For the record, based on the discussion in this thread & others plus a review of Steve’s old website, I made a basic “score” SPY-IEF timer with 33% allocated to unemployment and beta, and 17% to ted spread and timing factors.
This week, the score is 50 (beta and ted spread triggered) meaning SPY was sold and IEF was purchased.
The Beta formula is: EMA(40,0,getseries(“HiBeta”))<=EMA(40,0,getseries(“LoBeta”))
The Ted Spread formula is: EMA(50,0,##TEDSPREAD) < EMA(200,0,##TEDSPREAD)
Historically in testing, this SPY-IEF timer does 14% a year with a 12% max drawdown. It has been in SPY since October 2017
Miro - I’ve never advocated for overweighting specific signals. My concept was to equal-weight a handful of indicators that are as independent as possible without favoring any (such as unemployment). My strategy was meant to be a voting system, not a weighing machine. In any case, thanks for alerting us to the flip in two indicators.
Has anyone looked at yield curve inversion as a market timer? I know historically it is a good predictor of recessions, but not sure about stocks. It might be another econmic factor to add to the mix with unemployment and credit risk.