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

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%

‹ BCI January 26, 2017

iM Update* – January 27, 2017 ›

Posted in blogs, featured

34 comments on “The iM Composite Timer Gold-Stocks-Bonds”

1. gasman says:

   Jan 28, 2017 at 5:42 pm

   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?

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   • geovrba says:

     Feb 12, 2017 at 8:22 pm

     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.

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     • IMARKETBRAD says:

       Mar 29, 2021 at 2:05 am

       I am very interested in this combo. Any idea when? Also, will it have several choices in each class of investment, or allow duplicates, so that it can be concentrated if that is the best solution?

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2. vman says:

   Jan 30, 2017 at 4:34 pm

   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

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   • geovrba says:

     Feb 12, 2017 at 8:14 pm

     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.

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3. randyfloyd says:

   Jan 31, 2017 at 8:37 pm

   25.73% annually. holy moly!

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4. hcbain says:

   Feb 4, 2017 at 6:53 pm

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

   Henry

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   • geovrba says:

     Feb 12, 2017 at 8:16 pm

     The number of shares of each ETF increases as the portfolio value increases.

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5. brentgoheen says:

   Feb 12, 2017 at 11:32 pm

   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

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   • geovrba says:

     Mar 25, 2017 at 10:22 pm

     No problem with going to cash instead of bonds. Annualized Return is only about 2% lower.

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6. TDCARLSON says:

   Feb 13, 2017 at 10:06 pm

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

   Thanks.

   Tom C

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   • geovrba says:

     Mar 25, 2017 at 10:29 pm

     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

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7. Goldbeard says:

   Feb 24, 2017 at 4:53 pm

   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.

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   • geovrba says:

     Mar 25, 2017 at 10:35 pm

     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

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8. gasman says:

   Apr 6, 2017 at 3:45 pm

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

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9. geovrba says:

   Apr 6, 2017 at 4:37 pm

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

   max D/D = -11.2%

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10. vman says:

    Apr 28, 2017 at 8:16 pm

    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

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    • nmtdoc says:

      Apr 30, 2017 at 9:40 pm

      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

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11. geovrba says:

    Apr 30, 2017 at 10:04 pm

    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

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    • nmtdoc says:

      May 23, 2017 at 6:38 pm

      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.

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      • geovrba says:

        May 23, 2017 at 8:55 pm

        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.

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        • nmtdoc says:

          May 24, 2017 at 6:30 pm

          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

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12. bwurts says:

    May 16, 2017 at 3:31 pm

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

    thanks

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    • geovrba says:

      May 16, 2017 at 3:53 pm

      From the simulation:
      Sep-11-2008: max D/D= -24%
      Jun-23-2006: D/D= -21%

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13. TDCARLSON says:

    Jun 7, 2017 at 4:29 pm

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

    thanks

    Tom C

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    • TDCARLSON says:

      Jun 7, 2017 at 5:03 pm

      Sorry about that, I just saw the answer above.

      Tom C

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14. TDCARLSON says:

    Jun 10, 2017 at 6:40 pm

    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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15. TerryK says:

    Jan 24, 2018 at 10:32 pm

    can you post monthly returns going back to 12/31/2007

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    • geovrba says:

