In July 2012 Albert Edwards, the closely followed investment strategist at Société Générale, warned that the S&P 500 was “on the verge of an ultimate death cross,” foretelling imminent major losses for the stock market, with the S&P 500 possibly seeing its index halved to 666 points. The ultimate death cross occurs when the 50-month moving average of the S&P moves below the 200-month moving average, or put another way, when the difference between these moving averages – the spread – becomes less than zero.
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Blog Archives
The Ultimate Death Cross – One Year Later
iM-Combo2: A Small-Cap Model in Combination with iM-Best(SPY-SH)
Using a third party small-cap model from the web-based trading simulation platform in combination with our iM-Best(SPY-SH), we demonstrate the benefits of combining this model with iM-Best(SPY-SH), these include a reduced volatility, constant positive rolling returns, and high annualized returns with low drawdowns. The model was chosen because its algorithm does not include market-timing, and also because it holds 50 stocks, has a low annual turnover, and should be able to support a relatively high total portfolio size of $3.5-million on its own.
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iM-Combo5: Large-Cap Models in Combination with iM-Best(SPY-SH) and iM-Best1(Sector SPDR)
Using 3 large-cap models from the web-based trading simulation platform in combination with Best(SPY-SH) and Best1(Sector SPDR), we demonstrate that the combination would have produced very high positive rolling returns and also high annualized returns with low drawdowns and low volatility.
A Buy Signal from the Modified Coppock Indicator for the S&P 500
The latest interim buy signal from the modified Coppock indicator was generated on October 25, 2013, and this model will stay invested until September 2014, possibly longer if another buy signal appears before then.
iM-Best1(Sector SPDR) Rotation System
The iM-Best1(Sector SPDR) model periodically selects only one of the nine Select Sector SPDR® ETFs that divide the S&P500 into 9 sectors. During adverse market conditions it switches to SH, or partly to cash. This model would have produced an average annualized return of about 31.4% from January 2000 to end of September 2013.
Better Returns from World Markets with iM-Best(SPY-SH) Market Timing System
Using the investment periods determined for the US market with the iM-Best(SPY-SH) Market Timing System, we calculated performance figures for 9 major country indices. The system, if followed, would have improved returns from all markets. From January 2000 to August 2013 with market timing, the best performing index in local currency was IBOVESPA – Brazil, and in US-dollars the DAX – Germany, closely followed by Brazil.
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.
iM-Best(SPY-Cash) Market Timing System: Gains in Up Markets – Cash in Down Markets
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.
iM-Best(SPY-SH) Market Timing System: Gains for Up and 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 29.3% from January 2000 to end of August 2013, versus 2.6% for a buy-and-hold investment of SPY over the same period.
Gold: When Will the Next Buy Signal Emerge?
Gold may have recently bottomed and is currently in backwardation, possibly an indication that the price could increase in the months ahead. Since nobody knows the future let us assume that the gold price could change between -$20 and +$30 each week, this representing an upward price trend for the metal. Using random numbers between those limits for each weekly change in price, then one can construct numerous future scenarios of the gold price. Also one can use the modified Coppock indicator to identify the next buy signal based on these projections.
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With reference to Section 202(a)(11)(D) of the Investment Advisers Act:
We are Engineers and not Investment Advisers,
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