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Hi,
I have been using UIS for the last few months combining IRA and taxable funds.
I have experienced considerable ‘friction’ between the closing price used for your calculations and next day intraday trading prices. The first of the month seems to me to be crowded with many calendar and trend movement trades. These crowded trades seem to increase intraday price volatility as well. Also with TLT, the xdiv date is the last day of the month. While I understand that the dividend does not theoretically affect the price, with the release of the recommended SPY/TLT ratio being released early on the am of the first day after xdiv, this day after xdiv also seems to result in volatile intraday prices.
Finally, I would like to find a way to use Market On Close orders to simplify reallocation and reflect real world conditions. This is difficult since I can buy on the close but only when I have sold before the close in the IRA based trades as there is no margin capability.
All this being said, since the UIS is designed to reduce trading and associated friction is there any way to a) avoid the first of the month for reallocation day perhaps by using a different closing/reallocation day for the strategy email, b) if possible either capture dividends or be far enough away from xdiv date to avoid any xdiv caused aberrations and c) in addition to the monthly results reflect and report on subscribers realworld trades with MOC results on the day after the email calculations?
Dont know if any of this makes sense but appreciate the strategy. Thanks!