      Jan 26, 2018 at 10:23 pm

      iM-Gold-Stocks-Bonds Timer
      Performance by Month

      Start Date …. Model …. SPY …. Excess Return
      01/02/2008 …. 0.068 …. -0.052 …. 11.973
      02/01/2008 …. 0.053 …. -0.026 …. 7.849
      03/03/2008 …. 0.038 …. -0.009 …. 4.700
      04/01/2008 …. 0.012 …. 0.048 …. -3.553
      05/01/2008 …. 0.015 …. 0.015 …. 0.031
      06/02/2008 …. 0.044 …. -0.084 …. 12.753
      07/01/2008 …. -0.013 …. -0.009 …. -0.428
      08/01/2008 …. -0.091 …. 0.015 …. -10.687
      09/02/2008 …. 0.144 …. -0.094 …. 23.866
      10/01/2008 …. -0.102 …. -0.165 …. 6.276
      11/03/2008 …. 0.060 …. -0.070 …. 12.966
      12/01/2008 …. 0.154 …. 0.010 …. 14.450
      01/02/2009 …. -0.041 …. -0.082 …. 4.107
      02/02/2009 …. -0.053 …. -0.107 …. 5.440
      03/02/2009 …. 0.025 …. 0.083 …. -5.855
      04/01/2009 …. 0.013 …. 0.099 …. -8.643
      05/01/2009 …. 0.047 …. 0.058 …. -1.118
      06/01/2009 …. -0.020 …. -0.001 …. -1.910
      07/01/2009 …. 0.024 …. 0.075 …. -5.038
      08/03/2009 …. 0.000 …. 0.037 …. -3.694
      09/01/2009 …. 0.058 …. 0.035 …. 2.303
      10/01/2009 …. 0.038 …. -0.019 …. 5.674
      11/02/2009 …. 0.128 …. 0.062 …. 6.596
      12/01/2009 …. -0.072 …. 0.019 …. -9.127
      01/04/2010 …. -0.013 …. -0.036 …. 2.377
      02/01/2010 …. 0.048 …. 0.031 …. 1.687
      03/01/2010 …. 0.098 …. 0.061 …. 3.711
      04/01/2010 …. 0.065 …. 0.015 …. 4.940
      05/03/2010 …. 0.030 …. -0.079 …. 10.975
      06/01/2010 …. 0.024 …. -0.052 …. 7.530
      07/01/2010 …. -0.050 …. 0.068 …. -11.877
      08/02/2010 …. 0.057 …. -0.045 …. 10.202
      09/01/2010 …. 0.048 …. 0.090 …. -4.198
      10/01/2010 …. 0.037 …. 0.038 …. -0.106
      11/01/2010 …. 0.021 …. 0.000 …. 2.106
      12/01/2010 …. 0.025 …. 0.067 …. -4.212
      01/03/2011 …. -0.064 …. 0.023 …. -8.718
      02/01/2011 …. 0.060 …. 0.035 …. 2.520
      03/01/2011 …. 0.016 …. 0.000 …. 1.619
      04/01/2011 …. 0.089 …. 0.029 …. 6.029
      05/02/2011 …. -0.018 …. -0.011 …. -0.690
      06/01/2011 …. -0.024 …. -0.017 …. -0.695
      07/01/2011 …. 0.084 …. -0.020 …. 10.405
      08/01/2011 …. 0.188 …. -0.055 …. 24.269
      09/01/2011 …. -0.022 …. -0.069 …. 4.741
      10/03/2011 …. 0.038 …. 0.109 …. -7.119
      11/01/2011 …. -0.022 …. -0.004 …. -1.800
      12/01/2011 …. 0.027 …. 0.010 …. 1.644
      01/03/2012 …. 0.012 …. 0.046 …. -3.435
      02/01/2012 …. 0.042 …. 0.043 …. -0.150
      03/01/2012 …. 0.032 …. 0.032 …. 0.026
      04/02/2012 …. -0.012 …. -0.007 …. -0.543
      05/01/2012 …. -0.093 …. -0.060 …. -3.309
      06/01/2012 …. 0.056 …. 0.041 …. 1.558
      07/02/2012 …. 0.033 …. 0.012 …. 2.083
      08/01/2012 …. -0.003 …. 0.025 …. -2.804
      09/04/2012 …. 0.010 …. 0.025 …. -1.558
      10/01/2012 …. 0.001 …. -0.018 …. 1.913
      11/01/2012 …. -0.007 …. 0.006 …. -1.236
      12/03/2012 …. 0.006 …. 0.009 …. -0.243
      01/02/2013 …. 0.084 …. 0.051 …. 3.264
      02/01/2013 …. 0.016 …. 0.013 …. 0.295
      03/01/2013 …. 0.059 …. 0.038 …. 2.106
      04/01/2013 …. 0.058 …. 0.019 …. 3.903
      05/01/2013 …. -0.007 …. 0.024 …. -3.107
      06/03/2013 …. -0.022 …. -0.013 …. -0.896
      07/01/2013 …. 0.081 …. 0.052 …. 2.949
      08/01/2013 …. -0.046 …. -0.030 …. -1.599
      09/03/2013 …. 0.054 …. 0.032 …. 2.186
      10/01/2013 …. 0.068 …. 0.046 …. 2.177
      11/01/2013 …. 0.041 …. 0.030 …. 1.175
      12/02/2013 …. 0.041 …. 0.026 …. 1.511
      01/02/2014 …. -0.017 …. -0.035 …. 1.856
