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Marc Cohn
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I am a patent litigator with a background in physics and electronics. I enjoy studying quantitative, rules-based investment methods through rigorous backtesting and numerical analysis. I believe that patterns exist in the market that benefit trading -- the challenge is finding them!
  • Modified GMR Signal For July 2014: SSO 37 comments
    Jun 30, 2014 1:51 PM

    Today we will receive the July signal for my modified GMR system. Unless something extraordinary happens in the next 2 hours, the new signal will be SSO.

    As of a few moments ago, the 3-month performances were:

    SSOFEZEEMILFEPPEDV
    10.29%3.59%6.35%5.44%2.50%7.04%

    Thus, today's signal is BUY SSO for July 2014.

    Cheers and good luck.

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Comments (37)
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  • Algyros
    , contributor
    Comments (110) | Send Message
     
    Could you clarify what you mean by, "This is a repeat of last month's signal," since last month's signal was ILF?

     

    Let me add that I really appreciate your posting the signals for this system.
    30 Jun 2014, 02:20 PM Reply Like
  • mbaril
    , contributor
    Comments (5) | Send Message
     
    I think that is a copy and paste typo! Last month was ILF.
    30 Jun 2014, 04:08 PM Reply Like
  • Korndog
    , contributor
    Comments (25) | Send Message
     
    Thanks again for your update. One of the things that I appreciate about your GMR system is the pure mechanical nature of each months investment decision. But I must admit that sometimes, as was the case this month, I struggle to execute the "new" selection when it appears to be extended in value. I've been kicking myself for hesitating on this month's selection, but appears the market may be pulling back to give me a 2nd chance. Curious about your thoughts of possibly using MVV in lieu of SSO as a selection? I've replicated your worksheet and for kicks have been substituting different ETF's and a MVV substitution appears to be promising. Again much thanks to you for graciously sharing your hard work; its not only been profitable, but down right fun.
    9 Jul 2014, 09:39 AM Reply Like
  • scarecrow93
    , contributor
    Comments (5) | Send Message
     
    Looks like today's signal will go right down the the wire.

     

    SSO and EEM keep swapping the top spot. Will be an interesting end of the day I think.
    31 Jul 2014, 02:30 PM Reply Like
  • IndyDoc1
    , contributor
    Comments (186) | Send Message
     
    The winner is EEM , up 1.4 %. SSO is down 2.6%.
    31 Jul 2014, 03:44 PM Reply Like
  • IndyDoc1
    , contributor
    Comments (186) | Send Message
     
    Sorry , the EEM 1.4 % performance was for last month. Over the last 3 months, EEM returned 6.5% while SSO returned 5.6 %
    31 Jul 2014, 04:55 PM Reply Like
  • Algyros
    , contributor
    Comments (110) | Send Message
     
    According the Morningstar, the total return for the past three months for SSO is 9.94% and for EEM 8.76%.
    31 Jul 2014, 05:46 PM Reply Like
  • IndyDoc1
    , contributor
    Comments (186) | Send Message
     
    You got to use the dividend adjusted price; I used Yahoo Finance
    31 Jul 2014, 06:09 PM Reply Like
  • zyus2001
    , contributor
    Comment (1) | Send Message
     
    anyone know what is the one to buy for August yet?
    31 Jul 2014, 04:08 PM Reply Like
  • Korndog
    , contributor
    Comments (25) | Send Message
     
    I got hung up on the phone this afternoon and did not have an opportunity to check the market, pretty crazy. Sure hate it when work gets in the way of having fun. I won't pretend to speak for Marc, but these are the figures I come up with. Use at your own risk; I am. According to my figures, EEM is the selection I will be going with for August. Good luck everyone.

     

    ILF FEZ EEM SSO EPP EDV
    4.51% (4.86%) 6.63% 5.41% 4.07% 5.23%
    31 Jul 2014, 06:28 PM Reply Like
  • tmdoherty
    , contributor
    Comments (523) | Send Message
     
    My spreadsheet also yields EEM as the pick for August.

     

    But I get slightly different returns:

     

    ILF: 4.61%
    FEZ: -4.74%
    EEM: 6.85%
    SSO: 5.56%
    EPP: 4.15%
    EDV: 5.37%

     

    I believe these are correct. I just now downloaded adjusted closing data again from Yahoo Finance. Korndog, maybe you were using figures that were not yet updated? Yahoo does not update the adjusted closing prices in the historical price data until several hours after the close.
    31 Jul 2014, 09:39 PM Reply Like
  • Korndog
    , contributor
    Comments (25) | Send Message
     
    tmdoherty

     

