The rule itself is simple, though the prospectus states it in language that's a bit too compact.
You're not allowed to reverse direction within 31 days. So if the fund increases its stock allocation, it can increase it further, but if it wants to decrease its stock allocation, it has to wait 31 days since it last increased the stock allocation.
Likewise, if the fund increases its bond allocation (i.e. decreases its stock allocation), it can increase bonds further. But it can't start selling off bond funds until 31 days since it last increased its bond holdings.
In your example, stocks go up (1/11/16), then up more (2/2/16). Before going down, it must wait 31 days (until 3/4/16). So it's allowed to reduce stocks on 3/14, having waited more than 31 days.
The rule as stated in the prospectus:
"after the Fund has increased its percentage allocation to either stock funds or bond funds, it will not decrease that allocation for at least 31 days"

What oil price collapse? Up 17% YTD. Junk bonds as of Friday's close are at all time highs. Doesn't sound like end of the world stuff to me.

Hi again @MFS,
In reference to CTFAX ...
It appears from review of addition fund literature titled "Adjusting to Changing Markets" under sub heading "Rebalancing" ...
On 1/1/16 with S&P 500 level 1990 the fund held 30% stocks and 70% bonds.
On 1/11/16 with S&P 500 level 1922 the fund held 35% stocks and 65% bonds.
On 2/2/16 with S&P level 1829 the fund held 40% stocks and 60% bonds.
On 3/14/16 with S&P level 2022 the fund held 25% stocks and 75% bonds.
Therefore, it seems that it did not employ the 31 day trading rule in increasing its equity allocation while it did employ it in reducing its allocation to equities but not bond funds. Note when it was increasing its allocation to its equity funds it was reducing its allocation to the bond funds held. With this, it seems to me the 31 day trading rule applied some of the time but perhaps not all the time. Note the dates 1/1/16, 1/11/16 and 2/2/16 ... I am not finding that 31 days elasped between these dates. Perhaps it applies only if the 30 day loss sale rule applies? Not sure; but it sure seems that could be a possibility. And, another possibility might be if they have ample cash to cover new positioning.
And, so it goes.

Hi @msf,
Thank you for making comment about a fund that I made mention of and that is CTFAX. I realize that the fund is not for everyone. No doubt, you must be one of those investors that does not favor the fund. I got to tell you, though, it is both one I favor and one that I own.

I appreciate that you like it, and it seems to have performed adequately. But I believe that's in spite of its design, not because of it. I'll start a new thread later going into detail.

You bring up a point about this fund and its use of the its 31 day trading rule (loss sell rule). I'd also like to note inorder for the loss sale rule to be utilized there has to be a loss. If securities are sold at a profit then the rule does not apply.

Here's the link to the Columbia commentary you quoted below. It goes on to state:
"Please note: the fund employs a 31-day trading rule to help reduce the risk of taxable events. if the fund has increased the allocation to stock or bond funds, it will not decrease that allocation for 31 days."
As in the prospectus, this is stated as an unconditional rule: it will not rather than it may not. You can fault me for being too legalistic here, but that's what the prospectus is, a legal document. IMHO (and it sounds like in your opinion as well), the rule is too conservative, but there it is.

Additional comment ... In checking current fund trading details at Columbia ... below is what they state.
"On 6/23/16, the S&P 500 Index closed at 2113.32 which is above the fund's 2100 price level threshold, resulting in an increase to the fixed-income fund exposure in the portfolio." My comment ...
[...]
With the Brexit pullback the S&P500 Index did not close below the fund's closing price threshold thus the fund to trigger a new buy thus the fund did not increase its allocation to equities during the Brexit pullback. Not because of the 31 day trading rule (loss sale rule) but because the price level of the Index did not close below the threshold requiring it to increase its allocation to equities.
My records indicate that on 6/23 the 500 Index closed at 2113 ... on 6/24 at 2037 ... on 6/27 at 2000 ... on 6/28 at 2038 ... on 6/29 at 2071 ... on 6/30 at 2099 ... and, on 7/1 at 2103.

