ft4web

Jul 17 2018

New FT Comm Out Today

New FT Comm v5.0.1.10

A new FT Comm update is out today. Click the “upgrade” button when you open FT Comm to download version 5.0.1.10. Check out the manual here: https://investorsfasttrack.com/ft-comm-manual/

Improved Backup Strategy

In this update, we’re rolling out a handful of improvements. The most notable is our improved file back up feature. In the new update the process is much simpler, has $0 additional cost, and now allows for reverting to any previously saved backup, not just your most recent. See the documentation here: https://investorsfasttrack.com/ft-comm-manual/#backup

Simplified Nightly Update

Additionally, we’ve simplified the nightly update process. In the new version 5.0.1.10, there’s now only one data update option: “Data update and integrity check.” (Previous versions included two distinct processes: “data update” and “integrity check.”)

Faster internet and server speeds have allowed us to combine the options for a single, quick and efficient update of all FastTrack data. The new option download updates your database files AND includes checks on all historical dividends and closing prices, as well as checks your FastTrack program files for updates.

Nightly Update Available Earlier

Also, while this update not only provides a better experience for you, the customer, the new update strategy simplifies things on FastTrack’s end. That means we’re expecting to get the nightly data out approximately 8-10 minutes earlier each night. We’re expecting the new, earlier update time to be realized at the end of August 2018.

FastTrack is continuing to move our products forward and enhance the service level. This is a very, very exciting release!

Any questions or comment, reach out to us at our phone number above or directly to daniel at fasttrack.net

Oct 09 2015

Correlation Study – Investing in Fear

We had a great tech support call come in today. A long time FastTracker has been “tracking the VIX” and looking to get direct exposure to the index. He asked, “what’s the ticker to buy the VIX?”

Well, the answer is simple, but first let’s go through some background. The VIX is an index, more specifically its the CBOE Volatility Index (FastTrack ticker VIX-X). The vix usually referred to as the “fear index” and typically tracks opposite to the overall market. An investor would look for exposure to the VIX to capitalize on market downtrends.

That being said, the VIX is still an index. So… you cannot buy it directly. You must buy an ETF or mutual fund that tracks the VIX index. So, how do you use FT Cloud or FT4web to find these ETFs? Its simple, we’ll do a correlation analysis with the spreadsheet. We’re going to look for all and any fund in the FastTrack database that is highly correlated to the CBOE VIX index.

Note: We could search ticker names, google search, or something similar. But if you’ve used FastTrack techniques and products, you’re well aware that names are some of the least informative aspects of a security. Just because you call yourself a “VIX ETF,” doesn’t mean you are a VIX ETF. The score board (past performance) says it all.

Here’s a step by step to find the ETF that track the VIX.

First we’re going to load all the ETFs in the FastTrack database. Log in to FT Cloud, click on the FT Cloud spreadsheet tab, in the upper right corner, click the “load family” button.
Next, navigate to the All ETF family. Its located under the Funds > Companies > ETFs > All ETFs. Double click the family, then click load in the lower right of the load window.
Now, to run our correlation study, we’re going to find all the ETFs that have a high correlation to the CBOE VIX Index. In FastTrack the CBOE VIX index uses the ticker VIX-X (We used the ticker search feature to find the index). The correlation column on the spreadsheet correlates to the “benchmark” field. So, we’re going to type VIX-X into the benchmark field and change our dates to a one year time period (this example uses a one year correlation study… but you can alter the date ranges for different studies)
After we press the “Compute” button in the upper left corner, the spreadsheet will fill with the calculations we need for the study. Next, we are going to click the “Corr” header to sort the spread sheet from highest correlation to lowest correlation. (Click the Correlation check box in the “stats” list on the right hand side to show the correlation column on the spreadsheet.)
There we have it. While there’s no perfect 100% correlation, we get pretty close with 91%-88% range over one year.

So, to summarize, to find an ETF, or in this case ETFs and ETNs, that track the CBOE VIX index, we do a simple correlation study. This study shows us that we don’t have an instrument that tracks the CBOE VIX index exactly, but we’ve got a handful of ETFs and ETNs that get pretty darn close.