    You are correct, Yahoo data was not available when I published my message so I manually input closing prices. Too curious to wait, so my calculations were not with dividend adjusted prices.
    31 Jul 2014, 11:05 PM Reply Like
  • tmdoherty
    , contributor
    Comments (523) | Send Message
     
    Korndog, just wanted to cross-check here: I calculate a correlation between EDV and SSO of r = 0.112. Does that agree with your figures?
    31 Jul 2014, 11:24 PM Reply Like
  • Aurelia0001
    , contributor
    Comments (13) | Send Message
     
    I have a correlation of .112 too. Very slightly different returns but also EEM for August. Are you using the div adjusted prices for all months (apr-jul)? Or maybe rouding issue are causing this, without rounding I have the 3-month SSO performance at 5.408204278%.
    1 Aug 2014, 04:32 AM Reply Like
  • tmdoherty
    , contributor
    Comments (523) | Send Message
     
    Hi Aurelia,

     

    I use the adjusted closing prices, which factor in dividends and any other distributions. I download these from Yahoo Finance.

     

    The calculations are done in Excel and I use 2 significant digits. So if you are also using adjusted closing prices, then any discrepancies could just be rounding error.

     

    Alternatively, if you got your older prices some time ago and just added the closing prices from July, it is possible the prices have changed a bit because of adjustments.

     

    I suppose it is also possible that the prices on Yahoo Finance might differ slightly from prices obtained elsewhere. That sometimes happens.
    1 Aug 2014, 04:45 AM Reply Like
  • Aurelia0001
    , contributor
    Comments (13) | Send Message
     
    Must be a rounding issue then, I use Yahoo too (eg. http://yhoo.it/1rtZn1M) and I am aware of the pitfalls of not changing the older month prices.
    1 Aug 2014, 07:34 AM Reply Like
  • Korndog
    , contributor
    Comments (25) | Send Message
     
    Rechecked my numbers and I came up with the same calculations this morning. My correlation agrees with your .112, and my SSO performance agrees with Aurelia0001 at 5.408204278%. Double checked my historical prices and they are dividend adjusted. Not sure of the difference, but at least we all came up with EEM.
    1 Aug 2014, 09:14 AM Reply Like
  • Korndog
    , contributor
    Comments (25) | Send Message
     
    Meant to reply to your inquiry, but inadvertently stuck it under Aurelia0001's name below. Too big of a hurry this morning I guess. But basically my numbers didn't change so don't know where we differ. Do agree though with your correlation number of 0.112.
    1 Aug 2014, 10:16 AM Reply Like
  • tmdoherty
    , contributor
    Comments (523) | Send Message
     
    Not sure why there is a discrepancy between your figures and mine, but it bugs me.

     

    I just downloaded the monthly prices for SSO from Yahoo Finance again. The adjusted closing prices for Apr May Jun and July are 106.53, 111.22, 115.78, and 112.45 respectively.

     

    So if you subtract the adjusted close for July (112.45) from the adjusted close for April (106.53), you get 5.92; divide that by 106.53 and multiply by 100 and you get 5.56%.

     

    Agree?
    1 Aug 2014, 03:14 PM Reply Like
  • Aurelia0001
    , contributor
    Comments (13) | Send Message
     
    Terence, you need to calculate each month's performance separately and use the log/LN value. So for May it is LN(111.22-106.54/106.65). And then add up May, June and July for the final performance. If you read back on Marc's posts it's explained by Marc in the comments somewhere.
    1 Aug 2014, 04:57 PM Reply Like
  • tmdoherty
    , contributor
    Comments (523) | Send Message
     
    Hi Aurelia,

     

    I thought the two methods would give equivalent results. But I have other spreadsheets that calculate 3 month returns using the natural logs, and now I see that the results do indeed differ. Now I get:

     

    ILF: 5.67%
    FEZ: -4.86%
    EEM: 6.63%
    SSO: 5.41% (with 9 significant digits: 5.408204278%)
    EPP: 4.07%
    EDV: 5.23%

     

    Thanks for getting me back on the same page again.

     

    Looks like the monthly closing prices should be routinely uploaded again prior to calculating the returns every month because there were slight variations in the prices as adjustments trickled in.

     

    Terence
    1 Aug 2014, 08:20 PM Reply Like
  • tmdoherty
    , contributor
    Comments (523) | Send Message
     
    Sorry, typo: ILF should be 4.51%, in agreement with Korndog's figures.
    1 Aug 2014, 11:25 PM Reply Like
  • Algyros
    , contributor
    Comments (110) | Send Message
     
    So, pending Marc's August post, are we fairly sure that the system switches to EEM this month?
    1 Aug 2014, 07:26 AM Reply Like
  • tmdoherty
    , contributor
    Comments (523) | Send Message
     
    I don't think there is any disagreement. EEM is clearly the pick for August.

