The decline continued this week with the S&P down another -1.0%. Bonds were flat +0.0% and commodities gained +0.6% for the week. The portfolio slipped -0.1% as cash was raised to the highest level since I started this exercise. The model does seem to be protecting the drawdowns (-0.8% vs 3.1%) at the expense a smaller gains during the rallies. The model appears to be finished selling and is interested in bottom fishing LVS, and adding gas play UGI and financial BHF on Monday. equity 24.9% (-15.3%) bonds 17.1% (-5.7%) commodities 23.8% (+0.4%) cash 34.2% (+20.5%) Performance since 1/1/2021 Model portfolio +9.3%(-0.1% this week) SPY +18.1%(-1.0% this week) BND -2.2%(+0.0%) DJP +28.8%(+0.7%) 2021 PREDICTION OUTPUT Equity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 3.8% 5.7% 1/4/2021 9/17/2021 Commodity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading -0.4% -0.6% 1/4/2021 9/17/2021 Bond model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 0.6% 0.9% 1/4/2021 9/17/2021 Breadth continues to fall with 3595 (43.5%) stocks above the 50 day SMA while 4670 (56.5%) are below the SMA50. The McClellan reversed at the 50% RSI and continues to fall but still doesn't show any signs of an accelerating decline. The BDI finished its pull back and is stalled at the ATH.
The decline reversed and retraced much of the move this week with the S&P ending down -1.0%. Bonds gained +0.4% and commodities slipped -0.9% for the week. The portfolio was up +0.3% and cash remains high. I'm pretty satisfied with the strategy but the number of equities is now over 175 and it's becoming too much work to trade. Starting in October I plan to cut the number of equity positions in half and add a trend following index and sector strategy in its place. Hopefully it will result in less churn to the portfolio. equity 23.7% (-1.2%) bonds 17.1% (+0.0%) commodities 24.1% (+0.3%) cash 35.1% (+0.9%) Performance since 1/1/2021 Model portfolio +9.6%(+0.3% this week) SPY +17.1%(-1.0% this week) BND -1.8%(+0.4%) DJP +27.8%(-1.0%) 2021 PREDICTION OUTPUT Sector Model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 0.3% 0.4% 1/25/2021 9/23/2021 Equity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 4.0% 6.2% 1/4/2021 9/23/2021 Commodity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 1.7% 2.6% 1/4/2021 9/3/2021 Bond model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 0.7% 1.0% 1/4/2021 9/23/2021 Breadth may have reversed as 3752 (45.2%) stocks are above the 50 day SMA while 4540 (54.8%) are below the SMA50. The McClellan reversed at -70 and turned up with negative divergences developing. The BDI set new ATH.
The end of a down September and a nice reversal to start October, but the S&P ended down -1.0% for the week. Bonds slipped -1.1% and commodities rallied a big 6.1% for the week. The portfolio slipped -0.2% and cash started being deployed again. equity 27.1% (+3.4%) bonds 23.1% (+6.0%) commodities 33.5% (+9.4%) cash 16.4% (-18.7%) Performance since 1/1/2021 Model portfolio +9.4%(-0.2% this week) SPY +16.1%(-1.0% this week) BND -2.9%(-1.1%) DJP +33.9%(+6.1%) 2021 PREDICTION OUTPUT Sector Model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 1.6% 2.3% 1/25/2021 10/1/2021 Equity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 1.9% 1.3% 1/4/2021 10/1/2021 Commodity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 0.3% 0.4% 1/4/2021 10/1/2021 Bond model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 0.6% 0.8% 1/4/2021 10/1/2021 Breadth took a nosedive as 3088 (37.2%) stocks are above the 50 day SMA while 5206 (62.8%) are below the SMA50. Even the 200 day SMA is in play as 4173 (50.3%) are above the 200 day SMA and 4121 (49.7%) are below the SMA200. The McClellan looks to be bottoming at -92 with negative divergences continuing. The BDI continues setting new ATH's.
