The iM Composite Timer Gold-Stocks-Bonds

  • The iM-Gold Timer and the iM-Composite Market Timer are used in combination to signal periodic investments in gold, stocks and bonds.
  • From Jan-2000 to Jan-2017 the Gold Timer signaled eight gold investment periods totaling only 9.3 years, while for the remaining periods totaling 7.7 years the model would have been in cash.
  • During the “cash periods” the Composite Market Timer provides the signals when to invest in stock and/or bond ETFs. Bond ETFs include the ETF (XLU) are also selected according to the prevailing Market Climate Score (MC-Score) and a ranking system.

The model was backtested from Jan-2000 to Jan-2017 using the on-line portfolio simulation platform Portfolio 123, which also provides extended price data for ETFs prior to their inception dates calculated from their proxies. Trading costs of 0.1% of all trade amounts were applied to provide for slippage and broker commission.

The ETF Selection List:

In the simulation the specified position weight is 50%, requiring the model to always hold simultaneously two ETFs, which can be two gold-ETFs, or two stock-ETFs, or one stock- and on bond-ETF, or two bond-ETFs selected from the list below.

GOLD:    SPDR Gold Shares (GLD),
   iShares Gold Trust (IAU).
 STOCKS     Guggenheim S&P 500 Equal Weight ETF (RSP)
   ProShares Ultra S&P500 (SSO).
 BONDS     when MC-Score <=3:
   iShares iBoxx $ Invst Grade Crp Bond (LQD),
   Vanguard Emerging Markets Govt Bd ETF (VWOB),
   Utilities Select Sector SPDR ETF (XLU).
 BONDS     when MC-Score >3:
  Vanguard Mortgage-Backed Securities ETF (VMBS),
  Schwab US TIPS ETF (SCHP),
  Vanguard Intermediate-Term Bond ETF (BIV).

Performance

The simulated performance is shown for three versions:

            Figure-1: Gold only (iM-Gold Timer),

            Figure-2: Gold and stocks,

            Figure-3: Gold, stocks, and bonds (iM-Gold-Stocks-Bonds Timer).

Note the approximately 1.5-times leverage when the model simultaneously holds RSP and SSO.

For the 17 year backtest period the simulated annualized return increases from 13.26% for the iM-Gold Timer to 25.73% for the iM-Gold-Stocks-Bonds Timer. Maximum drawdown occurred when the model was in gold, and remains the same -24% for all three versions.

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Risk

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Trading Statistics

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Following the model

On iMarketSignals (Gold membership required) we will track this model, with weekly trading signals normally provided on Sundays.

Disclaimer

Note: All performance results are hypothetical and the result of backtesting over the period 2000 to 2017. Out-of-sample performance may be different. No claim is made about future performance.

Appendix

List of historic trades

 

