The iM-Best(SPY-SH) model currently holds SPY, so far held for a period of 98 days, and showing 4.14% return to 10/14/2013
A starting capital of $100,000 at inception on 1/2/2009 would have grown to $359,106 which includes $132 cash and excludes $9,032 spent on fees and slippage.
Since publishing our iM-Best10 portfolio management system, readers pointed out that the high returns obtained may be distorted by what is known as survivorship bias. Using an online portfolio simulation platform, we investigated the effect of survivorship bias by running simulations on various stock universes. First, the model was run using the present composition of an index series (survivorship biased simulation), then the same model was rerun using the point-in-time composition of the index series (survivorship free simulation). The results were unexpected; the iM-Best10, a quantitative stock trading model, using the S&P 1500 stock universe simulated the very high survivorship bias free CAGR of 48.10% against the survivorship biased CAGR of 42.93%.
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Tagged with: Backtest
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The latest interim buy signal from my modified Coppock indicator was at the beginning of February, 2013, and this model will stay invested until the end of this year, possibly longer if another buy signal appears before then. This model would have produced a long-time average annual return from 1970 to 2013 about 4% higher than what one could have obtained from a continuous investment in the S&P; 500. The model avoided the 2000 and 2008 bear markets but did not avoid the 1987 market crash.
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