The iM-SuperTimer – Simulated on Portfolio 123

  • We now simulated the iM-SuperTimer on Portfolio 123 to obtain detailed performance statistics, which we report here.
  • For a detailed model description of the system please read the original description, update No.1 and update No.2
  • We have transferred the excel data onto Portfolio 123 and will in future be providing signals and performance for the weekly, monthly and 3-month models running on Portfolio 123, all updated weekly.
  • The models’ holdings alternate between ETF (SPY) and ETF (IEF), being proxies for investments during up- and down stock market periods.

iM-1wk-SuperTimer (SPY-IEF)

This model reconstitutes weekly and has a specified minimum 5-week holding period of a position.  All trades are assumed on the first trading day of the week. All figures are extracted from the Portfolio 123 model and provide simulated data from Jan-2000 to Jun-2019.

Note: There may be a small difference in the generated total return of the excel and P123 model. This is due to the way dividends and trading costs are handled in the calculations.

Figure-1: Simulated past performance.

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Figure-2: Performance Statistics.

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Figure-3: Trading Statistics.

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Figure-4: Risk Measurements.

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Table-1: Realized Trades,

Symbol Open Close Days Pct
IEF 1/3/2000 4/17/2000 105 4.10%
SPY 4/17/2000 6/19/2000 63 5.40%
IEF 6/19/2000 10/21/2002 854 27.10%
SPY 10/21/2002 11/25/2002 35 3.60%
IEF 11/25/2002 3/31/2003 126 2.60%
SPY 3/31/2003 5/5/2003 35 9.70%
IEF 5/5/2003 6/9/2003 35 4.20%
SPY 6/9/2003 8/18/2003 70 2.20%
IEF 8/18/2003 9/22/2003 35 1.80%
SPY 9/22/2003 4/19/2004 210 10.80%
IEF 4/19/2004 5/24/2004 35 -2.50%
SPY 5/24/2004 6/28/2004 35 2.80%
IEF 6/28/2004 8/9/2004 42 3.20%
SPY 8/9/2004 9/13/2004 35 5.90%
IEF 9/13/2004 10/25/2004 42 1.20%
SPY 10/25/2004 2/28/2005 126 9.70%
IEF 2/28/2005 4/18/2005 49 0.60%
SPY 4/18/2005 5/22/2006 399 9.90%
IEF 5/22/2006 7/3/2006 42 -1.00%
SPY 7/3/2006 9/5/2006 64 2.90%
IEF 9/5/2006 10/9/2006 34 0.90%
SPY 10/9/2006 7/23/2007 287 13.80%
IEF 7/23/2007 9/10/2007 49 4.50%
SPY 9/10/2007 10/15/2007 35 6.20%
IEF 10/15/2007 3/30/2009 532 15.30%
SPY 3/30/2009 1/4/2010 280 43.30%
IEF 1/4/2010 2/8/2010 35 2.10%
SPY 2/8/2010 5/3/2010 84 13.50%
IEF 5/3/2010 6/7/2010 35 4.10%
SPY 6/7/2010 6/13/2011 371 20.60%
IEF 6/13/2011 8/8/2011 56 4.60%
SPY 8/8/2011 9/12/2011 35 3.80%
IEF 9/12/2011 1/3/2012 113 0.00%
SPY 1/3/2012 4/27/2015 1210 62.00%
IEF 4/27/2015 6/1/2015 35 -2.10%
SPY 6/1/2015 7/6/2015 35 -2.40%
IEF 7/6/2015 8/24/2015 49 2.20%
SPY 8/24/2015 9/28/2015 35 -0.90%
IEF 9/28/2015 6/27/2016 273 5.20%
SPY 6/27/2016 9/6/2016 71 9.60%
IEF 9/6/2016 10/31/2016 55 -1.80%
SPY 10/31/2016 12/10/2018 770 23.10%
IEF 12/10/2018 1/22/2019 43 0.80%
SPY 1/22/2019 2/25/2019 34 6.20%
IEF 2/25/2019 4/1/2019 35 1.10%

Disclaimer

The performance data shown represent past performance, which is not a guarantee of future results. Investment returns and portfolio value will fluctuate, and future signals from this model may not be as efficient as they were in the past.

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7 comments on “The iM-SuperTimer – Simulated on Portfolio 123
  1. randyfloyd says:

    how does this affect iMarketSignal subscribers?

    • geovrba says:

      It is a private model, it is not visible to others. We used P123 because it provides good reporting statistics, better than what we can do in excel. It is not available for subscription on P123; only available at iMarketSignals.

  2. nmtdoc says:

    Can we access the models on P123 to combine in a book?

    • geovrba says:

      We will have to review P123 conditions first.
      However, there is nothing preventing you to set up this model yourself on P123. All the trade dates are listed above.

  3. mets1 says:

    George-How did you come up with a 5 week holding period ? Is this measurement just a result of back testing different time periods(weeks) ?

    • geovrba says:

      This facilitates a holding period greater than 30 days, which in many instances is the required holding period of mutual funds. You can follow the Stock Market Confidence Level > 50% as well which results in a min holding period of 1 week.

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