Liquidity System Sell Signal 6/27/16

Jun. 27, 2016 6:40 PM ETTLT2 Comments
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Medium-Term Horizon, Long/Short Equity, Bonds

Contributor Since 2008

born 1947. retired economic geography academic. traded mutual funds with my retirement plan into an early retirement. Currently trying to make more than I spend mostly via ETF's. I'm a Dutch Kiwi Texan.

Today (6/27/16), XLF plunged well below its sell level of $22.00. The R2000 also went below its sell level of 1085.94.

System 1 had 847 shares of IWM (bought at $104.91). IWM paid a dividend of $0.327 while held. The 3.55 p.m. price for IWM was $108.78. So the sale of the stock plus dividends comes to $92,413. The 3.59 p.m. price of TLT was $139.18 (near a record high), and so 664 shares were bought.

System 2 had 400 shares of IWM, and so their sale plus dividends came to $43,642. The system also owned 3210 shares of PTY (bought at $13.08), which paid 4 dividends for a total of $0.52. The 3.55 p.m. price for PTY was $13.90, and so the sale of the stock and dividends came to $46,288. The total proceeds of $89,930, therefore purchased 646 shares of TLT.

Both systems will sell TLT if XLF exceeds a 20-day intra-day high, adjusted for dividends. That level is $23.81 for 6/28, $23.73 for 6/29 and 6/30, and $23.64 for 7/1 and 7/5. I will update the buy levels on 7/5. If one of these levels is hit in the next week, I will not personally change my positions. That would be too much volatility for my likes.

Since I have been posting the system in real time, the first signal was a sell on 2/3/14, when the R2000 was at 1094.58, and TLT was at $109.32. The current level for the R2000 is 1089.65, which is a decline of -0.45%, excluding dividends. System 1 has had a decline of -7.59% in that time, and system 2 has declined 10.07%. So it would appear it is not doing too great, but it has been closing the gap in the last 12 months, and this has been a very choppy market for 2.5 years now. I wonder how other timing and trading systems are doing. I suspect no better, except for those that kept investors in TLT the whole time (Lacy Hunt) while all pundits kept insisting we were in a bond bubble.

I beat the system myself. As mentioned in a comment, I sold IWM at $116.2 on June 2. Luck, or a prescient analysis of the risk-reward at that time? Trading AMJ and PTY has worked well, and I have held on to REM and MORL since late February.

Disclosure: I am/we are long PTY, REM, MORL.

Additional disclosure: I have not yet bought TLT.

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