A minor quibble and then a look at the numbers. Despite the fund's commentary referring to S&P 500 Index closing price, the prospectus says nothing about the S&P 500® Index closing price, just the S&P 500® Index level (with no restriction on time of day given). Nevertheless, let's work with the closing prices.
The prospectus says that "When the S&P 500® Index moves into a new band on the table, the Fund will rebalance the stock/bond mix to reflect the new S&P 500® Index price level" (with exceptions like the 31 day rule).
That's pretty clear - the allocation is determined strictly by the value of the S&P 500 index, not its motion up or down.
The relevant bands are:
2100-2175: 20% stock/80% bond
2025-2100: 25% stock/75% bond
1950-2025: 30% stock/70% bond
As you observed, the index closed in the 25/75 band on 6/24, and in the 30/70 band on 6/25. Two thresholds were crossed on the way down: 2100 and 2025. The fund didn't add stocks to its 20/80 portfolio, because that would have been a reversal from its 6/23 change, where it reduced stocks.
(Actually, I believe the commentary is wrong - the index rose above 2100 on June 2nd, so the fund should have reduced stocks to 20% then. For the rest of June, i.e. within 31 days, it could not have reversed direction and increased stocks. Thus on 6/22, it still had a 20/80 allocation, and the fact that the index went above 2100 on 6/23 didn't matter. The fund already had a 20/80 allocation.)

"U.S. Treasuries are a disaster. Treasuries have been propped up by international buyers, mostly Asia or OPEC, who needed to find something to do with their trillions of excess US dollars. The oil price collapse and a sputtering Chinese economy have pretty much put an end to such buying. Treasury yields could drop to European levels; that is, zero or below."
I don't get it;If treasury yields drop to European levels won't I make a reasonable capital gain on my treasury bonds
I can even market time by selling at 10 year yield = .5 and so get out before the "smart money" who is watching this stuff on an hourly basis/So the question is why are treasuries a disaster?

Interesting even while trivial. Exact M* update timing may be problematic for totals and endpoints even involving recent-past data. If I were editorial director I would probably advise a small disclaimer or qualifier near the graph of 10k growth. As for NAV issues, I wonder if paras 3,4,5 below are accurate (assume so):
http://www.investopedia.com/ask/answers/052815/what-difference-between-etfs-net-asset-value-nav-and-its-market-price.asp

