A Combination Model of: Best(SPY-SH).R1 + Best1(Sector SPDR).R1 + Best(SSO-Bond).R1
Due to inconsistencies in SPEPCY (SP500 Current Year EPS Estimate) data at the beginning of the calendar year we have amended Combo3.
Going forward we will not replicate the signals from the P123 subscription models anymore as the P123 models can only be revised every six months. We have set up new component models for Combo3.R1 which incorporate rule changes.
Best(SPY-SH).R1 replaces Best(SPY-SH), (Figure-1).
Best(SSO-Bond).R1 replaces Best(SSO-TLT), (Figure-2). Currently Bond = TLT. In future TLT could be replaced with IEF or SHY.
Best1(Select SPDR).R1 replaces Best1(Select SPDR), (Figure-3).
The simulated trading performance of Combo3.R1 from Feb-2014 to Feb-2016 is shown in Figure 5 below. The total return would have been 48.6% with maximum drawdown of -7.3%. For the same period the reported out-of-sample total return for Combo3 was 26.3% with maximum drawdown of -11.3%.
Simulated performance of component models
Simulated Performance of Combo3.R1
Rolling 1-year returns
Distribution of Monthly Returns
Correlation between component modelsThe correlation between the component models is fairly low, with 1.0 signifying 100% correlation.
Following the Model
This model can be followed live at iMarketSignals, where it will be updated weekly together with our other trading- and macro models.
One should be aware that all results for the Combo3.R1 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.