The first full week of October found the S&P recovering last weeks loss, ending up +1.0% for the week. Bonds slipped another -0.8% for almost a 2% loss for the month already and commodities rallied another big 2.6% for the week, now up 8.0% for the month. The portfolio was up 1.2% for a new ATH and cash still remains high at 25% of the portfolio. equity 26.2% (-0.9%) bonds 15.4% (-7.7%) commodities 33.9% (+0.4%) cash 24.5% (+8.1%) Performance since 1/1/2021 Model portfolio +10.6%(+1.2% this week) SPY +17.1%(+1.0% this week) BND -3.7%(-0.8%) DJP +36.5%(+2.6%) 2021 PREDICTION OUTPUT Sector Model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 1.6% 2.3% 1/25/2021 10/8/2021 Equity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 3.7% 4.9% 1/4/2021 10/8/2021 Commodity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 0.5% 0.7% 1/4/2021 10/8/2021 Bond model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 0.6% 0.8% 1/4/2021 10/8/2021 Breadth improved as 3213 (38.6%) stocks are above the 50 day SMA while 5112 (61.4%) are below the SMA50. The 200 day SMA was lost as 4053 (48.7%) are above the 200 day SMA and 4272 (51.3%) are below the SMA200. The McClellan looks to be bottoming, now at -82 and the BDI set another ATH before turning down slightly at the end of the week.
October rallies on as the S&P recovered +2.2% for the week. Bonds actually gained +0.4%, and commodities rallied another huge +3.2% for the week. The portfolio was up 1.3% for another new ATH and cash was almost fully deployed as almost everything shows improving numbers. equity 37.7% (+11.5%) bonds 15.2% (-0.2%) commodities 43.0% (+9.1%) cash 4.0% (-20.5%) Performance since 1/1/2021 Model portfolio +11.9%(+1.3% this week) SPY +19.3%(+2.2% this week) BND -3.3%(+0.4%) DJP +39.7%(+3.2%) 2021 PREDICTION OUTPUT Sector Model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 3.0% 2.1% 1/25/2021 10/15/2021 Equity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 4.6% 6.4% 1/4/2021 10/15/2021 Commodity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 0.5% 0.6% 1/4/2021 10/15/2021 Bond model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 0.6% 0.7% 1/4/2021 10/15/2021 Breadth improved and reversed higher as 4336 (51.9%) stocks are above the 50 day SMA while 4016 (48.1%) are below the SMA50. The 200 day SMA lost 50% then recovered as 4410 (52.8%) are above the 200 day SMA and 3942 (47.2%) are below the SMA200. The McClellan gained every day last week, now at 44 and above the RSI of 50. The BDI reversed lower all week, down 12% from the ATH.
Another week of October gains as the S&P gained another +1.9% for the week. Bonds slipped -0.4%, and commodities also slipped -1.3% after a big runup this month. The portfolio was up 0.3% for another new ATH and cash was raised with some commodity profits taken. equity 50.9% (+13.2%) bonds 13.8% (-1.4%) commodities 18.3% (-24.7%) cash 17.0% (+13.0%) Performance since 1/1/2021 Model portfolio +12.2%(+0.3% this week) SPY +21.2%(+1.9% this week) BND -3.7%(-0.4%) DJP +38.4%(-1.3%) 2021 PREDICTION OUTPUT Sector Model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 2.9% 2.1% 1/25/2021 10/22/2021 Equity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 4.8% 6.7% 1/4/2021 10/22/2021 Commodity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 14.9% 18.7% 1/4/2021 10/22/2021 Bond model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 0.2% 0.3% 1/4/2021 10/22/2021 Breadth continues to improve as 4724 (56.6%) stocks are above the 50 day SMA while 3628 (43.4%) are below the SMA50. The 200 day SMA also improved as 4452 (53.3%) are above the 200 day SMA and 3900 (46.7%) are below the SMA200. The McClellan accelerated up, now at 225 and into an overbought RSI of 81. The BDI continued it fall, down 21% from the ATH.
