Market Timing and Bond ETFs

In my last two posts, Market Timing with a Canary, Gold, Copper, LQD, IEF and much more and Day of Month and Market Timing, I assumed that we earned no interest in cash. Most methods did a good job of telling us when to be in the SPY and when to be in cash. How much could we boost returns by investing the cash in a bond fund?

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Market Sell-off Analysis How often does a 5% market sell-off become a 10% sell-off?

We often hear that the market is 5% off its highs or that it is down 5% from the high of the year. This alone does not tell us much. The question I want answered is how often does that 5% loss become a 10% loss? Or worse yet a 20% loss?

Read the rest of my guest post, Market Sell-off Analysis: Baseline Historical Facts,  over at Alpha Architect.

Good quant trading,

Day of Month and Market Timing

In my previous post, Market Timing with a Canary, Gold, Copper, LQD, IEF and much more, I tested several market timing methods. The signal was checked on the last day of the month. Now the question is what happens if we check on a different day? How different will the results be?

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Market Timing with a Canary, Gold, Copper, LQD, IEF and much more

One commonality in my strategies is the inclusion of a market timing component. This could be a signal to go into cash or reduce position size or enter a ‘safe’ ETF. This applies to my swing trading strategies, my monthly rotation strategies and my Tactical Assert Allocation strategies. As a researcher, I am always on a looking to improve this part of my strategies.

There have been a handful of market timing methods I have been wanting to test and compare with my current 200-day moving average version. I collected enough of them to test all at once and to compare the results.

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