https://www.sec.gov/Archives/edgar/data/826732/000119312516640530/d221359d497.htm
497 1 d221359d497.htm 497
Filed pursuant to Rule 497(e)
File Nos. 033-19228 and 811-05443
CALAMOS® INVESTMENT TRUST
Supplement dated July 1, 2016 to the CALAMOS® FAMILY OF FUNDS Summary Prospectuses for Class A, B and C and Class I and R of Calamos Mid Cap Growth Fund both dated February 29, 2016, the Summary Prospectuses for Class A and C and Class I and R of Calamos Discovery Growth Fund, both dated February 29, 2016, Prospectuses for Class A, B and C and Class I and R, both dated February 29, 2016, as supplemented on March 14, 2016 and on June 10, 2016, and the Statement of Additional Information dated February 29, 2016, as supplemented on March 14, 2016 and on June 10, 2016.
The Summary Prospectuses, Prospectuses and Statements of Additional Information for the Calamos Investment Trust (the “Trust”) are hereby supplemented. The following information supersedes any information to the contrary regarding the Calamos Discovery Growth Fund and Calamos Mid Cap Growth Fund (each a “Fund” and, collectively, the “Funds”) each a series of the Trust, contained in the Summary Prospectuses, Prospectuses and Statements of Additional Information:
The Funds will be liquidated on or about October 6, 2016 (the “Liquidation Date”).
Effective August 1, 2016, the Funds will stop accepting purchases from new investors and existing shareholders,
except that defined contribution retirement plans that hold Fund shares as of July 1, 2016 may continue to purchase Fund shares through September 29, 2016 and existing shareholders may continue to reinvest dividends and capital gains distributions received from the Funds through September 29, 2016. The Funds reserve the right to modify the extent to which sales of shares are limited prior to a Fund’s liquidation. After the close of business on the Liquidation Date, the Funds will liquidate any remaining shareholder accounts and will send shareholders the proceeds of the liquidation.
Each Fund intends to declare and pay any dividends required to distribute its investment company taxable income, net capital gains, and net tax-exempt income accrued in the Fund’s taxable year ending at to the Liquidation Date or any in any prior taxable year in which the Fund is eligible to declare and pay a dividend. These dividends will be taxable to shareholders who do not hold their shares in a tax-advantaged account such as an IRA or 401(k). You should check with your investment professional and tax professional regarding the potential impact of the Funds’ liquidation to your individual financial plan and tax situation.
At any time prior to the Liquidation Date, shareholders may redeem their shares of a Fund pursuant to the procedures set forth under the section “How can I sell (redeem) shares?” in the Prospectus, as supplemented. Shareholders may also exchange their shares, subject to the restrictions on exchanges as described under the section “How can I sell (redeem) shares? — By exchange” in the Prospectus, as supplemented. Any such redemption or exchange of a Fund’s shares for shares of another fund will generally be considered a taxable event for federal income tax purposes. Shareholders who hold their shares in a Fund through a financial intermediary should contact their financial representative to discuss their options with respect to the liquidation and the distribution of such shareholders’ redemption proceeds.
Subsequent to the liquidation of the Funds, all references to the Funds in each Fund’s Summary Prospectus, Prospectus, and Statement of Additional Information are hereby removed.
Please retain this supplement for future reference
MFSPT3 07/16

Hi @msf,
Thank you for making comment about a fund that I made mention of and that is CTFAX. I realize that the fund is not for everyone. No doubt, you must be one of those investors that does not favor the fund. I got to tell you, though, it is both one I favor and one that I own.
You bring up a point about this fund and its use of the its 31 day trading rule (loss sell rule). I'd also like to note inorder for the loss sale rule to be utilized there has to be a loss. If securities are sold at a profit then the rule does not apply. I am thinking they increased their allocation to equities during the Brexit pullback. Anyway, I'll be checking for information on this and when available I'll post.
Thanks again for your comment.
Old_Skeet
Additional comment ... In checking current fund trading details at Columbia ... below is what they state.
"On 6/23/16, the S&P 500 Index closed at 2113.32 which is above the fund's 2100 price level threshold, resulting in an increase to the fixed-income fund exposure in the portfolio." My comment ...This reduced the equity allocation from 25% to 20% and increased the fixed allocation from 75% to 80%. During the January/February pullback it had raised its equity allocation to about 40% and has now reduced it to the 20% range.
With the Brexit pullback the S&P500 Index did not close below the fund's closing price threshold thus their was no trigger for the fund to buy equities and increase its allocation in them. Not because of the 31 day trading rule (loss sale rule) but because the price level of the Index did not close below the threshold requiring it to increase its allocation to equities.
My records indicate that on 6/23 the 500 Index closed at 2113 ... on 6/24 at 2037 ... on 6/27 at 2000 ... on 6/28 at 2038 ... on 6/29 at 2071 ... on 6/30 at 2099 ... and, on 7/1 at 2103.
I hold this fund in my hybrid income sleeve since it appears, for the most part, to be a bond fund that loads equities during stock market pullbacks. Indeed a neat hybrid type fund by my thinking giving a fixed income investor some exposure to equities when warranted.