      02/03/2014 …. 0.064 …. 0.046 …. 1.814
      03/03/2014 …. 0.047 …. 0.008 …. 3.877
      04/01/2014 …. 0.008 …. 0.007 …. 0.119
      05/01/2014 …. 0.033 …. 0.023 …. 0.977
      06/02/2014 …. 0.035 …. 0.021 …. 1.426
      07/01/2014 …. -0.026 …. -0.013 …. -1.261
      08/01/2014 …. 0.061 …. 0.039 …. 2.130
      09/02/2014 …. -0.028 …. -0.014 …. -1.374
      10/01/2014 …. 0.037 …. 0.024 …. 1.357
      11/03/2014 …. 0.042 …. 0.027 …. 1.413
      12/01/2014 …. 0.007 …. -0.003 …. 0.974
      01/02/2015 …. 0.022 …. -0.030 …. 5.121
      02/02/2015 …. 0.000 …. 0.056 …. -5.611
      03/02/2015 …. 0.004 …. -0.016 …. 1.926
      04/01/2015 …. 0.003 …. 0.010 …. -0.698
      05/01/2015 …. -0.011 …. 0.013 …. -2.380
      06/01/2015 …. -0.015 …. -0.020 …. 0.512
      07/01/2015 …. 0.009 …. 0.023 …. -1.378
      08/03/2015 …. 0.038 …. -0.061 …. 9.855
      09/01/2015 …. 0.012 …. -0.026 …. 3.751
      10/01/2015 …. 0.019 …. 0.085 …. -6.624
      11/02/2015 …. 0.008 …. 0.004 …. 0.397
      12/01/2015 …. 0.002 …. -0.017 …. 1.897
      01/04/2016 …. 0.024 …. -0.050 …. 7.384
      02/01/2016 …. 0.019 …. -0.001 …. 1.994
      03/01/2016 …. 0.057 …. 0.067 …. -1.051
      04/01/2016 …. -0.005 …. 0.004 …. -0.916
      05/02/2016 …. 0.006 …. 0.017 …. -1.077
      06/01/2016 …. 0.065 …. 0.003 …. 6.133
      07/01/2016 …. 0.021 …. 0.036 …. -1.538
      08/01/2016 …. -0.005 …. 0.001 …. -0.656
      09/01/2016 …. -0.008 …. 0.000 …. -0.804
      10/03/2016 …. -0.014 …. -0.017 …. 0.285
      11/01/2016 …. 0.059 …. 0.037 …. 2.189
      12/01/2016 …. -0.013 …. 0.020 …. -3.371
      01/03/2017 …. 0.054 …. 0.018 …. 3.582
      02/01/2017 …. 0.077 …. 0.039 …. 3.819
      03/01/2017 …. -0.003 …. 0.001 …. -0.464
      04/03/2017 …. 0.049 …. 0.010 …. 3.878
      05/01/2017 …. 0.018 …. 0.014 …. 0.373
      06/01/2017 …. -0.021 …. 0.006 …. -2.781
      07/03/2017 …. 0.023 …. 0.021 …. 0.274
      08/01/2017 …. 0.041 …. 0.003 …. 3.853
      09/01/2017 …. -0.033 …. 0.020 …. -5.311
      10/02/2017 …. -0.008 …. 0.024 …. -3.137
      11/01/2017 …. 0.003 …. 0.031 …. -2.715
      12/01/2017 …. 0.021 …. 0.012 …. 0.901
      01/02/2018 …. 0.035 …. 0.062 …. -2.695

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16. TDCARLSON says:

    Jan 6, 2019 at 5:22 pm

    Is this system using the timer described here?

    https://imarketsignals.com/2017/im-gold-timer-rev1/

    If so, why did this change on 12/17 whereas the signals page says the Gold Timer changed on 12/31?

    Tom C

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    • TDCARLSON says:

      Jan 6, 2019 at 11:31 pm

      ???

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17. mets1 says:

    May 5, 2019 at 3:43 pm

    Would you please post annual returns for the years 2016, 2017 & 2018.

    Also I think it would be of value to have a spreadsheet showing annual returns for all the various systems just as a general comparison or “Master list of returns”.

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    • geovrba says:

      May 6, 2019 at 12:51 pm

      Return (%) … 2016 … 2017 … 2018 … 2019
      Model … 21.81 … 23.9 … -14.78 … 14.11
      Benchmark … 12 … 21.71 … -4.57 … 18.17
      Excess … 9.81 … 2.2 … -10.21 … -4.05

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18. rodrick says:

    Feb 9, 2020 at 5:04 pm

    Hi Georg and Anton Can you updated the sharpe ratio and std dev From inception for this model ? Thanks

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