Buy/Sell Triggers

[Victor]

Hello SSP,

I'm wondering how the MTI is to be followed.  Are the signals acted on between weekends?

For example, let's assume the portfolio is fully invested and the TSX breaches the alert level. Do you sell all holdings immediately or wait until after the weekend (when the emails are sent out).

On the inverse case, assuming we are in all cash, are all the purchases done at the close on the day following an upside breakthrough the alert level?  Or do we wait 'til the next Monday?

Thanks,

Victor

[Super Stock Picker]

Hi Victor,

Yes, the MTI signals can force you to buy and sell between weekends. The MTI signals can occur any day of the week and then are not synchronized with the portfolios updates. By the way, on the day the TSX breaks the alert level (and so a new signal will be generated), you have to sell all the portfolio in this session. We will record the sells at the close price as usual.

That's how the theory is. If a signal is generated the day before a portfolio update, it may make sense to wait one extra day. It can saves a few stocks that would be hold a single day.

The thing is that all what is publish on our results take into account an immediate action following the new signals. Another behavior may make sense as well, but the results may differ from ours and we can not predict if it could be better or worse.

[Victor]

Thank SSP Admin,

From a Process perspective:
1) We must keep track of weightings using the original portfolios (I wish you would post the weightings!!)
2) Each day
   a) get alert level from SSP
   b) near the close, check the TSX to see if it will breach the alert level
   c) if a breach of the level is taking place, buy/sell accordingly.

Seems easy enough to follow.  However, the one piece missing is the weighting amounts.

I'll have a look around, but do you have a quick link to a table of the buy/sell triggers with dates?  Even better, do you have a table of dates, MTI alert values, and Buy/Sell triggers (for each trading day)?

If you do I'd like to test a theory on using the double leveraged HXD as a hedge.  Here's the idea:
purchase the SSP portfolio w/o margin, on a MTI sell alert purchase HXD to an amount that is half the value of the SSP portfolio on margin.  There should be plenty of margin to get this done.

Potential downsides:
TSX and SSP portfolio don't track and you lose on both sides.
The tracking works, but the HXD position stays on for a protracted period, costing margin interest.  I suspect the latter is a minor nuissance as down moves are usually short or fierce.
In general I like the idea because it's the action of the TSX that is triggering the signals, not the contents of the portfolio.  A study would reveal if the SSP portfolio outperforms the TSX or if it's a leveraged version of the TSX in BOTH directions.  What I mean here is it will be interesting to see if the SSP portfolio performs better than the TSX on the downside.

Cheers,

Victor

P.S. something's happened to the edit box, the scroll bar jumps at the bottom and makes it very difficult to post.
P.P.S. The scroll bar is extremely annoying.  I can't see what I'm typing.  ugh....

[Super Stock Picker]

Thank SSP Admin,

From a Process perspective:
1) We must keep track of weightings using the original portfolios (I wish you would post the weightings!!)
2) Each day
   a) get alert level from SSP
   b) near the close, check the TSX to see if it will breach the alert level
   c) if a breach of the level is taking place, buy/sell accordingly.

Seems easy enough to follow.  However, the one piece missing is the weighting amounts.

We agree. At the current time, you need to calculate the weights by yourself and we want to close that hole.
By the way, if you dig on the forum, you can find some Excel files that have been shared by other members that does this calculation.

[Super Stock Picker]

I'll have a look around, but do you have a quick link to a table of the buy/sell triggers with dates?  Even better, do you have a table of dates, MTI alert values, and Buy/Sell triggers (for each trading day)?

If you do I'd like to test a theory on using the double leveraged HXD as a hedge.  Here's the idea:
purchase the SSP portfolio w/o margin, on a MTI sell alert purchase HXD to an amount that is half the value of the SSP portfolio on margin.  There should be plenty of margin to get this done.

Potential downsides:
TSX and SSP portfolio don't track and you lose on both sides.
The tracking works, but the HXD position stays on for a protracted period, costing margin interest.  I suspect the latter is a minor nuissance as down moves are usually short or fierce.
In general I like the idea because it's the action of the TSX that is triggering the signals, not the contents of the portfolio.  A study would reveal if the SSP portfolio outperforms the TSX or if it's a leveraged version of the TSX in BOTH directions.  What I mean here is it will be interesting to see if the SSP portfolio performs better than the TSX on the downside.

Cheers,

Victor

Hi again Victor,

If you look at this thread, you'll find historical information we have published when we released the results of our study about the MTI:
http://www.superstockpicker.com/forum/index.php?topic=741.0

Also, I remember that Louise has recently posted a historical file of the MTI signals which includes more data after our study release.

In the results of our study, we show that using our MTI UP signals to buy something that returns 2 times the market was a good option.
But, during the DOWN signals, we did not find that was a good time to do anything else that being cash. We haven't tried to hedge SSP during these times though. That could be a good option as the purpose is to reduce volatility and hedging could achieve that at a lower cost than selling and rebuying all the portfolio.

In any case, we plan to release more data, in a more efficient way, on the page that describes the MTI. That would allow this kind of study to be easier to do as the data would be one click away...

Do not hesitate to post your findings or any question you'll have during your research.