MarketTrak Question/Comment Message

Posted By: Chris J   Date: Thu Jun 3, 2010

Title: Frequent trades & 5-day model.

  Hi Rich,
  I have observed that the 1-day model has had reasonably frequent trades over the last few months.
  I understand that this 1-day model has backtested with a greater return, however the frequency of trades is going against the statement of "trading at most a few times a month" in addition to additional commission costs.
  This frequent trading is also counter productive when trading funds (like my 401K) as there is also 1 day delay in the order being processed.
  With that in mind, how is the 5-model progressing with the thought that it is less volotile that the 1-day with a longer term viewpoint?
  Also, is it correct that the 5-day signals have a 2 day delay? I.e. If the ANO goes cash today, you wait 2 days before acting?
  Any other thoughts, input or comments most welcome.

  Volatility has been extremely high lately so I am not surprised that the 1-day model has changed trading position more than "a few times a month." This is a 1-day model and if it was 100 percent accurate, it would be changing position almost daily.

 The 5-day model has a smaller return mainly because it doesn't change position as often as the 1-day model. The intent of the 5-day model is to give you a longer term perspective of the market's direction. I don't trade on this model but it does at times influence the size of my posit ion. The 1-day model is our standard and we base our performance data on its results. The 5-day model does have a two day delay and your example above is correct.

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