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Learning, Sharing, and Teaching => Investor Alley => Topic started by: Nad on March 16, 2016, 04:34:17 PM

Title: Delete
Post by: Nad on March 16, 2016, 04:34:17 PM
Delete
Title: Re: Delete
Post by: MustacheAndaHalf on March 16, 2016, 08:44:47 PM
I just looked up Canadian law on "superficial loss" rules for sales within 30 days (similar to wash sale rule in US).  If you keep selling investments after 30-31 days, you're likely to hit the superficial loss.  When you gain money you'll pay tax, but your tax losses won't help you if they are considered a 30 day holding.

You should also look at your commission costs.  If you plan to beat the market by 1%, paying 3% of your assets in commissions to do so, you're losing money overall.  With top 5 stocks you plan to pay up to 60 commissions/year, and it goes upwards to 120 and 240 commissions a year with 10 or 20 stocks.  You need to divide the cost of those commissions by the assets you plan to dedicate to this strategy.  If your costs are too high, it won't matter if you have a slightly better strategy.

Curious about one tidbit.  Your post mentions "GTAA AGG" but otherwise doesn't mention bonds (AGG being iShares Aggregate Bond ETF).  Does your approach sometimes sell all stocks and hold 100% AGG?  I don't think so, but wanted to know how "AGG" figures into your approach.

EDIT: Hit "quote" instead of "modify" earlier, now first post has all changes.
Title: Re: Delete
Post by: workathomedad on March 18, 2016, 06:47:21 PM
It looks like it would work. I ran something similar in P123 on the S&P500 using Faber's ranking a 10-month SMA.

Holding the top 10 stocks by ranking. Here's the results:

http://imgur.com/PLynakW

Top 20:

http://imgur.com/KWO81RN

You're going to have to be willing to sit through some pretty big drawdowns.

---

I had another idea. Why not use the moving average of the SP500 index itself as a signal to sell (rather than individual stocks)? The point is to get out when the whole market is crashing, not just an individual stocks. That worked much better:


10 stocks. Also remembered to use $10 commission fees and .05% slippage:

http://imgur.com/wVlXJzF