iM-Best Market Timing Systems

iM-Best(SPY-IEF Market Timer)

Stock market timing models usually provide discreet signals indicating whether to be in or out of the market. A better approach with potentially less risk is to stage investments over time when entering or exiting the market. Three market timing models with low correlation to each other are used in combination to provide staged signals, indicating stock market investment in 25% increments from 0% to 100%.

A full description iM-Best(SPY-IEF Market Timer): A Combination of Three Market Timing Models


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

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.

A full description in iM-Best(SPY-SH) Market Timing System: Gains for Up and Down Markets.  This model can be simplified to a SPY-Cash strategy or used in a leveraged scenario using the ETFs SSO and SDS, see below.

Furthermore for the sophisticated investor, iM-Best(SPY-SH) can be used in combination with other models thereby substantially reducing the risks, this is discussed in the article iM-Best Combo:  High Performance Models in Combination with iM-Best(SPY-SH).
Another application is using this system to move in and out of the world markets as described in
Better Returns from World Markets with iM-Best(SPY-SH) Market Timing System

iM-Best(SPY-Cash)

This binary model uses the signals from the iM-Best(SPY-SH) Market Timing System, and switches between SPY (SPDR® S&P 500® ETF) and Cash instead of SH.  This model would have produced an average annual return of about 16.3%  from January 2000 to the end of August 2013, versus 2.6% for a buy-and-hold investment of SPY over the same period, with maximum drawdowns of -15% and 55%, respectively. (Had one used the small-cap Russell 2000 ETF – IWM instead of SPY then the average annual return would have been about 21.5% with a maximum drawdown of -21%.)

Full description read iM-Best(SPY-Cash) Market Timing System

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

Using the simulated investment periods determined with the iM-Best(SPY-SH) Market Timing System, we calculated performance figures resulting from the model switching between the ETFs SSO and SDS, instead of SPY and SH. This alternative system would have produced an average annual return of about 55.6% from January 2000 to the end of August 2013, versus 2.6% for a buy-and-hold investment of SPY over the same period.

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

Notes to iM-Best(SPY-SH) and iM-Best(SPY-Cash)
Subsequently to publishing iM-Best(SPY-SH) Market Timing System we have changed the model’s algorithm as follows:

  1. The price of the transaction is taken as the next day’s close instead of the average of next day’s Hi/Lo. Since the model is rebalanced on the weekend with the Friday information, the next day’s closing price would be the Monday’s closing price. This change reflects more accurately a 401k situation where the fund prices are calculated with the market’s closing prices.
  2. Slippage is assumed at 0.05%.
  3. The new stop-loss provisions in the model, percentage from highest close since position started, has been set at -8% for SPY and SH.

The result of these changes results in the small differences in the listings of Table 4 and Table 3 in the descriptions of Best(SPY-SH) and Best(SPY-Cash), respectively.

The launched R2G model, Best(SPY-SH) Gains for Up & Down Markets, will incorporate the same changes, but will have a prescribed slippage set at 0.10%. Therefore the simulated performance for the R2G model will be slightly lower.

Our weekly update of Best(SPY-SH) will also reflect those changes.

 iM-Best(SSO-TLT) Switching System

This model switches between SSO and TLT depending on market direction. Using a web-based trading simulation platform and only market timing buy and sell rules in the algorithm, then this model would have produced an average annual return of about 38% from January 2000 to end of December 2013, versus 3.5% for a buy-and-hold investment of SPY over the same period.

For full description read iM-Best(SSO-TLT) Switching System

This model combines particularly well with iM-Best(SPY-SH) and iM-Best(Sector SPDR) for a high liquidity and low volatile ETF investment strategy, which is described in iM-Best Combo3: Best(SPY-SH) + Best1(Sector SPDR) + Best(SSO-TLT)

 


Weekly updates are featured on the homepage and email notification of the signals are to Silver and Gold subscribers only.