Symbol

Open

Close

Days

Pct. Return

1

LQD

01/03/2000

01/24/2000

21

-1.00%

2

VWOB

01/03/2000

01/18/2000

15

-1.30%

3

XLU

01/18/2000

01/31/2000

13

2.70%

4

VWOB

01/24/2000

02/07/2000

14

1.10%

5

LQD

01/31/2000

02/14/2000

14

0.20%

6

RSP

02/07/2000

06/19/2000

133

7.50%

7

VWOB

02/14/2000

02/28/2000

14

0.70%

8

LQD

02/28/2000

03/13/2000

14

-0.30%

9

VWOB

03/13/2000

03/27/2000

14

1.10%

10

LQD

03/27/2000

04/10/2000

14

1.10%

11

VWOB

04/10/2000

04/24/2000

14

-2.00%

12

LQD

04/24/2000

10/16/2000

175

3.40%

13

VWOB

06/19/2000

10/09/2000

112

5.40%

14

SSO

10/09/2000

11/06/2000

28

3.10%

15

RSP

10/16/2000

11/06/2000

21

6.50%

16

LQD

11/06/2000

04/02/2001

147

7.50%

17

VWOB

11/06/2000

04/02/2001

147

6.90%

18

IAU

04/02/2001

05/29/2001

57

7.50%

19

GLD

04/02/2001

05/29/2001

57

7.50%

20

LQD

05/29/2001

09/10/2001

104

4.80%

21

VWOB

05/29/2001

09/10/2001

104

1.30%

22

IAU

09/10/2001

03/17/2003

553

25.60%

23

GLD

09/10/2001

03/17/2003

553

25.30%

24

LQD

03/17/2003

03/31/2003

14

0.90%

25

VWOB

03/17/2003

03/31/2003

14

0.50%

26

SSO

03/31/2003

04/21/2003

21

10.20%

27

RSP

03/31/2003

04/21/2003

21

6.20%

28

IAU

04/21/2003

03/17/2008

1792

200.70%

29

GLD

04/21/2003

03/17/2008

1792

198.70%

30

VWOB

03/17/2008

05/05/2008

49

1.90%

31

LQD

03/17/2008

05/05/2008

49

1.60%

32

GLD

05/05/2008

09/29/2008

147

3.70%

33

IAU

05/05/2008

09/29/2008

147

3.50%

34

LQD

09/29/2008

03/30/2009

182

13.90%

35

VWOB

09/29/2008

03/23/2009

175

-3.80%

36

XLU

03/23/2009

04/06/2009

14

-1.70%

37

VWOB

03/30/2009

04/13/2009

14

6.60%

38

LQD

04/06/2009

04/20/2009

14

3.20%

39

RSP

04/13/2009

06/01/2009

49

15.90%

40

VWOB

04/20/2009

05/04/2009

14

2.40%

41

LQD

05/04/2009

05/18/2009

14

0.70%

42

VWOB

05/18/2009

06/08/2009

21

1.20%

43

LQD

06/01/2009

06/15/2009

14

1.50%

44

GLD

06/08/2009

02/01/2010

238

15.60%

45

IAU

06/15/2009

02/01/2010

231

18.60%

46

SSO

02/01/2010

04/05/2010

63

18.40%

47

RSP

02/01/2010

04/05/2010

63

11.60%

48

IAU

04/05/2010

08/08/2011

490

50.60%

49

GLD

04/05/2010

08/08/2011

490

50.40%

50

SSO

08/08/2011

08/29/2011

21

15.10%

51

RSP

08/08/2011

08/29/2011

21

9.20%

52

LQD

08/29/2011

01/30/2012

154

3.80%

53

VWOB

08/29/2011

01/30/2012

154

1.70%

54

SSO

01/30/2012

07/02/2012

154

8.00%

55

XLU

01/30/2012

02/13/2012

14

0.50%

56

LQD

02/13/2012

02/27/2012

14

0.50%

57

XLU

02/27/2012

03/12/2012

14

1.20%

58

LQD

03/12/2012

03/26/2012

14

-1.30%

59

RSP

03/26/2012

07/02/2012

98

-5.30%

60

VWOB

07/02/2012

09/04/2012

64

4.40%

61

LQD

07/02/2012

08/27/2012

56

1.70%

62

XLU

08/27/2012

09/10/2012

14

-0.50%

63

LQD

09/04/2012

09/17/2012

13

-0.20%

64

VWOB

09/10/2012

09/24/2012

14

-0.10%

65

XLU

09/17/2012

10/01/2012

14

-0.40%

66

LQD

09/24/2012

10/08/2012

14

0.50%

67

VWOB

10/01/2012

10/15/2012

14

1.40%

68

XLU

10/08/2012

10/22/2012

14

0.40%

69

LQD

10/15/2012

10/31/2012

16

-0.30%

70

VWOB

10/22/2012

11/05/2012

14

-0.90%

71

XLU

10/31/2012

11/12/2012

12

-7.00%

72

LQD

11/05/2012

11/19/2012

14

-0.40%

73

SSO

11/12/2012

04/01/2013

140

28.70%

74

VWOB

11/19/2012

12/03/2012

14

1.10%

75

LQD

12/03/2012

12/17/2012

14

-1.10%

76

VWOB

12/17/2012

12/31/2012

14

0.60%

77

RSP

12/31/2012

04/01/2013

91

11.00%

78

VWOB

04/01/2013

04/15/2013

14

2.60%

79

LQD

04/01/2013

04/22/2013

21

1.80%

80

XLU

04/15/2013

04/29/2013

14

3.70%

81

SSO

04/22/2013

01/06/2014

259

37.60%

82

VWOB

04/29/2013

05/13/2013

14

-0.90%

83

XLU

05/13/2013

05/28/2013

15

-3.30%

84

RSP

05/28/2013

01/06/2014

223

10.90%

85

IAU

01/06/2014

03/03/2014

56

9.00%

86

GLD

01/06/2014

03/03/2014

56

8.80%

87

RSP

03/03/2014

12/22/2014

294

11.20%

88

XLU

03/03/2014

03/17/2014

14

2.60%

89

SSO

03/17/2014

12/22/2014

280

25.80%

90

VWOB