Results: The we derived the following one year correlations to FT ticker VIX-X

VIXY – ProShares VIX Short-Term Futures- 91%
VIIX- VelocityShares VIX ST ETN – 90.89%
UVXY – ProShares Ultra VIX Short-Term Futures – 90.59%
TVIX – VelocityShares Daily 2x VIX ST ETN – 89.53%

Nov 04 2013

FT Rebalance vs Accutrack

Abstract:

In this discussion we will set up two popular relative strength investing strategies: FT Rebalance momentum and FT4web AccuTrack. Then we will discuss advantages of multi-fund momentum trading with FT Rebalance compared to the two fund AccuTrack strategy.

Analysis

As stated in the abstract, we’ll be comparing the FT Rebalance momentum model and the FT4web AccuTrack model. First we need to lay out the two main differences in the strategies.

FT Rebalance’s is an asset allocation strategy where FT4web AccuTrack is a market timing strategy.

In simple terms, FT Rebalance’s momentum strategy will reallocate assets every quarter (Jan 1, April 1, July 1, and Oct 1). So we have 4 trades a year at the end of each quarter.

FT4web AccuTrack model will trade based on signals generated by the AccuTrack technical indicator (ie when the red fund has more strength relative to the green line: invest in the red. When the green line has more strength relative to the red line: invest in the green.)

So, FT Rebalance will reallocate to the strongest assets on preset intervals (every quarter i.e. 4 trades a year). FT4web AccuTrack will reallocate intermittently when the relative strength of the two funds cross or switch.

FT Rebalance will invest in the best of three funds (VFINX, VINEX, and VIIFX). FT4web AccuTrack will invest in the best of two funds (VFINX and VINEX).

AccuTrack: The two fund strategy

AccuTrack is a popular relative strength trading strategy used by many FastTrackers. In FT4web, AccuTrack and the J chart will trade between two funds based on relative strength (find more info on AccuTrack here).

A standard relative strength strategy could be trading between a domestic fund (VFINX) and an international fund (VINEX).

In the chart above we see that the two fund model worked great during the first five years (7/2003-7/2007) with an annualized gain of 28.95%. But when the market began to turn sour in late 2007 the two fund strategy shows its major weakness: no diversity. Both international and domestic markets took a hit and as a result this strategy lost an annualized 22.10% from 7/2007 – 7/2009.

While the strategy recovered in late 2009 returning an annualized 18.21% from 7/2009 to 7/2013, the 10 years between 7/2003- 7/2013 was a quite a ride. As we see in the first chart in the post (pink line), the strategy had a max draw of 60.28 percent and an standard deviation of 5.8% (just less than the 5.94% of the S&P 500 for the same period).

FT Rebalance Momentum: Best of three funds

In the simple model illustrated below, instead of using a relative analysis of two funds, VFINX and VINEX, we added one more fund VFIIX (Vanguard GNMA) to the mix. VFIIX adds a conservative risk and low correlation fund element to our strategy.

Now, instead of moving our assets to the best of two funds, we will move our assets to the best of three funds.

accu3-stats — **Red=FT Rebalance Pink=FT4web J Chart Black=S&P 500**
10 year chart

As we can see in the red line above, adding one more fund to the relative analysis greatly improves long-term performance of the strategy, mainly by giving us a conservative asset like VFIIX to retreat to in down markets (all of 2008, 3Q10, 3Q11).

If we look at the period between 7/2007 and 7/2009 we have a positive annualized return of 2.22%, compared to a -22.10% return of the FT4web AccuTrack model for the same time period.

The lack of diversity hurt the AccuTrack model, as it could only choose between the VFINX and VINEX, both of which were declining in during 7/2007-7/2009. In contrast, having VFIIX as an option in the FT Rebalance momentum model, we can see that the red line smooths out during 7/2007-7/2009 as the model moves to VFIIX.

Summary

This is a very simple illustration of two different relative strength models. As the above analysis shows, incorporating more diversity (three funds vs two) into a strategy can have a strong positive impact, especially on limiting downside risk.

Additionally, we’ve seen a simple strategy that makes 4 trades a year with index style funds can have incredible results.

The next step after this would be to create a family with more than three members. Try 4, 5, or 6 well chosen, diversified funds. Also, try increasing the # to buy to 2, 3, or 4. This will increase your total number of funds held, which could temper volatility. Or, try using the sharpe model to limit the drawdowns.

Leave a comment below or email daniel@fasttrack.net with any questions

FT Rebalance Model Setup

Family:

VFINX- Vanguard S&P 500 Index Fund
VFIIX- Vanguard GNMA,
VINEX- Vanguard International Explorer

Parameters:

Date Range:

7/11/2003 – 7/11/2013

FT Rebalance Build:

1.5.0.8