M* may update the security prices at different times.
As I wrote above, what you were seeing for VOO was NAV performance through June 30th, not July 31st. The graph has since been updated for the exchange traded security, and VOO shows a YTD return of $403.49. Not a perfect match, but $403.49 is a whole lot closer to $404 and change than was the "old" return of $381 and change.
As to the 0.0061% (61 cent) difference in YTD performance between the two share classes, we're back to noise. Easily attributable to the fact that reinvestment price is not well defined for ETFs, not to mention that the dividends are distributed (and thus reinvested) on different days for the two share classes.
I do still claim that sizeable differences are due to comparing different figures - price return vs. NAV return.
The graph shows NAV returns only. But even if it showed market returns, it wouldn't match your investment to the penny. That's because it can't use the exact same reinvestment price/time as your broker does.
If you invested $10K in the same ETF at the same time at two brokers, your ending values would be different. Obviously no graph could match both of those results at the same time. See Heisenberg.
Finally, regarding the VFIAX return. For open end funds, it appears M* is doing the "simple" thing you seemed to want at the outset - when you ask for the return from January 1st to now, it gives the full YTD return.
When you ask for the return from December 31st, it includes the return on December 31st as well as on all the subsequent days. That is, it uses the Dec 30th closing price as its starting point.
It is giving you returns for all days including the end points, e.g.
Jan 1 <= each day's return <= July 1 (uses Dec. 31 close and July 1 close)
Dec 31 <= each day's return <= July 1 (uses Dec 30 close and July 1 close)

I am interested only in the accuracy of the M* 10k growth chart. (For anything.)
When we put in your ytd start of 1/4, the latest total shown for VFIAX is that I gained $404 and change, while the latest total shown for VOO shows a gain of $381 and change.
And this is due to ... M* using different pricing (?) for the two *types* of entities?
(Of which you will of course recall that you wrote:
>> Recognizing that VOO and VFIAX are two different share classes of the same portfolio (not two identical portfolios, but a single portfolio), and that they have identical ERs, the only explanation for the deviation would seem to be market return vs. NAV return.)
So is that the answer, are you now thinking is confirmed?
Do you have thoughts on why that is? Seems worth querying M* about.
Further, the Performance column (below the graph) for VFIAX for ytd says gain of $382 (as of 6/30). The graph 12/31/15 - 6/30/2016 now says $284. So something is clearly wack.
Note finally that that graph gain from 1/1 and from 1/4 is identical, which is why I seemed to you not to know that the market is closed New Year's Day.
All very curious.

Here's the chart you described. Thanks for being so clear.
You couldn't have put money in these funds on January 1st. January 4th was the first trading day of the year. If you had put $10K into open end funds (which get end of day pricing) on January 4th, you'd have missed the market movement on January 4th (which was down). So you'd have gotten a return higher than the YTD return.
This is easy to see. For FUSEX, the Jan 4th price was $70.72. The July 1st price was $74.31. Ignoring dividends, you'd have gotten a return of $74.31/$70.72.
$74.31/$70.72 = 1.050764, so $10K invested at $70.72 would be worth $10,507.64, plus dividends. Much more than M* is showing.
So let's use the correct price for a full YTD return - Dec. 31st close. That was $71.80. For $10K, you received 139.276 shares. This was a rounding up of 139.2758 shares, and so you got a gift of $0.02 due to rounding.
On April 15th, you got cap gains and income divs totaling $0.368/share, and reinvested at a price of $73.23. This is according to Fidelity's page.
That's $51.2536 in dividends, that got rounded down to $51.25. This was reinvested at a price of $73.19. So you got an additional 0.700 shares (again due to rounding); this was worth $51.25, costing you about 1/3 of a penny. You then had 139.976 shares.
The closing price on July 1 was $74.31. Your final value was thus $10,401.62.
I went through this in gory detail to demonstrate two facts:
1) The starting date for YTD returns of open end funds is December 31, not January 1st (or 2nd or 4th).
2) Rounding can give or take a few cents here and there, when shares are denominated in thousandths, and money is denominated in pennies.
As to VOO, I'll say again that the chart you're looking at is showing NAV return. So the answer to your question "is $10,381.34 the value you would see for your VOO investment", is no, it is not. You investment would be worth more.
The 3.81% return ($10,381.34) shown for VOO is not YTD through July 1, but YTD through June 30th. I know this because Vanguard gives YTD figures for VOO (through June 30th) as 3.81% (i.e. $10,381 and change) for NAV, and 3.84% (i.e. $10,384 and change) for price.
You can also just look up the VOO YTD returns on M* without using the chart. If you use the daily tab, rather than the montly tab, you'll get the YTD figures through July 1:
VOO (price) 4.10%
VOO (NAV) 3.81% (this matches the return shown in the graph - $381.34/$10K