October ends with big gains as the S&P gained another +1.6% for the week for a +6.7% month. Bonds gained +0.5% this week and commodities slipped again -0.4%, but ended the month up +4.1%. The portfolio was up +0.5% for another new ATH and cash put back to work. equity 44.8% (-6.1%) bonds 26.1% (+12.3%) commodities 26.5% (+8.2%) cash 2.5% (-14.5%) Performance since 1/1/2021 Model portfolio +12.7%(+0.5% this week) SPY +22.8%(+1.6% this week) BND -3.2%(+0.5%) DJP +38.0%(-0.4%) 2021 PREDICTION OUTPUT Sector Model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 2.6% 2.0% 1/25/2021 10/29/2021 Equity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 5.2% 7.2% 1/4/2021 10/29/2021 Commodity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 17.7% 21.7% 1/4/2021 10/29/2021 Bond model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 0.0% 0.0% 1/4/2021 10/29/2021 Breadth slipped slightly as 4677 (55.8%) stocks are above the 50 day SMA while 3700 (44.2%) are below the SMA50. The 200 day SMA was flat as 4456 (53.2%) are above the 200 day SMA and 3921 (46.8%) are below the SMA200. The McClellan looks to be slowing, now back in overbought territory. The BDI cut through the 50 day MA, now down 37% from the ATH.
The rally rolls on into November as the S&P gained another +2.5% for the week. Bonds gained again as well +0.5% this week and commodities slipped for a third week -1.0%. The portfolio was up +1.7% for another new ATH and cash started building again. equity 49.9% (+5.1%) bonds 25.8% (-0.3%) commodities 11.9% (-14.6%) cash 12.4% (+9.9%) Performance since 1/1/2021 Model portfolio +14.4%(+1.7% this week) SPY +25.3%(+2.5% this week) BND -2.7%(+0.5%) DJP +37.0%(-1.0%) 2021 PREDICTION OUTPUT Sector Model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 2.8% 2.2% 1/25/2021 11/5/2021 Equity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading $14.59306 6.3% 8.5% 1/4/2021 11/5/2021 Commodity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading $2.85646 18.9% 22.6% 1/4/2021 11/5/2021 Bond model (ALL INSTRUMENTS AVERAGE) (AVG) Trading $0.17469 0.2% 0.2% 1/4/2021 11/5/2021 Breadth powered higher as 5635 (67.3%) stocks are above the 50 day SMA while 2744 (32.7%) are below the SMA50. The 200 day SMA improved as 4937 (58.9%) are above the 200 day SMA and 3442 (41.1%) are below the SMA200. The McClellan accelerated higher into overbought territory with an RSI of 91. The BDI continued its plunge, losing the 200 day MA, now down 46% from the ATH.
The rally paused as the S&P lost -0.3% for the week for the first loss in 6 weeks. Bonds were slammed, off -0.7% and commodities dropped for the fourth week -0.3%. The portfolio was up +0.9% for another new ATH as more cash was put to work. equity 52.7% (+2.8%) bonds 20.2% (-5.6%) commodities 20.2% (+8.3%) cash 7.0% (-5.4%) Performance since 1/1/2021 Model portfolio +15.3%(+0.9% this week) SPY +25.0%(-0.3% this week) BND -3.4%(-0.7%) DJP +36.7%(-0.3%) 2021 PREDICTION OUTPUT Sector Model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 2.9% 2.3% 1/25/2021 11/12/2021 Equity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 6.1% 8.0% 1/4/2021 11/12/2021 Commodity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 21.1% 24.7% 1/4/2021 11/12/2021 Bond model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 0.3% 0.5% 1/4/2021 11/12/2021 Breadth slipped a little as 5447 (64.9%) stocks are above the 50 day SMA while 2942 (25.1%) are below the SMA50. The 200 day SMA slipped as well as 4816 (57.4%) are above the 200 day SMA and 3573 (42.6%) are below the SMA200. The McClellan stalled in overbought territory with an RSI of 91. The BDI finally bounced, but looks like it may roll over again oversold at RSI 20, but may be setting up for a negative divergence.
