- This combination model aims to provide reasonable returns with low drawdowns during all market conditions.
- There are six equal weight component models in Combo6, five of which are from Combo5 and the BESTOGA3 is the sixth component model.
Simulated performance of component models
The performance curves of the six equal weight component models of Combo6 are shown below.
(Figure-1) Best(SPY-SH).R1 ,
(Figure-3) Best1(Select SPDR).R1 ,
(Figure-4) (SPY-IEF) Timer1,
(Figure-5) (QLD-IEF) Timer, and
Simulated Performance of Combo6
The simulated trading performance of the system from Jan-2000 to Mar-2016 is shown in Figure 7 below. The annualized return would have been 24.3% with maximum drawdown of -9.1%. All values are with dividends reinvested.
The simulated trading performance of the system from Feb-2014 to Mar-2016 is shown in Figure 8 below. The total return would have been 52.8% with maximum drawdown of -6.1%.
Figure-9 shows performance from Jan-2000 to Dec-2015. The green graph is the performance ratio of Combo6 to SPY. A rising slope of this graph indicates when Combo6 outperformed SPY; Combo6 produced about 18 times the value to December 2015 which one would have had from a buy-and-hold investment in SPY over the same period.
Calendar year performance, shown in Figure-10, ranged from a maximum of 48% for 2009 to a minimum of 10% for 2001 and 2005. There would never have been a loss over any calendar year.
Rolling 1-year returns
Figure 11 shows the rolling 1-year returns starting each trading day from 2000. The minimum return over 12 months would have been 4% and the maximum about 80%.
Distribution of Monthly Returns
Figure 12 shows the distribution of monthly returns. There were a total of 192 months in the period under consideration. Combo6 produced positive returns during 139 months and only 53 months had negative returns. SPY had 81 months of negative returns.
Correlation between component models
The correlation between the component models is fairly low, with 1.0 signifying 100% correlation.
The table below highlights the advantage of combining models. For example, the maximum drawdowns from inception range from -17.2% to -27.3% for the six component models. But when combined the drawdown becomes only -9.1%.
Following the Model
Since all component models of Combo6 are available live at iMarketSignals, a separate detailed and dedicated weekly update will not be made, however its performance can be monitored in the weekly performance tables.
One should be aware that all results for the Combo6 system are from a simulation and not from actual trading.
All results are presented for informational and educational purposes only and shall not be construed as advice to invest in any assets. Out-of-sample performance may be much different. Backtesting results should be interpreted in light of differences between simulated performance and actual trading, and an understanding that past performance is no guarantee of future results. We can make no claims about future performance of this combination model, which may include significant potential for losses. All investors should make investment choices based upon their own analysis of the asset, its expected returns and risks, or consult a financial adviser. The designer of this model is not a registered investment adviser.