Heartland Value Fund
Breakdown by various technical conditions:
[Monday March 20, 1995]
Just an update on some research I did this weekend. I tested the MPS algorithm on Heartland Value Fund and obtained the following results:
MACD = 50 day moving average - 150 day moving average
P = price (close)
50 = 50 day exponentially weighted moving average
150 = 150 day ema
dEMA = slope of moving average
M = MACD > 2 week moving average of MACD; m = NOT ""
P = P > moving average; p = P <>
S = slope of moving average > 0 = dEMA > 0; s = slope of moving average
HRTVX: Daily if days since signal <>
Avg: Odds: n: Annzd: % to go: & ext<10%>
All: 0.083% 51.3% 1,098 23.0%
MACD: 0.160% 54.7% 497 49.2%
P>50? 0.092% 52.9% 718 25.8%
P>150? 0.033% 50.4% 891 8.6%
dEMA>0? 0.045% 50.8% 890 12.0%
dEMA>.1% 0.099% 52.2% 600 28.1%
MPs -1.053% 0.0% 4 -92.9%
mPS -0.098% 46.9% 420 -21.8%
MPS 0.166% 54.2% 459 51.5%
mps 0.298% 53.0% 164 110.5%
11-4+MPS 0.233% 56.4% 314 78.8% 1.9% 2.6% 101.9%
11-4 0.139% 52.9% 586 41.6%
5-10 0.018% 49.4% 512 4.6%
11-1: 0.228% 56.4% 312 76.7%
MPS and mo =
11-1: 0.378% 65.6% 160 156.7% 5.6% 12.6% 299.9%
1 0.328% 70.3% 91 126.9% 3.9% 8.7% 394.1%
2 0.136% 50.6% 87 40.6% -0.5% NA NA
3 0.025% 45.3% 53 6.6% -2.3% NA NA
4 -0.042% 28.6% 14 -10.0% -3.9% NA NA
5 NA NA 0 NA NA NA NA
6 -0.177% 44.4% 9 -35.7% -1.6% -1.5% -10.2%
7 -0.253% 16.7% 6 -46.9% -1.7% NA NA
8 0.053% 57.1% 28 14.1% 0.4% -0.4% -8.9%
9 0.044% 55.0% 60 11.7% -0.1% -0.5% 72.5%
10 0.053% 42.9% 42 14.1% 1.0% 3.8% -34.4%
11 0.244% 62.2% 37 83.8% 6.4% NA NA
12 0.674% 56.3% 32 436.0% 9.5% 21.2% 154.0%
This is a very busy table, but basically confirms that the MPS combination I developed is successful at identifying time periods of significant profitability. Overall, HRTVX is a very profitable fund, with an average daily return of .083%, and is up over 50% of the time during the study period. If one isolates those periods in which the MACD is greater than its 2 week moving average, then the rate of return roughly doubles, which more than doubles the an annualized rate of 49.2%. It also illustrates that other indicators, such as P > 50 and P > 150 are either marginally or not successful at identifying profitable periods. However, when all the elements are put together, the results are impressive: .166% daily return, or over 51.5% annualized.
Note that once again the mps combination did NOT lead to a period of maximum shortability, but rather a period of tremendous profitability!
Now, if one examines all monthly returns where MPS, which should be taken with a grain of salt when the n is less than 20 or 30, some tremendous seasonal correlations are seen. For example, the average November day in which MPS returns 83.8% annualized; for December this figure is a whopping 436.0%, and January is 126%!! Clearly, buy signals during this period should be taken tremendously seriously and we should be leveraged to the hilt at those times. I do not believe the small number of April to July data are reliable.
Note also the "% to go" column. This is a figure that reflects how much one would gain or lose if one purchased on a given day and held until the buy signal expired. The average "to go" amount was 6.4%, 9.5, and 3.9% for November, December, and January respectively, meaning that if one knew nothing more than the fact an MPS buy signal was generated and the month, you could expect an almost 10% return in December if you rode out the buy signal to completion. Leveraged, this works out to 19% (- margin interest). But look what happens if I only buy when within 10 days AND 10% of a buy signal in December: then my average gain to expiration would be 21.2%. Leveraged, this translates to over 40%! Note that October, December, and January are ALL optimal (in terms of % to go) when only signals less than or equal to 10 days and 10% old are considered.
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