A split market as the S&P gained 0.4% for the week while the underlying market deteriorated. Bonds were flat +0.0% and commodities dropped for week five -1.3% for a drawdown of 4.3% so far. The portfolio was down from ATH -1.3%. equity 44.6% (-8.1%) bonds 20.3% (+0.1%) commodities 28.3% (+8.1%) cash 4.8% (-2.2%) Performance since 1/1/2021 Model portfolio +14.0%(-1.3% this week) SPY +25.4%(+0.4% this week) BND -3.4%(-0.0%) DJP +35.4%(-1.3%) 2021 PREDICTION OUTPUT Sector Model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 2.2% 2.7% 1/25/2021 11/19/2021 Equity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 5.4% 6.9% 1/4/2021 11/19/2021 Commodity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 18.6% 21.3% 1/4/2021 11/19/2021 Bond model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 0.2% 0.3% 1/4/2021 11/19/2021 Breadth dropped precipitously as 4311 (51.3%) stocks are above the 50 day SMA while 4093 (48.7%) are below the SMA50. The 200 day SMA continued its fall as well as 4301 (51.2%) are above the 200 day SMA and 4103 (48.8%) are below the SMA200. The McClellan fell out of overbought territory to an RSI of 55. The BDI rolled over again in oversold territory at RSI 22 and has set up a negative divergence at the low.
The markets got slammed on Black Friday, the S&P down 2.6% for the week. Bonds were essentially flat +0.1% and commodities dropped for week six -3.3%, now down 19% from the peak as oil fell 13% on Friday. The portfolio was down -2.5%, back to October 15 levels. equity 54.6% (+9.6%) bonds 22.1% (+1.8%) commodities 28.3% (-12.8%) cash 8.3% (+3.5%) Performance since 1/1/2021 Model portfolio +11.5%(-2.5% this week) SPY +22.8%(-2.6% this week) BND -3.3%(+0.1%) DJP +32.1%(-3.3%) 2021 PREDICTION OUTPUT Sector Model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 2.4% 2.0% 1/25/2021 11/26/2021 Equity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 4.7% 5.7% 1/4/2021 11/26/2021 Commodity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 16.2% 18.1% 1/4/2021 11/26/2021 Bond model (ALL INSTRUMENTS AVERAGE) (AVG) Trading -0.3% -0.3% 1/4/2021 11/26/2021 Breadth went negative as 2144 (37.4%) stocks are above the 50 day SMA while 5269 (62.6%) are below the SMA50. The 200 day SMA also went negative as 3683 (43.8%) are above the 200 day SMA and 4730 (56.2%) are below the SMA200. The McClellan closed on oversold territory with an RSI of 30. The BDI tried to bounce but Fridays rout was too much as the RSI sits at 26 and is negatively divergent at the low.
The market decline continued this week with the S&P down another 1.5% for the week. Bonds gained +0.5% and commodities dropped for week seven, down another -6.2%, now down 25.2% from the peak and officially in bear market territory. The portfolio was down -1.7% as the majority of positions were stopped out. Cash is the highest since I started this experiment. equity 18.9% (-15.7%) bonds 22.4% (+0.2%) commodities 2.2% (-26.1%) cash 56.6% (+48.3%) Performance since 1/1/2021 Model portfolio +9.8%(-1.7% this week) SPY +21.3%(-1.5% this week) BND -2.8%(+0.5%) DJP +25.9%(-6.2%) 2021 PREDICTION OUTPUT Sector Model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 2.1% 2.4% $ 0.86192 3 1 2 $ 30.08725 $ 21.80725 1/25/2021 12/3/2021 Equity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 3.5% 4.2% 2 1 1 $ 385.39 $ 385.39 1/4/2021 12/3/2021 Commodity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 15.6% 17.1% 1 1 1 $ 37.26001 $ 32.07001 1/4/2021 12/3/2021 Bond model (ALL INSTRUMENTS AVERAGE) (AVG) Trading -0.2% -0.2% 1 0 1 $ 11.79292 $ 11.44122 1/4/2021 12/3/2021 Breadth continues to fall as 2075 (24.6%) stocks are above the 50 day SMA while 6357 (75.4%) are below the SMA50. The 200 day SMA also fell further as 3135 (37.2%) are above the 200 day SMA and 5297 (62.8%) are below the SMA200. The McClellan shows no sign of slowing down closed -166 in oversold territory, below the October low with an RSI of 15. The BDI turned up this week on a mini inverted head and shoulders pattern. Now at the 200 day MA and the RSI sits at 51.