 



iM-Best Systems

Quick Comparison

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Quick Links to Model Descriptions

R2G & iM(Silver) iM-Best10(S&P 1500): A Portfolio Management System for High Returns from the S&P 1500

R2G iM-Best9(Russell 1000) – Large-Cap Portfolio Management System

R2G iM-Best8+ Portfolio Management System

R2G iM-Best8(S&P500 Min-Volatility) Large-Cap Portfolio Management System With S&P 500 Minimum Volatility Stocks

iM(Gold) iM’s Best12(USMV)-Trader Minimum Volatility Stocks

iM(Gold) iM’s Best12(USMV)Q1..4-Investor Minimum Volatility Stocks (The Q3 model available to Silver)

iM(Silver) iM-Best10(VDIGX) Trading the Dividend Growth Stocks VDIGX

R2G & iM(Silver) iM-Best(SPY-SH) Market Timing System: Gains for Up and Down Markets

R2G & iM(Gold) iM-Best1(Sector SPDR) Rotation System

R2G & iM(Gold) iM-Best(SSO-TLT) Switching System

iM(Gold) 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 Ready-2-Go Models

Best10(S&P1500)

Best9(Russell 1000)

Best8+

Best8(S&P500 Min-Volatility)

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

Best1(Sector SPDR)*

Best(SSO-TLT)

When subscribing to P123 please use this link or enter token IMARKETSIGNALS when registering to obtain 30 days free membership.


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.

17 comments on “iM-Best Market Timing Systems
  1. mrstock says:

    Why are you running the iM-Best(SPY) backtest from Jan-2-1999 while running the iM-Best(SPY-SH) only from Jan 2000 ?

  2. geovrba says:

    Some of the parameters and their derivatives are only completely valid from September 1999 onwards for Best(SPY-SH), so I guess I could have started the model then.

  3. sward5 says:

    In the Quick Comparison chart you use “average annual returns” or columns D-H. Are those returns really the compound annual growth rate? If so, a CAGR of the same number is better than an AAR.
    Also, where did you get the YTD total return for SPY? Morningstar and Yahoo have it as 16.04% for 2013 YTD as of Aug 30 not 13.14%

    Steve

    • geovrba says:

      Steve,
      Returns are calculated with the excel function “XIRR” A compound annual growth rate (CAGR) measures the rate of return for an investment — such as a mutual fund or bond — over an investment period, such as 5 or 10 years. The CAGR is also called a “smoothed” rate of return because it measures the growth of an investment as if it had grown at a steady rate on an annually compounded basis. i.e average annual return.

      Morningstar And Yahoo must be doing their calculation incorrectly, perhaps they are showing annualized returns. According to Yahoo Finance and P123: SPY adjusted for dividends on 1/2/13 = 144.65. On 8/30/13 = 163.65. YTD return: (163.65-144.65)/144.65= 13.13%.

      • geovrba says:

        US mutual funds report the average annual compounded rates of return, for 1-year, 5-year and 10-year periods as the “average annual total return,” for each fund. Vanguard refers to this as “Average Annual Returns”, same as I did. The following formula is used:

        P(1+T)^n = ERV
        Where:

        P = a hypothetical initial payment of $1,000.
        T = average annual total return.
        n = number of years.

        ERV = ending redeemable value of a hypothetical $1,000 payment made at the beginning of the 1-, 5-, or 10-year periods at the end of the 1-, 5-, or 10-year periods

        • geovrba says:

          Here is how Vanguard calculates Average Annual Returns for their funds:

          Average Annual Return is calculated using the formula below:

          [(( cumulative return / 100) + 1)^ (1 / time period*) ? 1] x 100

          The cumulative, or total return of a fund over a given period can be calculated using the following formula:

          If there have not been any distributions:

          [ ( Ending price – 1 ) / Beginning Price ] x 100 = Total Return

          If there have been distributions:

          Calculate reinvestment factor(s).

          Step 1: (1st (earliest) distribution / 1st reinvestment price) + 1 =
          1st reinvestment factor

          Step 2: (2nd distribution x 1st reinvestment factor / 2nd reinvestment
          price )

          + 1st reinvestment factor = Cumulative Distribution
          Reinvestment Factor (CDRF).

