Past postings for the TbR page with S&P500 and the VIX

Created and maintained by Dimitrios D. Thomakos, © 2008

 

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06/19/2008 – Been away for a conference so the webpage is updated with a two week delay. But the prediction of the Friday model, for the week of 06/02/2008, which was the latest update before I went away, was a big success. The VIX increased by over +25% and now the Friday model’s cumulative return is exceeding +70%! The prediction for this Friday and the coming Monday is again for the VIX.

 

06/04/2008 – The models are still going strong...next week’s recommendation is a rotation on Friday from the S&P500 to the VIX but the Monday model still recommends to stay with the S&P500...we will see..

 

05/27/2008 – We are back!!! The signal for a switch to VIX was, in the end, correct and the models re-bounced back sharply. The Friday model hit an all-time high exceeding a cumulative return of 40% in 18 weeks while the Monday model is up again to over 25% in 19 weeks. The next recommendation is a rotation back to S&P500...

 

05/23/2008 – With a slight delay in reporting, the new recommendation is a switch to the VIX for both models. While the Friday model had gains the Monday model suffered another loss although the signal for the VIX can be seen as correct, given the VIX’s evolution the following days of the week (for example, the Monday model would have had a loss if the position was closed on Wednesday rather than Monday). There is more need for active risk management along with the recommendations of the model...

 

05/12/2008 – This week’s recommendations were realized and brought the TbR strategies back on track. The Friday recommendation to stay with the VIX was the most successful since the positive gains of the VIX made up the losses we had the previous two weeks and brought the cumulative strategy return back to 21%. But what was more interesting (and supporting of the underlying models) was that this Monday’s recommendation was for the S&P500 – a rotation and a different prediction than the Friday model – and it was very successful. Today the market had a very good day and the S&P500 rose dramatically compared to Friday and almost reached past Monday’s level. It is also interesting to note that the coming Friday and Monday recommendations are again not the same (as they were this week) and we have a rotation from the VIX to the S&P500 for Friday and a rotation from S&P500 to the VIX for Monday. Lets see…

 

05/06/2008 – Past week’s recommendations did not materialize and we had a two-week-in-a-row drop in the strategy’s performance. While the strategy for both the Friday and Monday models still outperforms by a wide margin both assets, the last two weeks had drastically reduced the cumulative value of the strategy. However, we have seen such large movements before (due to incorrect forecasts) and it is anticipated that we will recover from this in the next couple of weeks. For the following Friday the recommendation is to stay with the VIX while for the following Monday the recommendation is a rotation to the S&P500. The former recommendation is strong across all evaluation horizons while the latter is much weaker. Have a look at the new table in the beginning of the page and the new column that has been added to the evaluation tables in the performance section below…

 

04/29/2008 – Last week’s recommendation for the VIX did not materialize…Its not that the S&P500 had large gains, a modest half-a-percent in both Friday and Monday but the VIX moved more sharply. The gains of the week before were reduced by half for Friday and almost all for the Monday model. For the coming week the signal (stay with the VIX) for Friday is not very strong or uniform across evaluation horizons while is much stronger and uniform for Monday. Lets wait and see…

 

04/22/2008Wow!!! For the first time, in any of the TbR projects and in any evaluation, the sign success ratio exceeds 70%! The last 5 weeks had 4 rotations in the Monday model and they were all accurate! Both models were successful in their last recommendations and the cumulative return is now over 25% in the past 13 (Fri) and 14 (Mon) weeks – compare to about 5% for the S&P500 and the abysmal performance of the VIX. The two models have converged in their performance and its interesting to see whether this good run will continue…

 

04/15/2008Back on track!!! The markets may have had a bad week, with the S&P500 falling over -2.5% but the two models are now back on track (especially the Friday model that was hit hard by the VIX recommendation that slashed its cumulative return in half…). Both recommendations for past Monday and Friday were realized and the two models are now moving together, see the figure above, with a cumulative return since the beginning of the project of over +20%. The individual assets are lagging way behind, with the VIX of the Monday model having a return of +3.95% and the S&P500 of the Friday model having a return of +0.58%. The new recommendation for both this coming Friday and Monday is a rotation for the S&P500. Note that the sign success ratio for the Monday model is now at 69.2% over the duration of the project.