As a tech writer I do not know how I can say it any more exactly.
Go to M*, enter FUSEX in Quote, go down to Growth of 10k, click More..., eliminate Large Blend leaving FUSEX, also del S&P 500 TR USD for this example, click any period you like (I did ytd). Then add other SP500 entities with various reinvestment rules, ERs, whatnot. Read the totals $ at top of graph.
Let us say you add VOO and VFIAX.
But you know all that already. No link needed.
Forget going to any other data on the page. Just stick with growth of 10k, please.
So ... are you explaining to all --- and this would be news, would it not ? --- that M* is in fact not really showing accurate growth of $10k.
That if I put 10k commissionfree into VOO and ditto into VFIAX on Jan 1 and checked my balance this weekend, I would not see the two very different totals that M* shows? To wit:
FUSEX:10,401.62 VOO:10,381.34 VFIAX:10,404.10.
Would be worth curious minds' querying M* about, it seems.

Links would help, or if you could say exactly what you were looking at on M*.
Here's a M* chart comparing FUSEX, VOO, IVV, and SPY over the month of June (June 1 through June 30th).
It shows what you described. Closing values for the an initial $10K in the funds were:
FUSEX - $10,025.69.
VOO    - $10,025.32 (37 cents less)
IVV      - $10,025.24 (45 cents less)
SPY    - $10,025.48 (21 cents less)
But those are NAV returns, and the ETF returns are all within about a 0.002 share rounding error. To see that these are NAV returns, look at the June monthly returns for VOO and SPY on M* here and here, respectively.
Scroll to Trailing Total Returns, and click on the Monthly tab. This will give you returns to the end of last month, i.e. to June 30th. The first data column has the one month returns, i.e. June returns.
These pages show:
VOO (price) 0.32%
VOO (NAV) 0.25% (this matches the return shown in the graph - $25.32/$10K
SPY (price) 0.35%
SPY (NAV) 0.25% (this matches the return shown in the graph - $25.48/$10K)
You appear to have posted the returns from the graph. As just shown, those are NAV returns, not price returns.
The differences among the returns shown on the graph (45 cents or less) amount to noise. That $10K bought around 50 shares of each ETF. The closing price could have been rounded up or down as much as half a cent. So the spread due to rounding on the final price alone can be as much as a penny times 50 shares, or 50 cents.

Yup, we were up 0.19% today, 7/1/16. Break out the champagne.

>> if one looks at market return (what an actual investor would get) as opposed to NAV return,
What I posted was M* growth of $10k. Presumably what an actual investor would get investing $10k at the start date and going to the market close of the end date. No? Am I not getting something? Not NAV so far as I can tell but supposedly actual performance.
I can go back farther of course to see exactly what obtains. Did not to me seem rounding error necessarily.
Ah; well, here is ytd, investing $10k on Jan 1, so far as M* knows:
S&P 500 TR USD - just under $406 gain
FUSEX - just under $402
VFIAX - just over $404
VOO - just over $381 wtf
SPY - just under $396
Tracking? Plus ER?

If you are looking for a mutual fund that plays stock market pullbacks automatically you might wish to study CTFAX to see if its strategy might interest you and it might be a strategy to incorporate within one's own portfolio to take advantage of stock market movement.

