The iM Gold-Timer – Rev1

We have revised the iM Gold-Timer and will use this model with additional rules to invest in stocks and bonds when not in gold. The Gold-Stocks-Bonds Model launch is scheduled end January 2017.

The iM Gold-Timer endeavors to signal long-term investment periods for Gold. It uses the SPDR® Gold Shares ETF: GLD. When not invested in GLD the model goes to 100% cash.

The model was backtested on the web-based portfolio simulation platform Portfolio 123 from Jan-2-2000 onward, as this was the first full year when the algorithm had access to all the economic indicators it uses:

  • Federal Funds Rate,
  • 10-year Treasury Note yield,
  • S&P500 Estimated Earnings Yield, and
  • Gold Price.

There is also a 11% stop-loss provision in the sell rules.

Figure-1 and 2 chart the simulated performance for the revised and deprecated models, respectively.

width="640"/(click to enlarge)

width="640"/(click to enlarge)

The timing algorithm is partly based on our research reported in this article: Are Gold Prices Correlated to the Real Federal Funds Rate?

 This revised strategy would have produced an average annualized return of about 13.2% from Jan-2000 to Jan-2017, with a maximum drawdown of -24.0%.

The prices for transactions were taken to be “Next Close” after a signal was generated and slippage of 0.1% of the transaction amount was assumed for the simulation. There were only 7 completed trades. The last buy signal was generated on December 5, 2016.

On iMarketSignals (Bronze membership required) we will track this model, but instead of using the ETF GLD as a benchmark, we will track the performance relative the actual gold price (London PM fix), and is updated with the Friday weekly update as a macro signal.

width="640"/(click to enlarge)

width="640"/(click to enlarge)

Note: All performance results are hypothetical and the result of backtesting over the period 2000 to 2014. Out-of-sample performance may be different. No claim is made about future performance.

Posted in blogs, featured, Publish
7 comments on “The iM Gold-Timer – Rev1
  1. randyfloyd says:

    Hi Georg,
    Are the signals only provided on Fridays? I keep seeing that the model enters gold on Mondays (on 5/1 most recently), while the weekly update is on fridays.
    would just like to know if there is a more real-time way to see the changes.
    thanks

  2. TDCARLSON says:

    I am confused. Does the im Gold/Stocks/Bonds timer use this signal? That timer is in bonds, yet the weekly update has this timer in GLD.

    Tom C

    • geovrba says:

      These are two different models which don’t use the same rules.
      The iM GOLD-Timer – rev1 switches between GLD and cash,
      whereas the iM-Composite(Gold-Stocks-Bonds) Timer switches between Gold-, Stock-, and Bond ETFs.

      The iM GOLD-TIMER Rev-1 sold gold on 12/31/2018 and the model is in cash, while the iM-Composite(Gold-Stocks-Bonds) Timer currently holds XLU and VWOB.

      • TDCARLSON says:

        Georg,

        Thanks. So you are saying there is a different set of rules that are used for the gold timer that is part of the Composite (Gold-Stocks-Bonds)? I was under the impression that model was merely replacing cash with stocks and bonds based on MC score whenever that timer would have gone to cash.

        Thanks,

        Tom C

        • TDCARLSON says:

          I am looking at this from the Composite (Gold-Stocks-Bonds) description:

          * 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.

          So I guess, my question is: what is the im-Gold-timer discussed here, if it is not the same as the other one?

          Thanks,

          Tom C

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