          Step 3: Repeat step 2 until all distributions are accounted for and
          final CDRF has been calculated.

          Step 4: [ ( Ending price x final CDRF – 1 ) / Beginning Price ] x 100
          = Total Return

  4. ukbrummy says:

    Hi Georg, I am using the market timing from this model to help decide when to invest new money into my best10 subscription. Just wanted to let you know that I find it useful and that I appreciate the information being free of charge, mike

  5. geovrba says:

    Possibly a good idea for investing new money. I checked Best10 for investment periods to only coincide with the times when Best(SPY-SH) is in SPY. That reduces the CAGR for Best10 to about 30%.

  6. Brandon says:

    Hi..Portfolio 123 no longer lists the number of ‘holdings’ therefore we cannot see if the Best SPY system is in or out of the market.

    • geovrba says:

      Brandon, indeed they have changed the listings for the models. Number of holdings has disappeared and you can therefor not determine whether model holds SPY or not. Thank you for pointing this out.

      I suggest that you leave your email address in the Best(SPY-SH)News box. You will then receive email notification every Sunday of Best(SPY-SH) holdings.

  7. fmparzen says:

    from the p123 description it says “….The model is rebalanced weekly using the next day close for the transaction price. There are no buy rules, but the sell rules, apart from the stop-loss provisions, uses volatility, risk premium, earnings estimates and moving average cross-overs: ”

    there are no buy rules??? so lets assume i start long in spy. so i am in spy unless the sell rule says sell. then what happens? how does a buy get triggered then?

    • geovrba says:

      You are referring to the Best(SPY-SH) model. Assuming model is in SPY and sell rule kicks in, then SPY is sold and SH is bought, because SH would have a higher rank than SPY at that time. The model always buys the higher ranked ETF, so no specific buy rule is required.

  8. dtnpm0304 says:

    What’s the difference in subscribing directly through this website vs. the Portfolio123 website for the iM-Best (SPY-SH) model?

    • geovrba says:

      Portfolio123 provides automated emails on Monday morning to communicate signals. At iM we send signals by normal email earlier on Sundays. Cost at iM is $40 per month for Best(SPY-SH) plus all the macro signals. Cost at P123 is $45 p.m. plus min membership fee of $35 p.m.

  9. macor8 says:

    Hi, I am trying to understand when the signals are given and whether it is realistic for me to be able to act on such signal at the price stated in the spreadsheet.
    For instance, on 8/24/15 a signal was given to switch from SH to SPY. In your spreadsheet the values at which such a switch occurred are closing prices of 8/24/15. When was that signal given? If on 8/24/15, at what time of the day? I did not receive an email concerning that switch…would that be possible? As happens I checked your website in the evening of 8/24/15 and only found out then about the switch. I could only carry it out at opening prices the next day which were about 3% worse that previous closing prices. That is a 6% difference when both sides of the switch are considered.
    Thanks

    • Anton Vrba says:

      As a Gold member you should receive our email notification. We send 4 emails a week:
      Sunday: Trading signals of our models
      Tuesday, Notification of the R2G Best10(S&P 1500) trades one day delayed as per agreement with portfolio123
      Thursday: Business Cucle Index update
      Friday: Macro signal update.

      Please ensure that on your homepage that the boxes on the top right of the screen are ticked for the emails you want to receive.

      Also ensure that AOL, who have agressive anti-spam policies, deliver the email by ensuring that imarketsignals.com is not spammed.

  10. doraville says:

    I’m trying to understand the historical performance of this strategy. From reading through the comments at P123, it looks like there was a revision after the large drawdown in late 2014. I understand that P123 does not allow historical performance to be revised once the system goes live, but it’s important to know whether the revised parameters would have avoided the bad switch to SH in October 2014. I understood from the comments that you posted a revised system history but later took it down because it caused too much confusion. I would really like to see the simulated results using the current parameters. Is there a way for me to see that, perhaps by email if you’re concerned about it causing comfusion?

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