The indexes rallied but the overall market doesn't seem to be following. The S&P was up 4.6% for the week. Bonds dropped -0.7% and commodities finally rallied after seven down weeks up1.6%. The portfolio was flat 0.0% and cash remains the largest position. equity 27.5% (+8.6%) bonds 23.1% (+0.7%) commodities 10.8% (+8.6%) cash 38.6% (-18.0%) Performance since 1/1/2021 Model portfolio +9.8%(+0.0% this week) SPY +25.9%(+4.6% this week) BND -3.5%(-0.7%) DJP +27.5%(+1.6%) 2021 PREDICTION OUTPUT Sector Model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 2.3% 2.7% 1/25/2021 12/10/2021 Equity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 4.6% 5.1% 1/4/2021 12/10/2021 Commodity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 14.5% 15.5% 1/4/2021 12/10/2021 Bond model (ALL INSTRUMENTS AVERAGE) (AVG) Trading -1.2% -1.2% 1/4/2021 12/10/2021 Breadth improved slightly as 2918 (34.6%) stocks are above the 50 day SMA while 5510 (65.4%) are below the SMA50. The 200 day SMA also improved as 3540 (42.0%) are above the 200 day SMA and 4888 (58.0%) are below the SMA200. The McClellan was flat despite the big rally closing -197.14 and remaining in oversold territory with an RSI of 17. The BDI rallied to an RSI of 56and above the 200 day MA.
Still no sign of an upturn in the overall market.. The S&P gave back -2.9% for the week. Bonds gained a little +0.3% and commodities dropped -0.9% after their first up week in 2 months. The portfolio was down -1.2% and cash remains the largest position. equity 23.8% (-2.7%) bonds 24.8% (+2.2%) commodities 2.3% (-8.5%) cash 47.6% (+11.0%) Performance since 1/1/2021 Model portfolio +8.6%(-1.2% this week) SPY +23.0%(-2.9% this week) BND -3.2%(+0.3%) DJP +26.4%(-1.1%) 2021 PREDICTION OUTPUT Sector Model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 2.0% 1.8% 1/25/2021 12/17/2021 Equity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 4.3% 4.6% 1/4/2021 12/17/2021 Commodity Model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 12.1% 12.7% 1/4/2021 12/17/2021 Bond model (ALL INSTRUMENTS AVERAGE) (AVG) Trading -0.3% 1.4% 1/4/2021 12/17/2021 Breadth deteriorated as 2206 (26.1%) stocks are above the 50 day SMA while 6238 (73.9%) are below the SMA50. The 200 day SMA also fell further as 3143 (37.2%) are above the 200 day SMA and 5301 (62.8%) are below the SMA200. The McClellan resumed its down trend closing at a new low of -328.21 and remaining in oversold territory with an RSI of 12. The BDI gave back all of its gains to close at a new low with an RSI of 28 and back below the 200 day MA.
The S&P rallied 3.0%% for the Christmas week. Bonds fell -0.6% and commodities rallied +4.1%. The portfolio was down -0.2% as the previous drop stopped more than half the equity and commodity positions except for bonds. Cash remains high at almost 50%. equity 23.1% (-0.7%) bonds 25.5% (+0.7%) commodities 2.3% (+0.0%) cash 49.1% (+1.5%) Performance since 1/1/2021 Model portfolio +8.4%(-0.2% this week) SPY +26.0%(+3.0% this week) BND -3.8%(-0.6%) DJP +30.5%(+4.1%) 2021 PREDICTION OUTPUT Sector Model (ALL INSTRUMENTS AVERAGE) (AVG) 1.7% 1.5% 1/25/2021 12/23/2021 Equity model (ALL INSTRUMENTS AVERAGE) (AVG) 5.5% 7.9% 1/4/2021 12/23/2021 Commodity Model (ALL INSTRUMENTS AVERAGE) (AVG) 15.9% 16.4% 1/4/2021 12/23/2021 Bond Model (ALL INSTRUMENTS AVERAGE) (AVG) -0.4% -2.0% 1/4/2021 12/23/2021 Breadth improved as 3033 (35.9%) stocks are above the 50 day SMA while 5406 (64.1%) are below the SMA50. The 200 day SMA also improved as 3589 (42.5%) are above the 200 day SMA and 4850 (57.5%) are below the SMA200. The McClellan finally ticked up Wednesday and Thursday, closing at -329.74 after setting a new divergent low and trying to exit oversold territory with an RSI of 22. The BDI fell all week to close at a new divergent low with an RSI of 25.
