Strategy Signals

[NOTICE: Over the next couple of days, a new back end for the strategy signals will be installed. For the new back end data is sourced from Tiingo's. During the migration the signal tables may experience temporary interruptions. If all goes according to plan, the signal tables will be up and running in time for EOM.]

The signal tables are "live" again. Like before, signals are based on dividend adjusted historical data, now obtained from Quandl's premium QuoteMedia EOD service. Current month's data is grabbed "real time" from Google Finance. The signals are to be considered "experimental" in order to review data quality and table performance. Unlike Yahoo's now defunct total return for free feature, the premium service from Quandl is subscription based ($$$).

By popular demand this page shows "live" signals for trending tactical asset allocation strategies. Currently signals are maintained for:
  • PAA2 (for strategy explanation & "live" signals see blog post); 
  • GPM2M (for strategy explanation & "live" signals see blog post);
  • GEM (for strategy explanation & "live" signals see blog post);
  • GMR Simple (for strategy explanation see here);
  • GMR Enhanced (for strategy explanation see here).

Due to the EOD nature of Quandl's monthly data, each table will "lag" during each first trading day of the (new) month until Quandl releases its daily (EST: evening) update. Therefore on that first trading day, erroneous percentages and ranks are shown. However after the EOD update the table data is actual again and remains so for the remainder of the month. Checking for the correct listing of the current month is an easy way to verify whether or not the table is up-to-date (again). If all goes well, the data in the tables is updated each time this page is viewed (or refreshed).

NB! No guarantee whatsoever is given for the soundness of the strategies nor the proper functioning of the tables nor for the accuracy of their contents. Please do your own due diligence and use at your peril. The Important Notice in the footer applies as well as the Disclaimer.

Acknowledgment goes to Aurelia for supplying the framework for an auto-updating Gsheet.

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Protective Asset Allocation

The PAA is introduced on TrendXplorer and highlighted on SeekingAlpha. Below are "live" signals for two versions. Notice the differences in the asset selection and universe sizes: N12 and N10.

Google Sheets allows for monitoring the PAA strategies after the close of the month. Below the historical tables, the current selections are presented with their respective position sizes: see the two rows above the yellow warning boxes. Each Gsheet shows last rolling year's history of the top selection and, after scrolling the table to the right, the rolling 1-year performance.

PAA on high protection with a top selection of 6 out of 12 risky assets and SHY/IEF as safety asset.

PAA on high protection with a top selection of 3 out of 10 risky assets and SHY/IEF as safety asset.  

Point to note for both tables: only with a BF < 100% capital is allocated to the top selection, otherwise all capital goes to the best safety asset despite the colored rank indicators.

Generalized Protective Momentum

The GPM strategy is introduced on SeekingAlpha. The mechanics are explained in the blogpost "Deciphering Correlation Hedged Momentum". The presented Google Spreadsheet is for the correlation multiplied momentum version ri * ( 1 - ci ) and high protection with a top selection of 3 out of 12 risky assets and SHY/IEF alternating as safety asset.

Like for PAA, only with a BF < 100% capital is allocated to the top selection, otherwise all capital goes to the best safety asset despite the colored rank indicators.

Global Equities Momentum Strategy

Gary Antonacci introduced GEM in his award-winning book "Dual Momentum Investing". Each month the trend of global stocks is measured. With stocks in an uptrend, capital is invested in the best ETF out of IVV and VEU. When a downtrend is observed, capital is invested in the "safety asset" BND. For more on GEM, see this blog post.

Global Market Rotation Strategy

The following strategy is based on Frank Grossmann's Global Market Rotation Strategy (GMR) in a simplified version as published on SeekingAlpha by "varan", Please check out his Instablog for further details. Slightly different from varan's take, the version in the table is based on End-of-the-Month rotation, like Grossmann's original.

Update: Starting the rotation into July 2015, varan expanded his basket up to 7 ETFs (previously 6). The below signals are for varan's new GMR Simple universe.

Update: For a better perspective on real risk Monte Carlo Analysis is applied to the simplified GMR strategy in a new post.

For each month the table shows the top performing fund over the previous three months in color. So the colored fund is the pick for the next month. For clarity the top rank is depicted in yellow too.

The return for each months holding is reported in the column "Portfolio return" (on the next row!). 
The bottom cell of the Portfolio return column shows the strategy's rolling annual (compounded) return.

Global Market Rotation Enhanced

This strategy is Marc Cohn's "enhanced" take on Frank Grossmann's strategy: GMRE. Marc introduced a crash protection routine: on a monthly basis whenever the correlation between SSO and EDV hits 0.75 or higher, the strategy discards the top pick and goes to cash (proxied by SHY). The strategy is currently tracked by Terry Doherty on his Seeking Alpha Instablog.

Performance is based on the previous 3 month momentum, while correlation is calculated from the natural logarithm of SSO's and EDV's monthly returns over the last 4 months. Please check out the references for further details.

The mechanics of the table are pretty much the same as for the above GMR table with the addition of the correlation column. As long as the correlation SSO:EDV stays below the cash trigger (< 0.75) the bottom cell of this column reads "<<< RANK" to indicate next months pick will be the top performing fund. In the event the correlation threshold is hit, the reading changes to: "SHY" for holding cash or investing in a safe haven fund like SHY.