iMarketSignals – improve investment performance

We provide unbiased guidance to market direction. Our models can be classed into following  groups:

  • Leading recession indicators:
    • BCI is a Business Cycle Indicator optimised to identify a looming recession constructed from economic data series.
    • COMP is a recession indicator model constructed by combining third party leading indicators.
  • Buy and Hold investing. These models are macro by nature; trading signals from the models occur infrequently and are un-hedged – one does not have to trade constantly in and out of the markets.
    • IBH is a stock market model based on economic indicators.
    • MAC-US is a moving average crossover model for the S&P500.
    • MAC-AU is a moving average crossover model for the Australia All Ordinaries Index.
    • BVR is a bond market model based on mathematics alone.
    • Yield-Curve is a trend-following model.
    • GOLD is a rate-of-change trend-following model.
    • SILVER is a rate-of-change trend-following model.
  • Active weekly trading models based on a proprietary ranking system updated each week to generate un-biased and un-hedged buy- and sell-signals.
    • iM-BestX are weekly trading models based on the S&P 500, S&P1500 and Russell 1000 stock index series.
    • iM-Best(SPY-SH) is a market timing model, updated weekly on Sundays for the coming week.
    • iM-Best1(Sector SPDR) is a rotation system for the Select Sector SPDR® ETFs that divide the S&P500 into 9 sectors.
    • iM-Best(SSO-TLT) is a ETF switching system based on market timing.
    • iM-Best Combo3 is a combination model of Best(SPY-SH) + Best1(Sector SPDR) + Best(SSO-TLT), updated weekly on Sundays for the coming week.

The models are updated weekly and the charts depict the state of the various markets. They can be seen by registered/logged-in members.

The models have all been published. Before the models were available on the internet, weekly updates for the IBH, MAC, BVR and Yield-Curve were sent by email to subscribers for about two years – here are some of their comments:

 

This model and your fine work has been quite remarkable (and profitable). I have been enjoying your observations for quite some time. Job well done.
Edward Chrusciel

Your system looks pretty good. In fact, I was amazed by the high percentage winning trades and the very low drawdowns. I’ve never seen anything like that in a MA system.
Tom Swiatek

Regardless of which version one uses, it’s a powerful system. And it answers one of the most troubling worries that investors have. It efficiently gets them out of harm’s way when the market crashes.
Erik Conley

Thank you for your unique and excellent work. We will appreciate receiving your Modelling updates. Thanks!
Chuck Szkalak

The average investor reads the financial news and thinks that gives him an edge. That only tells him what everyone else knows and is worried about. We follow the excellent work of Georg Vrba, who has a top-rated coincident recession indicator as well as a successful stock/bond asset allocation model. Here is his most recent comment:  “My own composite short leading economic indicator, which has the  highest score of all indicators so far tested, does not support the notion of a recession anytime soon.” I listen to Georg, and you should too.
Jeffrey A. Miller, PhD, President NewArc Investments, Inc.

I took that S&P buy signal of yours with a little $50K futures contract and am very happy thank you.
Dwaine van Vuuren – CEO of PowerStocks

I have read and studied all your articles with interest. I have learned much from your perspectives and will continue to follow your work.
David Hamilton

Thank you for all your outstanding analysis. Let me say that I couldn’t agree more that data beats opinion.
Dave Lincoln

Georg Vrba asks whether the ECRI is still relevant. Great analysis and charts.
Jeffrey A. Miller, PhD, President NewArc Investments, Inc.

 

I very much liked the write up on your models, and if I may add these have a particular appeal and interest having been developed by a fellow engineer.
Paul Willis

Have seen so many manipulate data to fit their predetermined biases and love the way you methodically deconstructed the moving averages to debunk this one. It shows the difference between intellectual laziness and intellectual rigor which you fit to a tee.
Kuosen Fung, CFP®

Your work is really interesting and I’d love to receive your updates or any other information you publish. I honestly think your results indicate there is a way to time stock and bond market exposure. Most likely people will remain human and many will follow their “gut feel” or let fear or greed override any mathematical analysis. This is why your methods will most likely continue to work.
James Schwartz, CFP®

Georg Vrba, whose excellent work on recession forecasting has helped our readers, has two different market-timing methods. His most recent article explains that the next great bull market might already be here.
Jeffrey A. Miller, PhD, President NewArc Investments, Inc.

