iMarketSignals – improve investment performance

We provide unbiased guidance to market direction. Our models can be classed into following  groups:

  • Leading recession indicators:
    • BCI is a Business Cycle Indicator optimised to identify a looming recession constructed from economic data series.
    • COMP is a recession indicator model constructed by combining third party leading indicators.
  • Buy and Hold investing. These models are macro by nature; trading signals from the models occur infrequently and are un-hedged – one does not have to trade constantly in and out of the markets.
    • MAC-US is a moving average crossover model for the S&P500.
    • MAC-AU is a moving average crossover model for the Australia All Ordinaries Index.
    • BVR is a bond market model based on mathematics alone.
    • Yield-Curve is a trend-following model.
    • GOLD is a rate-of-change trend-following model.
    • SILVER is a rate-of-change trend-following model.
  • Active weekly trading models based on a proprietary ranking system updated each week to generate un-biased and un-hedged buy- and sell-signals.
    • iM-BestX are weekly trading models based on the S&P 500, S&P1500 and Russell 1000 stock index series.
    • iM-Best(SPY-SH) is a market timing model, updated weekly on Sundays for the coming week.
    • iM-Best1(Sector SPDR) is a rotation system for the Select Sector SPDR® ETFs that divide the S&P500 into 9 sectors.
    • iM-Best(SSO-TLT) is a ETF switching system based on market timing.
    • iM-Best Combo3 is a combination model of Best(SPY-SH) + Best1(Sector SPDR) + Best(SSO-TLT), updated weekly on Sundays for the coming week.

The models are updated weekly and the charts depict the state of the various markets. They can be seen by registered/logged-in members.

The models have all been published. Before the models were available on the internet, weekly updates for the IBH, MAC, BVR and Yield-Curve were sent by email to subscribers for about two years – here are some of their comments:

 

This model and your fine work has been quite remarkable (and profitable). I have been enjoying your observations for quite some time. Job well done.
Edward Chrusciel

Your system looks pretty good. In fact, I was amazed by the high percentage winning trades and the very low drawdowns. I’ve never seen anything like that in a MA system.
Tom Swiatek

Regardless of which version one uses, it’s a powerful system. And it answers one of the most troubling worries that investors have. It efficiently gets them out of harm’s way when the market crashes.
Erik Conley

Thank you for your unique and excellent work. We will appreciate receiving your Modelling updates. Thanks!
Chuck Szkalak

The average investor reads the financial news and thinks that gives him an edge. That only tells him what everyone else knows and is worried about. We follow the excellent work of Georg Vrba, who has a top-rated coincident recession indicator as well as a successful stock/bond asset allocation model. Here is his most recent comment:  “My own composite short leading economic indicator, which has the  highest score of all indicators so far tested, does not support the notion of a recession anytime soon.” I listen to Georg, and you should too.
Jeffrey A. Miller, PhD, President NewArc Investments, Inc.

I took that S&P buy signal of yours with a little $50K futures contract and am very happy thank you.
Dwaine van Vuuren – CEO of PowerStocks

I have read and studied all your articles with interest. I have learned much from your perspectives and will continue to follow your work.
David Hamilton

Thank you for all your outstanding analysis. Let me say that I couldn’t agree more that data beats opinion.
Dave Lincoln

Georg Vrba asks whether the ECRI is still relevant. Great analysis and charts.
Jeffrey A. Miller, PhD, President NewArc Investments, Inc.

 

I very much liked the write up on your models, and if I may add these have a particular appeal and interest having been developed by a fellow engineer.
Paul Willis

Have seen so many manipulate data to fit their predetermined biases and love the way you methodically deconstructed the moving averages to debunk this one. It shows the difference between intellectual laziness and intellectual rigor which you fit to a tee.
Kuosen Fung, CFP®

Your work is really interesting and I’d love to receive your updates or any other information you publish. I honestly think your results indicate there is a way to time stock and bond market exposure. Most likely people will remain human and many will follow their “gut feel” or let fear or greed override any mathematical analysis. This is why your methods will most likely continue to work.
James Schwartz, CFP®

Georg Vrba, whose excellent work on recession forecasting has helped our readers, has two different market-timing methods. His most recent article explains that the next great bull market might already be here.
Jeffrey A. Miller, PhD, President NewArc Investments, Inc.