     

    FWIW, several other TAA strategies that I track have also picked EEM as well. So there is some consensus here among similar systems.

     

    This will be a very interesting month, because from a technical standpoint, EEM looks very weak. There are clear technical sell signals in place on the daily chart and the weekly chart is showing early sell signals as well. Both charts show overbought conditions. So if EEM flourishes despite the deteriorating technical situation, that will be very interesting indeed.

     

    Terence
    1 Aug 2014, 02:43 PM Reply Like
  • Hank Pong
    , contributor
    Comments (14) | Send Message
     
    EEM
    2 Aug 2014, 01:04 AM Reply Like
  • TrickPony
    , contributor
    Comments (29) | Send Message
     
    Has Marc abandon this system?
    2 Aug 2014, 11:31 AM Reply Like
  • Algyros
    , contributor
    Comments (110) | Send Message
     
    You might want to take a look at Varan's version of this system. It also just switched to EEM.
    2 Aug 2014, 11:58 AM Reply Like
  • tmdoherty
    , contributor
    Comments (523) | Send Message
     
    There seems to be consensus: all the versions of this strategy that I am aware of have picked EEM.
    3 Aug 2014, 02:13 AM Reply Like
  • olmendreef
    , contributor
    Comments (37) | Send Message
     
    Hi everyone,
    Though I like the strategy, and the backtests look great, don't you guys find it a bit uncomfortable that a last day surge or drop of any of these ETFs may change the signal for the next month? We look back 3 months, but a the last hour prices can still change the signal....
    Makes me uneasy :)
    If you would set the 3 months period on another day than the last day of the month, the signal would be different.
    Any thoughts?
    5 Aug 2014, 07:29 AM Reply Like
  • nike X
    , contributor
    Comments (25) | Send Message
     
    Hello...
    I have not been active in this discussion, but have been following along for several months. Your observation is true and it also applies to other strategies that track momentum ETFs, including Mr. Grossman's, as well. For sure, just slight changes, such as not using the adjusted closing prices from Yahoo, or shifting just one day in either direction, will skew the results.

     

    In following this strategy, I take confidence in knowing it has been statistically optimized, comfortable that it will be correct only about 65% of the time, and that those odds are better than anything I have ever devised or seen published.

     

    I look forward to further participation in this strategy and these discussions. I hope Marc Cohn is well and that his absence of comments here are temporary.

     

    Regards
    5 Aug 2014, 09:33 AM Reply Like
  • tmdoherty
    , contributor
    Comments (523) | Send Message
     
    Hi olmendreef,

     

    I agree that's a concern. Undoubtedly that leads to some losses in backtesting, and has and will continue to lead to some losses in forward trading as well.

     

    I suspect this happens infrequently however. Or, that it doesn't matter much when it does happen, because the ETFs vying for the top spot tend to both do well more often than not. If one or both of these were not true, we would not see good returns with the strategy.

     

    The only alternative explanation I can think of is that the strategy thus far has just been lucky. But it is very difficult to believe that a string of luck could hold up for 10 years of backtesting and now I think about a year of forward trading.

     

    Terence
    5 Aug 2014, 12:56 PM Reply Like
  • olmendreef
    , contributor
    Comments (37) | Send Message
     
    Thanks Nike X,
    so do I. Hope everything is fine with Marc
    5 Aug 2014, 09:45 AM Reply Like
  • Algyros
    , contributor
    Comments (110) | Send Message
     
    I too hope that Marc's absence is simply due to work obligations. I miss his always interesting ideas.
    5 Aug 2014, 12:52 PM Reply Like
  • nike X
    , contributor
    Comments (25) | Send Message
     
    BTW, my results for the August signal and cash stop correlation agree with Korndog, Tmdoherty (adjusted Aug 1), and Hank Pong above. EEM
    5 Aug 2014, 01:40 PM Reply Like
  • Algyros
    , contributor
    Comments (110) | Send Message
     
    On the sad chance that Mr. Cohn has stopped posting here, does anyone have a streamlined way to calculate the monthly picks of this strategy (including the go-to-cash "pick")?
    9 Aug 2014, 04:19 PM Reply Like
  • olmendreef
    , contributor
    Comments (37) | Send Message
     
    for the 3M performance I use Yahoo Finance where you can plot all the ETFs on one chart and easily view the 3M performance. Also on this site http://bit.ly/1sLLp96
    you can enter the ETFs, lookback 3months, invest in top 1 and see what comes out.
    For the cash-stop it's a bit more difficult...
    10 Aug 2014, 07:03 AM Reply Like
  • leon817
    , contributor
    Comments (2) | Send Message
     
    Thanks for the Site Olmendreef!
    13 Aug 2014, 03:17 PM Reply Like
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