The Nyx Stock Market Forecast - Updated Thursday, August 15, 2013 8:53 PM

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Nyx is a computer system that models the U.S. equities market and generates short term forecasts and buy/sell recommendations for the market.

We use it to trade exchanged-traded mutual funds based on indexes that tend to follow the market closely. (Nyx does compute individual stocks, but we are not showing any at this time.)

Trading in such funds is generally safer than trading in individual stocks, although the potential gain is reduced. Nyx also provides an additional level of safety because often it is all cash - it only invests in the market about 100 days a year.

Nyx has generated an average annual ROI of 42% starting Jan. 1, 2008 using the funds with which we test. Those funds have returned and average RIO of 13% over the same time period. Click here to see the funds

For the aggressive growth funds Nyx has an average annual ROI of 66%; the fund's average ROI is 25%.

For the standard index funds Nyx has an average annual ROI of 26%; those fund's average ROI is 5%.

Nyx has never had a negative year - for aggressive funds, Nyx's worst year was trading QLD in 2008. Nyx returned 34% while the fund lost 72%.
For the other funds, Nyx's worst performance was trading SPY in 2008. Nyx returned 13% while the fund lost 36%.

Nyx is very risk averse, and will sell on a single rain drop or even a dark cloud, and is thus useless for short positions.



The Daily Forecast


The Nyx action column shows what action Nyx forecasts should be taken at the market open tomorrow.

This is posted about 8PM each weekday.

The general recommendation is a buy/sell/hold recommendation independent of Nyx's actions. This may be useful if one is not buying and selling as Nyx suggests. We sometimes use our insight and knowledge to make buy and sell decisions that are at variance with Nyx. We nearly always regret it.


The table shows YTD profit based on trading MVV, an exchanged-traded mutual fund. MVV moves at about twice the S&P MidCap 400 Index, and so generally closely corresponds to the overall market change, but is more volatile. Profit is calculated based on buying and selling at the opening price that day. Commissions are not accounted for. Nyx makes about 25 purchases a year. At the typical commission cost of seven dollars, commissions for a year would be about $350 per year.

Click here to see the history for all tested funds

Date

Buy
Strength

Sell
Strength

Reversal
Probability

Nyx
Action

General
Recommendation

Nyx YTD
Profit %

Compounded Nyx
YTD Profit %

Fund YTD
Profit %

 07/18/13 

0.021

0.337

0.105

Hold

Hold

14.9

15.1

44.9

 07/17/13 

0.017

0.126

0.126

Hold

Hold

13.1

13.1

42.4

 07/16/13 

0.065

0.774

0.762

Hold

Hold

12.3

12.2

41.3

 07/15/13 

0.108

0.556

0.580

Hold

Hold

13.6

13.7

43.1

 07/12/13 

0.190

0.310

0.364

Hold

Hold

13.0

13.0

42.2

 07/11/13 

0.009

0.691

0.172

Hold

Hold

12.3

12.3

41.3

 07/10/13 

0.114

0.285

0.310

Bought at Open

Hold

9.5

9.2

37.5

 07/09/13 

0.071

0.128

0.136

Buy At Open Tomorrow

Buy

9.7

9.4

37.7

 07/08/13 

0.108

0.347

0.370

No Action

Hold

9.7

9.4

34.8

 07/05/13 

0.023

0.247

0.185

No Action

Hold

9.7

9.4

34.4

 07/03/13 

0.111

0.604

0.625

No Action

Sell

9.7

9.4

30.9

 07/02/13 

0.078

0.755

0.755

No Action

Sell

9.7

9.4

30.7

Click here to see this table for the full year




Historical Performance

The table to the right shows how the current version of Nyx would have performed in past years, and this year to date. The data is from simulation runs that are used to test and tune the system.

There are three mutual funds in the table. They all move with the market, but with increasing volatility.

TMW is a DJIA index fund, and thus representative of the overall market.

MVV is designed to move at twice the S&P MidCap 400 Index.

TQQQ is designed to move at triple the NASDAQ-100 Index.

The table show how Nyx performed, how the fund performed, and the difference. Also shown are the number of purchases and the time Nyx held shares. Nyx's risk aversion is evident here (take the money and run).

The 2008 performance has caused some arched eyebrows. How can one make a good profit in a disastrous year with long positions? We went carefully through every transaction Nyx made for MVV to see if it was real or a program error. No error. However, it does make any roller coaster ride seem tame. (details) The key is the volatility. All was not perfect. The worst for Nyx was Oct. 9.2008 - down 2%. However, Nyx recovered within a few days. On Nov. 20, at the bottom of the market that year, Nyx was up 10%. The version of Nyx actually running in 2008 faired less well - it lost 17% for the year. Still not bad, all considered, and it certainly helped us hold back our loss that year.

Fund

Dates

Nyx
Profit

Fund
Actual Profit

Nyx
Improvement

Number of
Purchases

Days In
Market

Average
Days Held

 TMW

 01/01/08   01/01/09 

0.143

-0.371

0.514

24

85

3.5

 TMW

 01/01/09   01/01/10 

0.249

0.280

-0.030

25

90

3.6

 TMW

 01/01/10   01/01/11 

0.262

0.169

0.093

23

123

5.3

 TMW

 01/01/11   01/01/12 

0.247

0.008

0.239

27

86

3.2

 TMW

 01/01/12   12/31/12 

0.143

0.151

-0.008

23

106

4.6

 TMW

 01/01/13   07/09/13 

0.054

0.157

-0.103

9

56

6.2

 

 MVV

 01/01/08   01/01/09 

0.354

-0.678

1.031

24

85

3.5

 MVV

 01/01/09   01/01/10 

0.802

0.681

0.121

25

90

3.6

 MVV

 01/01/10   01/01/11 

0.814

0.529

0.286

23

123

5.3

 MVV

 01/01/11   01/01/12 

0.837

-0.131

0.967

27

86

3.2

 MVV

 01/01/12   12/31/12 

0.515

0.338

0.177

23

106

4.6

 MVV

 01/01/13   07/18/13 

0.156

0.449

-0.292

10

62

6.2

 

 TQQQ

 02/11/10   01/01/11 * 

1.354

0.893

0.461

19

113

5.9

 TQQQ

 01/01/11   01/01/12 

1.111

-0.081

1.192

27

86

3.2

 TQQQ

 01/01/12   12/31/12 

0.758

0.523

0.234

23

106

4.6

 TQQQ

 01/01/13   08/15/13 

0.212

0.521

-0.309

11

78

7.1

* Fund Inception Date

FYI: In Greek mythology, Nyx is the goddess of the night, possessing exceptional power and beauty. She is found in the shadows and only seen in glimpses. She is also the daughter of Chaos. Sound appropriate? Our cat is named after the goddess. The system is named after the cat.


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