Friday, November 22, 2013

iM-Best(SPY-SH) Market Timing System by Georg Vrba

Meh, I feel quite crappy lately because of my CFD trading. When I happen to be doing pretty well, suddenly some crazy ass news NON event comes out and wipes out all my pips and put in the in red.

The first time was the Chinese rating agency downgrading the USD when I was massively short the cable.

Just yesterday it was the non-rumour that the ECB will be adopting negative interest rates.

Both of these events happened while I was at my screen, thinking it was a normal day. It wasn't any scheduled event. And suddenly, boom, my account takes a massive hit.

So, summary if you missed my bitching: This shit be cray, I don't have the emotional stamina to handle this sort of intensive, yet fruitless labour. Therefore, I've decided to take on another approach. 

Now, let me link you to this bad boy. I have to say that I am dumbfounded by the awesomeness that has gone into the construction of his fantastic system, the iM-Best(SPY-SH). Let me give a quick intro to this method.

Firstly, it uses an array of parameters to generate long and short positions. The VIX, the risk premium (difference between Earnings Yield and 10-year T-bond), current EPS estimate and of course, the daily price.

Secondly, it does not do intraday trading. This is because it's purpose is meant for ETFs or mutual funds. How it does that, is that it will only rebalance on a weekly basis, even though daily data is used for the parameters. (I think) That means that speed of execution has no advantage, and it is very possible to mimic his portfolio through a variety of methods.

Third, drawdown is controlled. This is done by having a fixed number of -8% as a trailing stop for the trade. The maximum drawdown of his tested portfolio was reduced from 25.5% to 23% by doing this. Therefore, instead of waiting for the parameters to switch signal, a drawdown of 8% in either position would automatically switch between long and short.

Fourth, this method has been launched in real life since Sep 2013 and it has proven itself to outperform the S&P within that short span. Also, based on backtests, it has a super sick 10-year CAGR of 32%, say whuttttttt?

Now, that I'm done with the facts, let me gush about this for a while. I have been telling a mathematician friend of mine that she should help me look a some simple parameters lumped together, and we should try to see if we can create a lovely model that is sensible, accurate and most importantly, profitable and realistic.

I've been a fan of Georg Vrba site for a while, but I am really going out on a limb here to say that I think that this system that he created seems perfect to me! I honestly love it, and I think that given how badly I've been doing with crazy nonsense CFD trading blowing me out of the water, I'm seriously thinking of using my CFD account to trade this system.

I'd like to ask Georg some questions about leveraging and some other details before I embark on it, but I think that this might actually be a nice and good step for me, to step back a bit from all the investment noise going on and stick with something that I understand and makes sense to me. I'm just waiting for a new position call now!

2 comments:

  1. Hi there, are you using his system? I ran into it looking for some reliable trading signals. I was just wondering if you knew where to get some info on the parameters that g into th e market timing model. I don't recall seeing anything about vix, yields differential etcetc on georg's website. Thanks!

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    1. Hi June Alex, no I do not. I have since given up on being a trader and have left the game, tail between my leg. I now only trade for shits and giggles. I am now more conventional and boring, trying to invest for the long term.

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