Systems

We developed a novel approach to rule based trading and rule based market timing. Dedicated pages are allocated to these systems as indicated further below, and can also be found as sub-menu under the |Systems| menu above. As a general remark we elaborate to the subject of survivorship bias and curve fitting as follows:

Our rule based models are tested, using survivorship bias free data, on the Portfolio Simulations site, please refer to Survivorship Bias: neither Myth nor Fact.

Regarding concerns that our models are curve fitted to maximize past performance, please refer Section 4 of the Terms of Use/Disclaimer and the following:

Please note, any mathematical model is based on experience, and thus it can be said that it is curve fitted to the experience – that is a simple fact of mathematical modeling. This should not be seen as a negative trait provided the model is thoroughly tested during development and a transparent model description is provided.

All our models are subjected to a sensitivity study. As our models use a multitude of parameters this study ensures that the model remains stable when each and every parameter is changed independently. This should ensure that the model is robust and not crash when market conditions are different from those captured in the past.

Nothing in our description has been selected for good reading. For example, we publish the daily rolling year-on-year return or growth, something that no managed fund does. This way one can see the spread of the yearly returns at any time. The expectation being that this should, with high probability, resemble what can be expected in the future. It also shows the performance of the algorithm over different market conditions which prevailed over the back test period.

 

Rule Based Trading

Our IBHMAC , BCI or COMP models are designed  as a guide to reduce stock market investment risk.  These models do not address the choice of specific stocks.  However, sites like  Portfolio Simulations offer access to a database allowing simulations of stock trading models according to specific set of rules.

In the article Maximizing Profits in a Low Stock Return Environment with Stock Trading Systems and Asset Allocation Models of October 2012 such a simulation is discussed. This particular model was found to have no practical application in real life.

Our simulated stock trading systems are described on the dedicated page iM-BestX  Portfolio Management Systems.

 

Rule Based Market Timing

The investor often asks the question when to enter and exit the stock market. Our weekly indicators  IBHMAC , BCI or COMP models do answer part of the question; these indicators are devised from numerous financial indices.

We have now developed a rule based market timing model based on the SPY (the ETF tracking the S&P 500) using the third party Portfolio Simulations  website and is described on the dedicated page iM-Best Market Timing Systems


 



iM-Best Systems

Quick Comparison

Sep-R2G-perform table(click to enlarge)


Quick Links to Model Descriptions

iM-Best10(S&P 1500): A Portfolio Management System for High Returns from the S&P 1500

iM-Best9(Russell 1000) – Large-Cap Portfolio Management System

iM-Best8+ Portfolio Management System

iM-Best(SPY-SH) Market Timing System: Gains for Up and Down Markets

iM-Best1(Sector SPDR)  Rotation System

iM-Best(SSO-TLT) Switching System

iM-Best Combo3: Best(SPY-SH) + Best1(Sector SPDR) + Best(SSO-TLT)

iM-Best(SPY-Cash) Market Timing System

iM-Best(SSO-SDS): Beating the Market with Leveraged ETFs

Survivorship Bias: neither Myth nor Fact


Quick links to iM-Best weekly updates

iM-Best10(S&P1500) Weekly Update (delayed)

Best(SPY-SH) Weekly Update (near real time)


Quick Links to Ready-2-Go Models

Best10(S&P1500)

Best9(Russell 1000)

Best8+

Best(SPY-SH) Gains for Up & Down Markets

Best1(Sector SPDR)*

Best(SSO-TLT)

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Disclaimer: The opinions in this document are for informational and educational purposes only and are obtained from a mathematical algorithm and should not be construed as a recommendation to buy or sell the stocks mentioned. Past performance of the companies may not continue and the companies’ stock values may decline. The information in this document is believed to be accurate and represents the output of a mathematical algorithm, and under no circumstances should a person act upon the information contained within. We do not recommend that anyone act upon any investment information without first consulting an investment advisor as to the suitability of such investments for his specific situation. Also see our Terms of Use/Disclaimer.

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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