Strategy Signals

Update
As the new kid on the block, Tiingo is shaking up the data community. Tiingo offers Freemium access to high quality data for an extensive collection covering the full historical record. The necessary dividend adjusted historical data for the signals tables is sourced from Tiingo's, with delayed current day's NYSE data grabbed "real time" from Google Finance.


By popular demand this page shows "live" signals for trending tactical asset allocation strategies. Currently signals are maintained for:
  • VAA-G4 (for strategy explanation & "live" signals see blog post);
  • VAA-G12 (for strategy explanation & "live" signals see blog post);
  • 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 (discontinued);
  • GMR Enhanced (discontinued).
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. All information is provided for educational purpose only. Due diligence is required and use at your peril. The Important Notice in the footer applies as well as the Disclaimer.

For improved performance a newly designed dedicated backend caches daily updates from Tiingo's data servers, filters the data into monthly endpoints and operates as on-demand feed for the various signal tables maintained below.


NB! Due to the EOD nature of the monthly data, each table will "lag" during each first trading day of the (new) month until Tiingo releases its daily (EST: evening) update. Therefore on that first trading day of the new month, erroneous percentages and ranks are shown. However after the EOD evening update the table data is actual again and remains so for the remainder of the month.

Tip: 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).

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


Vigilant Asset Allocation

VAA is introduced on TrendXplorer and highlighted on SeekingAlpha. Below are "live" signals for two versions: VAA-G4 covering a concentrated universe of global asset classes and VAA-G12 demonstrating the strategy for a globally diversified universe.

Google Sheets allows for monitoring the VAA 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 allocation history of the top selection and, after scrolling the table to the left, both the rolling 1-year and the rolling 3-year performance.

With B=1 the VAA-G4 strategy rotates into the "risk-off" bonds (LQD, IEF, or SHY) when one or more of the 4 "risk-on" assets registers negative 13612W momentum. For details see the VAA-post.



For VAA-G12, the breadth threshold is set a B=4. As a result the strategy rotates in incremental steps into the "risk-off" bonds (LQD, IEF, or SHY) when one or more of the 12 "risk-on" assets register negative 13612W momentum. A future post will elaborate the VAA-G12 strategy in detail. For now interested investors are referred to our VAA-paper on SSRN.


Notice the Easy Trading effect for the T=2/B=4 setup. When 0 or 1 risk-on assets register negative 13612W momentum, all capital is allocated to the T=2 assets. When 2 or 3 risk-on assets register negative 13612W momentum only the single best risk-on assets gets 50% allocated and the remaining 50% goes to the best out-of-market bond asset. In case 4 or more risk-on assets register negative 13612W momentum, 100% of capital is allocated to the best out-of-market bond asset.


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 left, 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.




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