMv1.
Even if your performance will be calculated with the Monday's closing prices, in practice, the idea is that we will sell and buy during the market hours.

2 stocks to buy: no problem: weight is 1

Now what about 2 stocks to sell:
If CXR was not to be sold, its weight would be 1.0396.
If RIC was not to be sold, its weight would be 1.2118

For sure, I can't sell more then I own, but if apply to them the weighting formula, these 2 stocks receive a weighting that could (should?) have been added to the stocks that are already own but will be readjusted.
(Not talking of the new ones that each receive a weighting of 1)

My  spreadsheets used to keep the stocks weighting value.
But, logically those stocks weights should be zero.
Is this what your program does? Or do these stocks keep their full weights in the calculation if the total weight?

This week-end, I have done many tries.
My goal was to find weight values so that, assuming that all transaction were made at Friday's close, I'd come to a acceptably close match to the total value of my portfolio as on Friday night.

And I get this only by giving the stocks to sell a weight of zero.
So my new (pseudo) code is:

IF stock(x).order = "SELL" then
stock(x).weight = 0,
ELSE
IF stock(x).order = "BUY" then
stock(x).weight = 1
ELSE
stock(x).weight  = 1 + stock(1).performance
END IF

For sure I am talking pure theory, I'll never change....

Thanks again,

Louise

Thank you for this rapid response!
The stock is VERY high. Up 120 % last 12 months!

I am afraid there will be some kind of correction before it reaches Portfolios 2 or 3.
But your system always pick stocks that have already gained a lot, and you succeed most of the time.

You have teach me "Buy high, sell still higher!"

And I just wanted to add that I was very sorry you (and all of us) for what happened to NRI two weeks ago! A few months ago, I had made a good profit on a short on this stock.

Bad lucks happen, and pharmaceutical are always risky, but rewards are often spectacular too.

Louise

Hello,

Sorry for the error, our tool had caught the wrong name for this symbol.
It will be corrected very soon.

We were indeed meaning Currency Exchange International, Corp.

See it here:
http://web.tmxmoney.com/quote.php?qm_symbol=CXI

Hi SSP,

Your last order letter says to buy CXI, Comnetix Inc.

But all I find about Comnetix Inc. is that it is a privately owned company

http://www.manta.com/ic/mtzm3y1/ca/comnetix-inc

(Used to have the ticker CXI (2006) :
http://business.highbeam.com/1758/article-1G1-147555773/comnetix-inc-expands-presence-western-us-contract-nevada )

I also found a CXI,CORSAIR EXPLORATION INC
http://www.tbsp.com/public/SYMBOLS/canadasysm.htm
doesn't seem to exist anymore either.

The only thing that I find under this ticker is
CXI Currency Exchange International, Corp.
The stock really has had a fantastic run!
Not sure if I would like to buy at such a high price, but you usually choose them after they already had a very big run up.
Is this what you mean?


Thank you.

Louise

[everything]

Hi SSP

Thank you for this reply, and sorry that I did not reply earlier

There is no use of the next day open price in the process

This is what I thought.

I had written in my post:
  We publish the results of our timing using the close price of the day the signal is generated and the next day open price.

This is not something that I got out of nowhere.
Before writing, I had reread everything that had been written about the MTI when if came out, and copy-pasted this.
But now, I can't find it anymore.

BTW, even if not recent, I find that your forum program stays one, if not THE best that I can find on the web.
Even after years, it relatively easy to find back an old post.
Please do not change it ever!

As for your methods of getting the open price, well I would not like to make a market order, unless the stock is extremely liquid, because I could well end up with the highest price of the day.
If I absolutely want a stock, I usually put my limit order very close to the daily Pivot point, and unless there is a big event, I get it.
But someone always managed to get it at a lower price.
As for the closing... this is somewhat easier.
But at the end of the day, it is not so important, if one is going to hold the stock at least one week.

But eventually I will ask you something else about the reallocation of the portfolio after a sell order.

Thanks again,

Louise

Hello Garilou,

The way it works is simpler than that. There is no use of the next day open price in the process:
- each day, an alert level is published. That is the level that will create a new signal if the TSX closes above or below this level on THAT day.
- if the signal is triggered, our portfolios are emptied or filled at the close price of that day.

So, as you can see, there is no use of the next day open price in the process.

Does that make all clear?

PS: You can get the open price by placing a market order or a generous limit order before the market open. Your order will then be executed at the open price for that day.

Hi DCA,

Will you ever receive this reply?

I just saw it, the forum has not been very active since so long.

But I was exactly thinking about the same thing not long ago.

On one hand, yes the right wing always wins.
This is nothing new.
Think what happened in the 19th century: all the big manufactures allowed mass production thank to the vapor motors, and there were desperate artisans, who went out of job (especially in the thread mills), and ended up in the coal mines!
Together with their wives and kids!
But this is only one example.

