Portfolio trades combine the TSF timing signals with traditional factor fund stock selection.
Portfolio trades use a 5% profit target with a 120-day maximum hold. The stock selection is first based on the sector, and then based on one of six factor rankings within the sector. The funds rebalance quarterly. Open positions remain open until they hit their profit target or force close after 120-days, but new positions are filled by the top N stocks in the updated factor rankings.
Each stock begins with $1,000 in capital, and the total starting portfolio value is N x $1,000 (for N20, 20 positions, the starting value is $20,000). Positions are opened for each stock based on the entry timing signals (limit orders placed at the low band value of the selected confidence interval). Each stock may have only one open position at a time, and the position opens at 1/N of the current portfolio value.
The portfolio trade tables show the current portfolio value for the full period (2021 – present), as well as each single year. Equity curves for the current year and the full period are updated daily.
Portfolio trade signals are available as package subscriptions.
TSF Portfolio Performance
Equity Curve — All History
Equity Curve — Current Year
Events represent the number of times the market's intraday low crossed the TSF forecast entry price during the selected period. Forecasts are published for every trading day, but only generate a position when the market actually reaches the entry price.
Wins are capped at the profit target — when a position's intraday high reaches the target, it exits. A loss occurs when a position does not reach its profit target within the maximum hold duration and is closed at the closing price on the final day. Lower profit targets produce faster exits with lower per-trade risk.
Avg Duration is typically well below the maximum hold duration, because most positions reach their profit target long before the hold window expires.
Win Rate is a function of both signal quality and hold duration. A position counted as a loss at 7 days may resolve profitably at 30 or 90 days. Adjust the maximum hold duration to demonstrate this directly.
TSF positions are asymmetric by design: a high frequency of small, bounded wins offsets a low frequency of larger forced-exit losses. This is why a high win rate does not guarantee positive EV — it depends on whether cumulative wins outpace the fewer but larger losses. Extending the hold duration reduces forced exits, which is why win rate, EV, and total return all improve as the hold window increases.
Signal Subscriptions
Forecasted limit order prices are available by subscription for up to 50 tickers. Updates are published every Sunday with a daily limit order price for each ticker based on the selected forecast strategy and confidence band. Subscriptions are for individual, non-commercial research use only. Plans and pricing →