This page list past work we have reported that is no longer current. Please use for reference only.
This Combo was presented as an example to demonstrate the risk reduction when combining simulation models with Best(SPY-SH). It was not an invitation to subscribe to the stock models at P123. The Combo is not available for subscription at iM, but could be simulated in a “book” at P123. This would require a membership at P123 and subscriptions to the relevant R2G models as well.
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This binary model switches between SPY (SPDR® S&P 500® ETF) and SH (ProShares Short S&P500 ETF) depending on market direction. Using a web-based trading simulation platform, our ranking system, and specific buy and sell rules, this model would have produced an average annual return of about 27.7% from January 2000 to middle of August 2013, versus 2.8% for a buy-and-hold investment of SPY over the same period.
An algorithmic market timing system has been developed using the SPY (the ETF tracking the S&P 500) to generate trading signals for the stock market. This is a binary model – either IN or OUT of the market. This trading system produced 4 times more value than a continuous investment in SPY over the period from Jan-2-1999 to Aug-15-2013
The Best8+ Best8+ algorithm has been improved to achieve a CAGR of 60.27% to outperforming the the S&P 500 with dividends (SPY) 522 times, that is for an investment over a period from January 2, 1999 to May 31, 2013. In comparison to this deprecated version that achieved a CAGR of 55.23% which outperformed the SPY by a factor of 333.
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In a previous article I demonstrated that one could obtain a CAGR of 35% over the last 14 years by using a ranking system, and periodically rebalancing one’s portfolio to hold only the 10 highest ranked stocks of a S&P 500 stock pool. This article demonstrates that a CAGR of 50% over the same 14 years could be achieved by removing poor performing stocks from the S&P 500 pool and adding high performing stocks and applying the ranking and trading algorithm to a pool of 429 stocks
The S&P 500 has notched up significant gains over the last year. But looking a bit further back then the performance of the stock market is dismal. A 1999 investment made in SPDR S&P 500 (SPY) has only produced a negative real compound annual growth of -0.3%, with dividends reinvested. However, one should get much better returns by following the signals from a well constructed portfolio optimization system, which according to my analysis would have produced real average annual returns of about 30% in the past.