… as always love your analysis! Always eager for Friday’s just to receive your reports!
Jose R Barcelo

I agree with your viewpoint that mathematical models provide better guidance to market directions than financial experts. Thanks so much!
C.T. Wu, PhD in EECS

I just read your article on identifying recessions. Great work!
Richard G Greenwald, AAMS, CRPC

I appreciate using math to model financial behaviour and appreciate your good work.
Richard E. Hamrick, CFA®

This time it is perma-bear Albert Edwards warning investors about the “Ultimate Death Cross” taking the S&P 500 back to 666. Georg Vrba takes the analysis even further. He shows that Edwards’ prediction is almost impossible to accomplish if you actually do the math on the moving averages involved. In addition, he demonstrates that the current indicator conditions are actually bullish based on historical data.
Jeffrey A. Miller, PhD, President NewArc Investments, Inc.

I have great respect for your work and am grateful to be included on your list.
Marvin Snyder

I have your historical charts going back and it is great material. I appreciate your insights. Steve Wenstrup

 

I have been following your work for some time and have been very impressed.
Steve McCarthy, CPA, CFP®

I’m impressed that you provide this much analysis each week. Thank you for your insights. Your charts are beautiful & clear.
Brett Bowman

I am really impressed by your work and liked very much your last research on gold and silver. It’s good to see that you are expanding the scope of possible investments.
Nicolas Tabourdeau

Posted in homepage

iM-Trading Models:

Links, Performance and Holdings as of 11/25/2020

Table of links to our trading models

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Featured

A September Unemployment Rate of 4.0% Will Signal a Recession

  • A reliable source for recession forecasting is the unemployment rate (UER), which can provide signals for the beginnings and ends of recessions.
  • The model was published in 2012 and has correctly signaled the 2020 recession.
  • The latest UER (August 2023) is 3.8%, signifying no recession. However, if the September UER is 4% or higher a recession will be signaled according to the model.
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Stocks Are Moderately Overvalued And 10-Year Forward Returns Look Reasonably Good: Update July 2023

  • The average of S&P 500 for July-2023 was 4,497 (4% down from Dec-2021 high average of 4,675) and is 859 points higher than the corresponding long-term trend value of 3,638.
  • For the S&P 500 to reach the corresponding long-trend value would entail a 20% decline from the July average value, indicating that the S&P 500 is moderately overvalued.
  • The Shiller CAPE-ratio is at 30.9, 19% higher than its 35-year moving average (MA35), currently at 26.1, forecasting a 10-year annualized real return of about 6.5%.
  • The long-term trend indicates a forward 10-year annualized real return of 4.4%
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iM’s Business Cycle Index Recovers but still Signals a Recession – Update 6/9/2023

  • Knowing when the U.S. economy is heading for recession is paramount to successful investment decisions.
  • Our weekly Business Cycle Index would have provided early reliable warnings for the past seven recessions and signaled the Covid 2020 recession one week late.
  • The BCIg has signaled a recession warning mid March 2023, but BCIg recovered and is no longer signalling a recession.
  • However the BCIw, also on recovery path, continues to signal a recession which now is estimated to begin in 9 to 22 weeks.
  • It is too early to say if a recession has been averted, more likely is it is delayed towards the end the end of 2023 or begin 2024.

(click to enlarge)

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Timing The Stock Market With The Conference Board Leading Economic Index

  • This ETF trading model uses the Conference Board Leading Economic Index to determine “Risk-On” periods for equities.
  • A universe is defined from the SPDR, Vanguard, and PowerShares ETF providers for the sectors healthcare, energy, communication, technology, and general multi-sector funds, holding large-mega cap stocks from the United States.
  • The model selects 3 ETFs from the previously defined universe at the beginning of a “Risk-On” period and holds these ETFs continuously until the end of the “Risk-On” period.
  • During “Risk-Off” periods for equities it goes to the gold ETF (GLD) to maximize returns. ETF (BND) is also a suitable alternative to GLD.
  • The simulation shows that this strategy would have produced over 7-times the total return of SPY with similar risk.
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Stocks Are Moderately Overvalued but 10-Year Forward Returns Look Good: Update April 2023

  • The average of S&P 500 for March-2023 was 3,969 (15% down from Dec-2021 average of 4,675) and is 384 points higher than the corresponding re-calibrated long-term trend value of 3,585.
  • For the S&P 500 to reach the corresponding long-trend value would entail a 10% decline from the March average value, indicating that the S&P 500 is not significantly overvalued anymore.
  • The Shiller CAPE-ratio is at 27.9, 8% higher than its 35-year moving average (MA35), currently at 25.9, forecasting a relatively high 10-year annualized real return of about 7.3%.
  • The long-term trend indicates a forward 10-year annualized real return of 5.5%
  • However, rising inflation with a falling CAPE-MA35 ratio, similar to what occurred in the period 1964-1973, implies very low or negative 10-year forward annualized real returns.
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Favorite Websites

Advisor Perspectives/Doug Short
A Dash of Insight
Franz Lischka’s Blog
No Spin Forecast
Portfolio123
Quantocracy