 

04/09/2008 – Past week’s recommendations realized (again) only for the Monday model, with the VIX falling by over -10%. The Friday model recommendation was a disaster from a practical perspective with the hefty 30+% return we had achieved so far dropping to about 16%. However, it is very interesting to note that the models’ cumulative worth is converging, see the new figure in the main page. The recommendations for this coming Friday and Monday are the same and are for the VIX, although for the Monday model the two longest evaluation horizons (700 and 800 weeks respectively) were indicating S&P500. 

 

04/01/2008 – Past week’s recommendations realized only for the Monday model, although for both series and both days we had negative weekly returns. The recommendations for this coming Friday and Monday are not the same as we still stay with VIX for Friday but there is a rotation to the S&P500 for Monday. Note that the Monday model’s recommendations were uniform for the S&P500 for all evaluation horizons except for the longest one (of past 800 weeks) where the recommendation was to stay with VIX. We will see...

 

03/26/2008We are back on track!!! Past week’s recommendations were all realized and the two strategies are now well back on their previous track. The trading recommendations are again uniform across evaluation horizons, a sign that the model should recover its sign prediction capabilities.

 

03/18/2008 – Last week and yesterday (Monday the 17th) were very turbulent. The Bear Sterns deal made a huge impact on the evolution of all indices. The VIX rose dramatically in both Friday and Monday so the recommendations for the S&P500 were not correct. The Monday model made an insignificant gain of 0.25% were the Friday model had an insignificant loss of -0.40%. The VIX rose by over 9% and 12% respectively. The new recommendations are again for the S&P500. Its worthwhile to point out that the strategy outperforms the S&P500 but not the VIX for the Monday model (their respective cumulative returns are -10.38% and 34.21%, compared to 6.24% of the strategy), while the strategy outperforms both indices for the Friday model (their respective cumulative returns are -2.83% and 14.66%, compared to 30.75% of the strategy).

 

03/11/2008 – And now a (:…Past week’s recommendations for the S&P500, both for Friday the 7th and yesterday Monday the 10th were not good. The markets reached a 52-week low last Thursday which was surpassed both on Friday and Monday. Anyhow, we are committed to our models and we post their recommendations without human hindsight! For this coming Friday and next Monday the models are again for the S&P500.

 

03/06/2008 – Another yes!!! The Monday-based model is on green territory since its inception (after the turmoil of the 20th of January). Its last recommendation was for the VIX which came out correct with a hefty 13% gain, vs. A loss of -3% for the S&P500. Next week’s recommendation for Monday the 10th is for the S&P500, which accords well with the recommendation for the S&P500 for this Friday the 7th. It is interesting to note that the last two weeks the recommendations were uniform across evaluation horizons and in close accord for Fridays and Mondays.

 

03/01/2008 – Yes!!! This week’s Friday recommendation was a major success. Amid lots of economic news, almost all of them not good, this past Friday were a major drawdown on the US markets. The S&P500 dropped -1.67% over the week before with the VIX advancing more than 9%. The cumulative return of the strategy over the past 6 weeks is 34%! Also of note is that the current recommendation, for S&P500, is again uniform across evaluation horizons.

 

02/28/2008 – Last Monday’s recommendation was successful and the Monday-based model is recovering in the past couple of weeks. The VIX dropped over -10% while the S&P500 had a modest gain of 1.69%. Next week’s recommendation is uniform on the VIX.

 

02/24/2008 – Last minute screw-up!!! The trading recommendation for past Friday was for VIX and all was going well during most of the trading day (click here to see the intraday evolution on past Friday the 22nd.) But a last minute announcement (“…that a bailout plan for troubled bond insurer Ambac Financial could be announced next week”) turned things upside down and VIX dropped like a stone during the last half-hour of trading. Instead of an anticipated gain the strategy lost -3.91% on the VIX with the S&P500 having a miniscule gain of 0.23% only. Was the model recommendation wrong? I think it was not, since such announcements (and their impact) cannot be predicted. This highlights the importance of exit strategies, something that is not considered as part of this project.  The recommendation for next Friday is again for the VIX (although, as in the past week, this was not a uniform recommendation across evaluation horizons).

