The iM-DrawdownShield model holds the SPDR S&P 500 ETF (SPY) or, when it is out of the market, an escape asset. The decision is taken each day by a fixed, published rule computed from SPY’s adjusted closing prices and volume alone. Three bull–bear values (short, medium, long term) on a scale of −10 to +10 are calculated together with their slopes, the buy–sell values. The model leaves SPY when all three slopes are sufficiently negative and returns when all three are sufficiently positive; the thresholds depend on how bullish or bearish each term currently is. Three escape assets are analysed: T-bills (BIL), the highest bull-rated Treasury ETF of SHY, IEF and TLT, and gold (GLD).
Each evening the model publishes the SPY closing price that would trigger a switch on the next day; the switch is executed at the close of the day on which that price is crossed. A text message alerts subscribers when that price lies within 2.5% of the close; a signal that arrives without such an alert is executed at the next day’s close.
Disclosure
All performance figures are hypothetical results of applying the published rules to historical data. Prices of the defensive assets before each ETF’s launch are simulated. The figures do not represent actual trading and do not include costs, slippage or taxes. Past performance, actual or simulated, does not guarantee future results. iM-DrawdownShield is a mathematical model; it is not investment advice.