The Santa Rally this week gave the S&P a 1.0% gain. Bonds slipped -0.1% and commodities rallied +0.6%. The portfolio was down -0.3%. Cash was deployed to start the new year. A little end of the year analysis shows the portfolio limited the September 6.5% correction to just -2.1% but the December 4.2% drawdown caused a 6.1% drawdown as the portfolio was stopped out of almost all the equity positions. What was to be a protection from drawdowns cost almost 2/3 of the S&P gains for the year. Still an 8% gain is far better than any fixed income can produce, but really lagged last years 25.4% gain. The model performs poorly in a choppy market as the strategy is trend following and the lag between stops and re-entries causes the trading to sell low and buy high if the cycles are short. equity 23.1% (+15.6%) bonds 36.6% (+11.1%) commodities 19.4% (+17.1%) cash 2.2% (-46.9%) Performance for 2021 Model portfolio +8.1%(-0.3% this week) SPY +27.0%(+1.0% this week) BND -3.9%(-0.1%) DJP +31.1%(+0.6%) 2021 PREDICTION OUTPUT Sector Model (ALL INSTRUMENTS AVERAGE) (AVG) 1.7% 1.5% 1/25/2021 12/31/2021 Equity model (ALL INSTRUMENTS AVERAGE) (AVG) 5.8% 7.3% 1/4/2021 12/31/2021 Commodity Model (ALL INSTRUMENTS AVERAGE) (AVG) 12.7% 12.8% 1/4/2021 12/31/2021 Bond Model (ALL INSTRUMENTS AVERAGE) (AVG) 0.0% -0.1% 1 0 1 $ 11.42898 $ 11.33648 1/4/2021 12/31/2021 Breadth improved as 3416 (40.7%) stocks are above the 50 day SMA while 3755 (44.5%) are above the 200 day SMA. The McClellan drove up all week, closing at -101.36 and exiting oversold territory with an RSI of 53. The BDI was flat for the week to close at the low with an RSI of 25.
January Update A new year and a few adjustments. Tthe neural net model was retrained with 2021 data, I added a second strategy model based on the Turtle breakout and trend following strategy of Richard Dennis, and added bond and equity shorts as hedges if the model wants to use them after a down December. So we start the year with an unusual January correction. Nov-May are usually the best months for equities but this may be a different year with the rates rising for 2022 starting in March. The S&P closed the month off -5.8% but the model only slipped 1.8%. Bonds resumed their slide -2.1% and commodities rallied +10.2%. Equity positions were stopped one after another but it did help protect the drawdown. Position Allocation equity 32.1% (-2.5%) bonds 36.9% (-2.7%) commodities 11.3% (-8.1%) cash 19.7% (+17.5%) Performance for 2022 Model portfolio -1.8%(-1.8% this month) Large Caps SPY -5.3%(-5.3% this month) Large Caps DIA -3.4%(-3.4% this month) Tech QQQ -8.7%(-8.7% this month) Mid Caps IVOO -7.2%(-7.2% this month) Small Caps IWM -9.5%(-9.5% this month) Bonds BND -2.1%(-2.1%) Commodities DJP +10.2%(+10.2%) 2022 PREDICTION OUTPUT Sector Model (ALL INSTRUMENTS AVERAGE) (AVG) Trading -2.4% -26.9% 1/3/2022 2/4/2022 Neural Net (ALL INSTRUMENTS AVERAGE) (AVG) Trading -2.4% -27.1% 1/3/2022 2/4/2022 Turtle Strategy Equity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading -5.8% -66.5% 1/3/2022 2/4/2022 Neural Net (ALL INSTRUMENTS AVERAGE) (AVG) Trading -4.1% -46.8% 1/3/2022 2/4/2022 Turtle Strategy Commodity Model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 1.8% 20.4% 1/3/2022 2/4/2022 Neural Net (ALL INSTRUMENTS AVERAGE) (AVG) Trading 3.3% 37.9% 1/3/2022 2/4/2022 Turtle Strategy Bond Model (ALL INSTRUMENTS AVERAGE) (AVG) Trading -1.3% -14.5% 1/3/2022 2/4/2022 Neural Net (ALL INSTRUMENTS AVERAGE) (AVG) Trading 0.2% 2.2% 1/3/2022 2/4/2022 Turtle Strategy Breadth is horrible as 2150 (24.9%) stocks are above the 50 day SMA while 2380 (27.7%) are above the 200 day SMA. The McClellan is back in oversold territory, closing at -564.11 for a new recent low with an RSI of 18. The BDI showed a glimmer of hope for a bounce last week to close still in oversold territory with an RSI of 22.