 

02/20/2008 – Another good rotation!!! Past week’s Monday recommendation that rotated from the VIX to the S&P500 was correct. Using yesterday’s data (Monday was a holiday for the US markets) the VIX dropped by -7.56% while the S&P500 was higher by 0.72%. Not a big gain for sure but it is important to note the correct sign for the suggested asset. There is no rotation suggested for the coming week so the Monday-based model remains on the S&P500 (although, as in the past week, this was not a uniform recommendation across evaluation horizons).

 

02/15/2008 – Four in a row!!! The Friday model has scored correctly over the past month with 4 correct recommendations with 3 rotations! Was it just luck? Time will tell as the model is continuously tested. The four week (Friday) cumulative return is now 28.09% vs. 1.85% of S&P500 and -7.28% of VIX. The next trading recommendation for Friday is VIX.

 

02/13/2008 – The latest Monday recommendation came out correct. The S&P500 dropped by -3.06% on past Monday, compared a week ago, while the VIX rose by 6.01% closing the gap in cumulative value of the strategy and bringing it to $0.9484. The trading recommendation for next Monday 02/18/2008 is for S&P500, although this was not a uniform recommendation across evaluation horizons.

 

02/08/2008 – What a difference a day makes!!! The Friday model has scored a 3 out of 3 correct prediction rate! As noted in the comment below, the last prediction for VIX was realized today, as VIX rose by 15.19% over last Friday while S&P500 dropped by -4.70% (in fact the S&P500’s two week Friday-based cumulative return is basically zero).  The cumulative value of the Friday strategy is now at 26.70%!!!

 

02/07/2008 – A bad week for the Monday model...Although the markets did go down from Monday onwards (and VIX is on the rise) the Monday drop was not enough, compared to the S&P500 rise past week, to give a positive return. The signal was correct (VIX) for both Monday and Friday but it seems that a positive return will be realized for the Friday model; more tomorrow on the Friday update!

 

02/07/2008 – Check the Monday model’s performance with two additional graphs on the bottom of this page. Despite its poor performance over the past three weeks (remember that the site launched just before the turmoil of the week of January 21st) its still has a very solid short and long-run performance!

 

02/03/2008 – The Friday model has scored 2 out of two correct predictions and has yielded 11.51% over the past two weeks of operation!!! Please see below for the current wealth evaluation. Both Monday and Friday models are now predicting a rotation to VIX for the coming week.

 

01/30/2008 – The prediction for this past Monday came out correct as the S&P500 has risen compared to the week before by 3.26% while VIX dropped by -11%. Please see below for the current wealth evaluation. After the FED interest rate cut announcement is quite probable that the prediction for Friday will come out correct as well. More then on the 1st of February for the next site update!

 

01/26/2008 – The Friday trade recommendation for VIX came out correct, a 6.76% start for this week. It would have been more impressive to get the Monday (Tuesday for this week) trade for VIX correct as well, which would have meant a 30%+ start, but what the heck! Is this a sign of robustness to the day-of-the-week? We will find this out in the coming weeks!

 

01/25/2008 – The hit ratio for correct predictions over the past 100 weeks (Monday data) has reached 60%! This is the first time that I see such a high hit ratio so check Figure 3 at the end of the page for the evolution of wealth for the past 100 weeks.

 

01/25/2008 – Check the summary section below as well as the performance performace tables for the latest results. Note that the latest realized returns for past Monday are computed using data from Tue the 22nd of January (US markets were closed on Monday the 21st.) The Monday trade recommendation for S&P500 was, of course, affected by the global turmoil in financial markets but we still have to see the Friday trade recommendation that is for VIX., although the markets have recovered and that may also be affected.

 

01/21/2008 – Data update! Amid the news of (yet another) worldwide crash, I just realized that the weekly data from Yahoo! Finance that I used to launch the webpage do not correspond to the Monday daily values – they are for end-of-week, i.e. Friday! I now downloaded the daily data and extracted the Monday values as well to use in the analysis. This resulted in two changes: the trading recommendation for today was changed from VIX to S&P500 for Monday and the best performance was for 700 weeks evaluation period rather than for 800 weeks evaluation period, although the differences in final wealth are small. I will be including both series in the analysis!

 

01/17/2008 – Webpage launches!