The rich (or the most inventive) wins, the poor or the less adaptive, looses.

I hate to sound like a social Darwinist.

But since the past crisis has last so long (and we might be at the beginning of a new one), every news that unemployment was higher was bad for the market as a hole, but good for the company that announced layoffs.
If it wasn't for the FDA that made it so that every bad news became good, we might not have had this record bull market.

Then, once the markets came up to record levels, laying off was a bad sign.

But the fact is that companies have increased their "productivity" by using your services. One employee to control the robot that replaces at least 10 to 20 employes!

In the moment, it seems that we are living part your scenario 1, and part the scenario 3.

Neither Canada nor the US seem to want the scenario 2.
And the scenario 3, considering the "internet of the thing", all those clouds so tempting for the hackers, but promoted as if no company could manage its data it-self, seems somewhat dangerous to me.

I admire so much the Americans (not for everything my God no!), but for their resilience.
How they can help each other, get ideas and start new projects.
And this they can't... that must take 3 jobs per day

Lots of people do not want to live on welfare, and those who do are rarely "lazy", and have good reason to do it.

The biggest limitation is the availability of education.
You could not have built your carrier in helping companies to put employees on the street if you had not had proper studies.

But part of scenario 2 is important. Not nationalizing industries, but providing for healthcare and affordable education.

I make my-self no illusion: the rich will always be better treated , whether it is health or education.

So I think that not all 3 scenario will happen one after the other one, but entangled, each one being heavier as the other one according to the voters.
In this, I think we have more chance (although getting rid of Harper will be difficult), because in the US, voting is the biggest farce in the world.

[Please do NOT take this as a critic: one mail per day is enough work.]

Hi again SSP,

I still think that there is an ambiguity, not in the MTI itself, but in the presentation of the file that you referred me too:
http://www.superstockpicker.com/marketTiming_history_S&P_TSX.csv

I understand that this sheet presents the results of the calculation of the MTI after market close.
Although, reading back your very first post, it is not as simple as that:

We publish the results of our timing using the close price of the day the signal is generated and the next day open price. In one case, you buy at the close if a new UP signal is generated TODAY. In the other case, you buy the next day open price when a new UP signal is generated. While the second option makes it much easier, it also brings the performances down. You'll see with the results of this indicator on our portfolios that it would have a huge impact. We propose to solve this by publishing a LEADING indicator BEFORE THE CLOSE of the market. It would be published via a feed and on the website. So, you will be able to react fast if a new signal is generated. Everyday, we would also record the CONFIRMED indicator that should be the same as the LEADING indicator except in a few little number of occurrences (huge move in the last minutes of trading or when the trend is very weak)
.

This is quite confusing: if the MTI uses the close of a day AND the open of the next day (something that after more then 10 years I had forgotten) it means in some way that it is one day late?
This part of the first post (ie: publishing a LEADING indicator BEFORE THE CLOSE of the market.), as far as I know, has never been implemented.

I doubt that you will ever do it.
Please do NOT take this as a critic: one mail per day is enough work.

But your .cvs file should show (for information only - since we all accept that the recipe is secret ) which open number you used: It look like if only the TSX closing price was used.

The email that you send to us says clearly that the level is for the next day, and the signal will change from down to up or reverse, eventually during the day, according to the next day behavior of the TSX.

To illustrate what I mean, I join a Excel book with an alternative, showing on the left side your point of view, and on the right side, what the user sees for the next trading day.

I do not mean that you should change your sheet, because at the end the result is almost the same. But it explains my problem expressed in my previous post.

Please show me where I am mistaken.
Thank you.

Louise

PS: who has ever been able to buy at the "open price"? is it day dreaming?

PS 2: Since the Excel files cannot be appended, it can be found at :
https://www.dropbox.com/s/izakiofbo5irjai/Alternative%20presentation%20of%20marketTiming_history_S%26P_TSX.xlsx?dl=0

It will be eventually modified according to your comments.

The figure shown in the file for a given day is the alert level used for the next day.

You also have the signal themselves to help you understand the data.

On a given date, we calculate the alert level for the next day, it is saved in this file and given in the email and on the site. That's the same value for the same day as we discussed in the first post of the thread.

I hope this clarifies

[for]

Thank you,


Still:
From the link that you sent to me:
31-Dec-2014,TSX close: 14632.4, MTI 14576.249 (sent on Dec 30 for Dec 31)
I just checked my spreadsheet again.
I had the same values for the MTI, and for the TSX as I see on that page.
This should mean that the on Dec 31, the TSX closed higher then the MTI signal, and the signal should have turned to UP, for Jan. 02?
Am I wrong again?