February Update The best 6 months continue to get worse as the S&P was down another -2.8% on the Fed hikes, inflation and Ukraine. The model is at an all time high in cash as bonds and equities continue to slide. The model actually gained 1.1% on commodity strength. Bonds fell another -1.2% and commodities gained +8.3% on the strength of oil and grains. Interestingly small and mid caps were positive for the month. Position Allocation equity 10.6% (-19.2%) bonds 24.8% (-18.7%) - 100% short positions commodities 7.4% (-3.0%) - profit taking this month cash 57.2% (+40.8%) Performance for 2022 Model portfolio -0.7%(+1.1% this month) Large Caps SPY -8.1%(-2.8% this month) Large Caps DIA -7.8%(-4.1% this month) Tech QQQ -12.8%(-4.1% this month) Mid Caps IVOO -6.1%(+0.9% this month) Small Caps IWM -8.6%(+0.9% this month) Bonds BND -3.3%(-1.2%) Commodities DJP +18.3%(+8.1%) 2022 PREDICTION OUTPUT Sector Model ALL INSTRUMENTS AVERAGE) (AVG) Trading -3.0% -19.7% 1/3/2022 2/28/2022 Neural Net Equity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading -4.6% -29.9% 1/3/2022 2/28/2022 Neural Net Commodity Model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 5.4% 34.9% 1/3/2022 2/28/2022 Neural Net Bond Model (ALL INSTRUMENTS AVERAGE) (AVG) Trading -1.6% -10.4% 1/3/2022 2/28/2022 Neural Net Breadth was flat as 2389 (27.9%) stocks are above the 50 day SMA while 2307 (26.9%) are above the 200 day SMA. The McClellan continues in oversold territory, closing at -724.39 for another low with a higher RSI of 19.16 for a positive divergence. The BDI did bounce last month to close at 2840 with an RSI of 56.75.