I have always felt that this fund was designed by the marketing department - I felt that way when it was first announced, and upon rereading the prospectus, I still feel that way. I may post more about the fund at some point in another thread.
Here I'll stick with how it dealt with the Brexit pullback. Its basic problem is that it is not allowed to reverse course for 31 days. (That appears to be out of concern about triggering the wash sale rule.)
It decreased its equity exposure down to 20% (from 25%) in early June (with the S&P 500 rising above 2100). Consequently it was not allowed to increase its equity exposure for the rest of the month, even as the S&P retraced its path below 2100, and even went below 2000 on June 27th.
Had the market not moved so fast, the fund would have increased its equity holdings to 30% at that point, and gradually sold off equities as the market resumed its upward path. Instead, it just sat there. At least if it did what the prospectus required.
It is worth reiterating - the 31 day "cooling off period" is strictly for tax reasons. The prospectus offers no tactical justification.

Not fighting here either, just interpreting "stocks have been flat" differently.
In my mind, it's equivalent to saying "the stock market's been flat, so there wasn't any point in having investing in stocks" (regardless of whether one used funds or individual stocks).
Regarding the spread: A spread of 45 cents on $10K is 0.0045%. On a share price around $200 (IVV), that's less than a penny. It's just rounding.
But if one looks at market return (what an actual investor would get) as opposed to NAV return, the differences are more marked. I compared FUSEX, VOO, VFIAX, and S&P 500 TR. (M* data for month ending 6/30/16). The only one that had a different return is VOO (at 0.32% vs. 0.26% for the others).
Recognizing that VOO and VFIAX are two different share classes of the same portfolio (not two identical portfolios, but a single portfolio), and that they have identical ERs, the only explanation for the deviation would seem to be market return vs. NAV return.

>> why not just use indexes themselves ... ?
A liking for actual investor return based on plausible behavior, rather than theory, that's all. (For when someone says 'stocks have been flat' blah blah.) Not picking a fight with you of all people. I want to know what would happen to my $10k if I go to Fido and buy whatever the last day of the year, or the first day of the next, and the gain or loss as of CoM at any given close. That's the only reason.
Interesting that the $10k-growth spread over the last month among SPY, FUSEX, VOO, and IVV is 45 cents, with Fido on top --- above Vanguard by 37 of those cents. Huh.

I did like MikeM, bought when it opened, sold it late 2013 for a decent gain because I found his emphasis on PM stocks and how the market was "rigged" unimpressive. I generally think that managers who claim that the market is rigged mean that they just don't know how to invest in it which, to his credit, he seems to recognize now, according to David: "Given recent developments, he doesn't know when we'll next see a "normal" investing environment. Central banks are almost certain to follow free money policies, which only reward speculators, for the foreseeable future."
I respect that. He's saying he doesn't understand this market and isn't comfortable with it, so, if I understand him right, he's letting his fund be shut down despite respectable AUM. If more managers had that attitude, the investing world would be a better place.

I got the S&P 500 Total Return performance from the M* chart of VTSMX where I added the S&P 500 as a benchmark. Here's the link again for that chart. You can read the S&P 500 total return ending value for the period in the chart (Dec 31, 2014 to June 29, 2016). It's $10,279.39 (2.79% return).
Here's the same result using a chart for FUSVX.
Cash drag (due to UIT reinvestment rules) is a problem found in only a few ETFs like SPY. But all ETFs have another problem in measuring market performance. Their prices don't match their NAVs - so any pretend purchase (which by definition of "purchase" uses the purchase price) results in performance data that differs from the market.
For example, the YTD (price) return for SPY as of June 30th (M* data) is 3.82%, while the NAV YTD return is 3.74%.
Other problems using index funds as proxies for market performance are tracking error due to embedded expenses, and tracking error due to, well, inaccurate tracking (e.g. portfolios that don't exactly replicate the index).
With all these (admittedly minor) errors, why not just use indexes themselves to measure market performance? After all, that's what indexes are designed for. And index total return figures are just as easy to pull out of Morningstar (or Yahoo, or ...) as are fund return figures. See links above.