… as always love your analysis! Always eager for Friday’s just to receive your reports!
Jose R Barcelo

I agree with your viewpoint that mathematical models provide better guidance to market directions than financial experts. Thanks so much!
C.T. Wu, PhD in EECS

I just read your article on identifying recessions. Great work!
Richard G Greenwald, AAMS, CRPC

I appreciate using math to model financial behaviour and appreciate your good work.
Richard E. Hamrick, CFA®

This time it is perma-bear Albert Edwards warning investors about the “Ultimate Death Cross” taking the S&P 500 back to 666. Georg Vrba takes the analysis even further. He shows that Edwards’ prediction is almost impossible to accomplish if you actually do the math on the moving averages involved. In addition, he demonstrates that the current indicator conditions are actually bullish based on historical data.
Jeffrey A. Miller, PhD, President NewArc Investments, Inc.

I have great respect for your work and am grateful to be included on your list.
Marvin Snyder

I have your historical charts going back and it is great material. I appreciate your insights. Steve Wenstrup

 

I have been following your work for some time and have been very impressed.
Steve McCarthy, CPA, CFP®

I’m impressed that you provide this much analysis each week. Thank you for your insights. Your charts are beautiful & clear.
Brett Bowman

I am really impressed by your work and liked very much your last research on gold and silver. It’s good to see that you are expanding the scope of possible investments.
Nicolas Tabourdeau

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Featured

Avoiding Stock Market Crashes with the Hi-Lo Index of the S&P500

  • This daily indicator is calculated as the ratio of the number of S&P500 stocks that have reached new 3-month-highs minus those that have reached new 3-month-lows, divided 500.
  • Exiting and entering the stock market according the indicator’s signals would have avoided major drawdowns of the market during the backtest period from Jan-2000 to Aug-2015.
  • Switching according to the signals between stock ETFs and the Intermediate Treasury Bond ETF IEF would have produced much higher returns and lower drawdowns than buy-and-hold of the stock ETFs.

Best3x4(S&P500 Min-Volatility) Variable Asset System with Minimum Volatility Stocks of the S&P 500

  • This model can hold 3 to 12 stocks, at variable weightings, selected by a ranking system from a minimum volatility stock universe of the S&P500.
  • The model has 12 equally weighted slots; a very high ranked stock could occupy a maximum of 4 slots, that is a nominal 33% weighting of the model’s total assets.
  • When adverse stock market conditions exist, the model reduces stock holdings by 35% and invests the proceeds in the -2x leveraged ProShares UltraShort S&P500 ETF (SDS).
  • The backtest produced a simulated average annual return of about 36% from Jan-2000 to end of June-2015 with a maximum draw-down of minus 22%.

Estimating Market Direction and Long-Term Returns with a 35-Year Moving Average of Robert Shiller’s P/E10

  • The long-term mean of the Shiller Cyclically Adjusted Price to Earnings Ratio P/E10 incorporates time-inconsistent data, causing substantial underprediction of realized stock returns in recent decades.
  • Better prediction of market direction and returns can be achieved by using a 35-year moving-average of P/E10, instead of its long-term mean.
  • Stocks seem only overvalued after P/E10 becomes greater than its 35-year moving average plus 7.5 added to it, with major market declines starting one to five years thereafter.
  • An analysis shows that whenever P/E10 rose from below to above its 35-year moving average significant ten-year gains for stocks followed.
  • Both the historic market trend, and the current level of the Shiller CAPE P/E10, suggest probable real market gains of about 20% to 28% to the end of 2020.

Minimum Volatility Stocks: Does Frequent Trading Result in Better Returns?

  • Two trading models are compared which select periodically 8 large-cap minimum volatility stocks from the Health Care, Consumer Staples, and Utilities sectors of the S&P 500.
  • The models only differ from each other with regard to hedging, and sell rules which extend stock holding periods for one model to longer than one year.
  • Backtests over a 15.5 year period show similar average annualized returns of about 36% for both models, but the number of realized trades differ, 148 versus 618.
  • The analysis shows that in this case, and perhaps in general, frequently trading minimum volatility stocks does not necessarily produce better returns than for one year minimum holding periods.

Best8(S&P500 Min-Volatility)-Tax Efficient Large-Cap Portfolio Management System With Minimum Volatility Stocks of the S&P 500

  • This model invests periodically in eight highly liquid large-cap stocks selected from those considered to be minimum volatility stocks of S&P 500 Index.
  • Most stock positions are held for longer than one year resulting in a Tax Efficiency ratio of 81.4%.
  • When adverse stock market conditions exist the model shorts the 3x leveraged Ultrapro S&P500 ETF (UPRO) – hedge/current holding ratio= 45%.
  • It produced a simulated average annual return of about 36% from Jan-2000 to end of June-2015.

With reference to Section 202(a)(11)(D) of the Investment Advisers Act: We are Engineers and not Investment Advisers, read more ...
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