March Update The S&P finished the 1st quarter down 4.9% but was up in March 3.2%. The model went positive for the year as assets were redeployed. The model gained 4.5% in March to end the quarter positive +3.8%. Bonds fell another -2.8% and commodities gained +10.3%. Position Allocation equity 57.5% (+46.9%) bonds 23.5% (-1.5%) - Mostly short positions commodities 6.2% (-1.2%) - profit taking this month cash 12.8% (-44.4%) Performance for 2022 Model portfolio +3.8%(+4.5% this month) Large Caps SPY -4.9%(+3.2% this month) Large Caps DIA -4.3%(+3.5% this month) Tech QQQ -8.9%(+3.9% this month) Mid Caps IVOO -5.1%(+1.0% this month) Small Caps IWM -7.7%(+0.9% this month) Bonds BND -6.1%(-2.8%) Commodities DJP +28.6%(+10.3%) 2022 PREDICTION OUTPUT Sector Model (ALL INSTRUMENTS AVERAGE) (AVG) Trading -1.4% -5.8% 1/3/2022 4/1/2022 Neural Net (ALL INSTRUMENTS AVERAGE) (AVG) Trading -1.3% -5.2% 1/3/2022 4/1/2022 Turtle Strategy Equity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading -2.5% -10.6% 1/3/2022 4/1/2022 Neural Net (ALL INSTRUMENTS AVERAGE) (AVG) Trading -2.7% -10.5% 1/3/2022 4/1/2022 Turtle Strategy Commodity Model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 7.5% 30.9% 1/3/2022 4/1/2022 Neural Net (ALL INSTRUMENTS AVERAGE) (AVG) Trading 9.2% 38.2% 1/3/2022 4/1/2022 Turtle Strategy Bond Model (ALL INSTRUMENTS AVERAGE) (AVG) Trading -0.9% -3.9% 1/3/2022 4/1/2022 Neural Net (ALL INSTRUMENTS AVERAGE) (AVG) Trading -0.8% -3.1% 1/3/2022 4/1/2022 Turtle Strategy Breadth improved significantly as 4808 (56.2%) stocks are above the 50 day SMA while 2981 (34.9%) are above the 200 day SMA. The McClellan ran all the way from oversold to overbought, closing at --155.96 with an RSI of 86.47. The BDI did bounce last month but peaked 3/10 and slowly declined to close at 2357 with an RSI of 47.88.
April Update Well, my experiment might be over. On April 28, Yahoo blocked the daily downloading of stock data that feeds my neural net. Unless there is a workaround or an alternate source of data, I cant update the neural net. This did happen once before and was corrected, but we'll have to wait and see what happens now. The S&P finished the Month down a huge -8.4%. The model barely stayed positive for the year after falling -2.1% for the month. Bonds fell another -4.1% and commodities gained +5.9%. For June-September I adjust the portfolio to more defensive positions with Dividend stocks, defensive sectors Staples, healthcare, real estate and utilities along with bonds. With the recent drop I made the allocation early in the last week of April this year. Position Allocation equity 63.8% (+6.3%) bonds 22.6% (-0.9%) commodities 13.1% (+6.9%) cash 0.4% (-12.4%) Performance for 2022 Model portfolio +1.7%(-2.1% this month) Large Caps SPY -13.3%(-8.4% this month) Large Caps DIA -9.3%(-5.0% this month) Tech QQQ -21.3%(-12.4% this month) Mid Caps IVOO -11.9%(-6.8% this month) Small Caps IWM -16.8%(-9.1% this month) Bonds BND -10.2%(-4.1%) Commodities DJP +34.5%(+5.9%) 2022 PREDICTION OUTPUT Sector Model (ALL INSTRUMENTS AVERAGE) (AVG) Trading -5.1% -16.4% 1/3/2022 4/27/2022 Neural Net (ALL INSTRUMENTS AVERAGE) (AVG) Trading -5.4% -17.1% 1/3/2022 4/27/2022 Turtle Strategy Equity model (ALL INSTRUMENTS AVERAGE) (AVG) Trading -10.4% -33.4% 1/3/2022 4/27/2022 Neural Net (ALL INSTRUMENTS AVERAGE) (AVG) Trading -8.5% -27.1% 1/3/2022 4/27/2022 Turtle Strategy Commodity Model (ALL INSTRUMENTS AVERAGE) (AVG) Trading 6.4% 20.5% 1/3/2022 4/27/2022 Neural Net (ALL INSTRUMENTS AVERAGE) (AVG) Trading 6.2% 19.7% 1/3/2022 4/27/2022 Turtle Strategy Bond Model (ALL INSTRUMENTS AVERAGE) (AVG) Trading -3.5% -11.2% 1/3/2022 4/27/2022 Neural Net (ALL INSTRUMENTS AVERAGE) (AVG) Trading 1.2% 3.8% 1/3/2022 4/27/2022 Turtle Strategy Breadth collapsed as 1679 (19.7%) stocks are above the 50 day SMA while 1834 (21.5%) are above the 200 day SMA. The McClellan spent all of April in a decline that accelerated by the end of the month, closing at --486 with an RSI of 29.43. The BDI recovered in the last half of the month to close flat at at 2484 with an RSI of 60.77.
