11 years ago
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Stock market trend favorability
...This blog tracks a model used to identify favorable trends in the stock market in conjuction with the " Slow Trades Sector Portfolio " blog ( click below under " MY BLOG List" ).
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LT Model
An index investing model whose trading signals utilize the QQQQ and QLD ETFs. The composition of the model diversifies risk across 4 robust quantitative "components" which have proven their profitability in a consistent and stable manner over a period of decades. The model's consistency has been achieved by having no or minimal equity exposure in the market during big down years but also during some periods of "overly speculative" upward price movement. Spotlighting one unique attribute of this model is that, over the 4 decades in generating it's returns, the LT model has had an average equity exposure to the market of just 45% with maximum drawdowns ( MAE ) of less than -10%.
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Due to the nature of the model ( low frequency of signal changes ), the blog MAY be infrequently updated ... Check the blog on Sunday eves for portfolio changes.
See post of 12/18/09 http://bit.ly/cVvmCU for further explanation of how to use the model.
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- Successfully navigating the equity markets and the white noise of the financial media for over 2 decades ... The information contained herein is not investment or trading advice ...Use the information at your own risk ..
I followed you over from David's CSS blog. I'm intrigued by your 4 decade long allocation system. What is the basis of the signals? I also like the use of leverage only when conditions warrent. Look forward to reading through the rest of the blog this weekend. I too will likely utilize the Livermore Index, but want to incorporate hedging or allocation or timing.
ReplyDeleteKevin
Hello,
ReplyDeleteThe model's signals are diversified across 4 disparate and historically reliable monetary and technical submodels. The black signals are derived from a mean revision algorithm of the performance of 12 and 13 month market data samples . The blue signals are derived by using indicators that identify oversold market conditions. The green signals comprise 2 different submodels: 1) a monetary algorithm which identifies "favorable market zones" as measured through interest rate movements and 2) an indicator that measures "extreme" market thrust or momentum.
I've designed the blog in somewhat "layman's" terms as I feel that many quant blogs are over the heads of the average investor.