12/22/2014

05/11/2015

140

1.80%

91

LQD

12/22/2014

05/04/2015

133

-1.20%

92

RSP

05/04/2015

06/08/2015

35

-2.00%

93

LQD

05/11/2015

05/26/2015

15

0.30%

94

VWOB

05/26/2015

07/06/2015

41

-2.60%

95

LQD

06/08/2015

07/06/2015

28

-0.10%

96

SSO

07/06/2015

07/27/2015

21

-0.30%

97

RSP

07/06/2015

07/27/2015

21

-1.50%

98

XLU

07/27/2015

08/24/2015

28

0.90%

99

VWOB

07/27/2015

08/24/2015

28

-2.60%

100

SSO

08/24/2015

09/08/2015

15

7.90%

101

RSP

08/24/2015

09/08/2015

15

3.70%

102

XLU

09/08/2015

11/16/2015

69

3.20%

103

VWOB

09/08/2015

11/09/2015

62

0.00%

104

LQD

11/09/2015

11/23/2015

14

0.80%

105

SSO

11/16/2015

12/07/2015

21

2.30%

106

VWOB

11/23/2015

06/27/2016

217

3.20%

107

XLU

12/07/2015

06/27/2016

203

19.40%

108

RSP

06/27/2016

07/18/2016

21

9.20%

109

LQD

06/27/2016

07/25/2016

28

1.10%

110

VWOB

07/18/2016

08/01/2016

14

-0.70%

111

RSP

07/25/2016

09/06/2016

43

0.80%

112

LQD

08/01/2016

08/15/2016

14

0.10%

113

VWOB

08/15/2016

08/29/2016

14

-0.10%

114

SSO

08/29/2016

09/19/2016

21

-3.90%

115

VWOB

09/06/2016

11/07/2016

62

-2.00%

116

LQD

09/19/2016

11/07/2016

49

-1.00%

117

SSO

11/07/2016

12/05/2016

28

7.20%

118

RSP

11/07/2016

12/05/2016

28

5.20%

Posted in blogs, featured
26 comments on “The iM Composite Timer Gold-Stocks-Bonds
  1. gasman says:

    Anton, Another great piece of work that expands my ideas of diversification and timing. What would a 33.3% split of combo6, combo2, and gold stocks and bonds look like?

    • geovrba says:

      That is difficult to simulate as one cannot make combos with combos. Shortly we will publish a combo combining the three composite timer models.

      The iM 3-model Composite Timer Combo combines
      • the iM-Composite Timer (SPY-IEF),
      • the iM-Composite (Gold-Stocks-Bond) Timer and
      • the iM-Composite (SH-RSP) Timer,
      and always holds 4 ETFs.

  2. vman says:

    Anton/Georg
    Like it! Quick question:

    GLD and IAU seem to be almost identical investments in their performance. Is there really any benefit to holding both?? I may use a 2x gold ETF to replace IAU. Good luck……

    Vman

    • geovrba says:

      There is no benefit to hold both GLD and IAU. We had to specify two gold ETFs because the model always holds two positions. Had we only specified one of them then it would only be allocated half of the available funds.

  3. randyfloyd says:

    25.73% annually. holy moly!

  4. hcbain says:

    How many shares of each ETF are traded in your model?

    Henry

  5. brentgoheen says:

    I’m thinking of using this with just Gold/Stocks since it is difficult to implement the Bonds portion in Canada (difficult to replicate the Bonds closely with CAD ETFs). The Ann. Returns of Gold/Stocks is still very good. Do you see any major problems with doing this?

    Brent

  6. TDCARLSON says:

    What happens to your Sharpe and DD if you use only SSO instead of SSO and RSP?

    Thanks.

    Tom C

    • geovrba says:

      The model needs 2 different ETFs. If only SSO is specified then model allocates 50% of the money to SSO and the other 50% to cash.

      However using GLD, SSO and BIV with 100% allocation to each then simulated return improves to 28.4%.

      Number of Positions 1
      Last Trades (2) 02/21/17
      Period 01/02/00 – 03/27/17
      Last Rebalance 03/27/17
      Rebalance Frequency Weekly
      Benchmark SPDR S&P 500 ETF Trust
      Universe All ETFs

      Quick Stats as of 3/25/2017
      Total Return 7,393.98%
      Benchmark Return 119.79%
      Active Return 7,274.19%
      Annualized Return 28.48%
      Annual Turnover 248.13%
      Max Drawdown -23.96%
      Benchmark Max Drawdown -55.19%
      Overall Winners (36/46) 78.26%
      Sharpe Ratio 1.43
      Correlation with SPDR S&P 500 ETF Trust 0.23

  7. Goldbeard says:

    Also curious about the last question, what happens to your Sharpe, DD, AR if you use only SSO instead of SSO and RSP?

    Also – do you still plan to do this, and if so, do you know when:

    That is difficult to simulate as one cannot make combos with combos. Shortly we will publish a combo combining the three composite timer models.
    The iM 3-model Composite Timer Combo combines
    • the iM-Composite Timer (SPY-IEF),
    • the iM-Composite (Gold-Stocks-Bond) Timer and
    • the iM-Composite (SH-RSP) Timer,
    and always holds 4 ETFs.

    • geovrba says:

      This combo produces an annualized return of about 24% with a max D/D of -15%.

      Number of Assets 3
      Last Trades (2) 01/11/16
      Period 12/31/00 – 03/24/17
      Last Rebalance 03/20/17
      Rebalance Frequency Weekly
      Benchmark SPDR S&P 500 ETF Trust

      Quick Stats as of 3/24/2017
      Total Return 3,155.32%
      Benchmark Return 147.99%
      Active Return 3,007.33%
      Annualized Return 23.94%
      Max Drawdown -15.00%
      Benchmark Max Drawdown -55.19%
      Sharpe Ratio 2.08
      Correlation with SPDR S&P 500 ETF Trust 0.32

  8. gasman says:

    Georg, would be interesting to see what (GLD&SCHP+VTV&VOE+BIV&LQD)would look like. Maybe DD would be less?

  9. geovrba says:

    Please look at:
    The iM-Low Turnover Composite Timer Combo
    http://imarketsignals.com/2017/im-low-turnover-composite-timer-combo/

    max D/D = -11.2%

  10. vman says:

    Hi Georg and Anton

    I’m anxious to see the ‘3-model Composite Market Timer Combo’ strategy you referenced above on February 24.
    When do you think you will roll it out?? Great potential with these 3 Comp Timer strategies.

    Many thanks,
    Vman

    • nmtdoc says:

      Georg,
      I would like this data as well. I know you published the results using the version of the iM-Composite Mkt Timer (GLD&SCHP+VTV&VOE+BIV&LQD)that has the 6 week hold period, but would it be possible to see the results using the original iM-Composite (Gold-Stock-Bond)Timer with iM-Composite Timer (SPY-IEF), and iM-Composite-(SH-RSP)combined into a book with 1/3 allocation to each?
      Thnx

  11. geovrba says:

    iM-Composite(SH-RSP) Timer with Standard & Composite Timer rules 33.33%
    iM-Composite(Gold-Stocks-Bonds) Timer33.33%
    iM-Composite(SPY-IEF) Timer Stocks/Bonds 33.33%

    Live since 1/23/17
    Period 01/23/17 – 04/28/17
    Benchmark SPDR S&P 500 ETF Trust
    Quick Stats as of 4/28/2017
    Total Return 7.57%
    Benchmark Return 5.73%
    Active Return 1.84%
    Max Drawdown -2.37%
    Benchmark Max Drawdown -2.61%
    Overall Winners (11/11) 100.00%

    Simulation from 12/31/1999
    Period 12/31/99 – 04/28/17
    Benchmark SPDR S&P 500 ETF Trust
    Quick Stats as of 4/28/2017
    Total Return 3,390.63%
    Benchmark Return 123.75%
    Active Return 3,266.88%
    Annualized Return 22.76%
    Max Drawdown -14.75%
    Benchmark Max Drawdown -55.19%
    Sharpe Ratio 2.00
    Correlation with SPDR S&P 500 ETF Trust 0.36

    • nmtdoc says:

      Georg,
      Could you run this again using SSO instead of RSP and SPY? I’m trying to compare this model with the iM-5ETF Trader. One of the major differences is obviously the use of leverage,another being the ranking system, and the last possibly frequency of trading. Anything you can add that would help compare/contrast the Combo2 model (RSP-SH+RSP-IEF)+ Composite Timer Gold Stock Bonds, with iM-5ETF Trader would be greatly appreciated.

      • geovrba says:

        The iM Composite Timer Gold-Stocks-Bonds uses SSO and RSP for investment in stocks. I does not use SPY.

        We will check if one can run it with SSO and UWM for more leverage.

        • nmtdoc says:

          Georg,
          Can you tell me roughly how much of the outperformance of iM5-ETF Trader vs.
          Combo2 +Composite Timer Gold Stock Bond ( no 6 week hold) is due to the ranking system and how much is due to leverage long and short?
          Thnx

  12. bwurts says:

    could you please state what year the “max DD ” occurred? Also if possible what was the second highest DD and in what year?

    thanks

  13. TDCARLSON says:

    On what date was the max drawdown for GLD-IAU?

    thanks

    Tom C

  14. TDCARLSON says:

    What would the result be if the model indicates bonds, and you just used EDV and TLT regardless of MC-score? I assume there would still be positive expectancy by using these?

    Tom C

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