80% long, 20% cash
Global allocation of long positions
MSCI EAFE Index 30%
MCCI Emerging Markets Index 30%
Russell 3000 Index - U.S. 40%
Top U.S. Sectors
U.S. Oil Equipment, Services & Distribution 5.0
Precious Metals 3.5
U.S. Biotechnology 3.5
U.S. Oil & Gas 3.5
U.S. Real Estate 2.5
U.S. Leisure Goods 2.5
Top Intl. ETFs
S&P Latin America 40 Index Fund 3
MSCI Brazil Index Fund 3
MSCI Taiwan Index Fund 2
MSCI Mexico Index Fund 1
MSCI Canada Index Fund 1
MSCI Emerging Markets Index Fund 1
FTSE/Xinhua China 25 Index Fund 1
MSCI Sweden Index Fund 1
MSCI Spain Index Fund 1
MSCI Hong Kong Index Fund 1
MSCI Belgium Index Fund 1
Strategy 3
Money Market 12.5%
Agriculture 12.5%
Precious Metals 12.5%
U.S. Long Bonds 12.5%
Industrial Materials 12.5%
Energy 12.5%
Emerging Markets 12.5%
U.S. REITs 12.5%
EAFE 0.0%
U.S. Large Cap 0.0%
U.S. Small Cap 0.0%
Intl Real Estate 0.0%
My timing model continues to lose points as pessimism burns off from the bottom we saw in early March. Unless the S&P 500 and Value Line composite breach their 200 day moving average fairly soon, I expect my timing model to continue to shed exposure to equities.
U.S. REITs have just broke above their 200 day moving average and have earned a long postion in strategy 3. Let's see how long that lasts.
2 comments:
have you considered the direction of the 200 day moving average?
Just like in up-trend, the down-trend can have a head fake where it peeks above the 200 day and then continues its descent.
I am thinking this is the case with IYR, hence my long position in SRS.
I have been toying around with schemes around the head fake. My initial attempts used the direction of the moving average but sometimes that it is too late. So now i am using a trailing multiple of the Average True Range above (below) and moving average to signal my true switch.
Currently the only filter I use is limiting trades to weekly. As you suggest, there are definitely other ideas to consider:
1. Slope/direction of the moving average.
2. Crossover of a slower moving average e.g. 5/200
3. Percent penetration of the moving average
4. ATRxn penetration of the moving average
5. Decrease trading frequency e.g. follow signals monthly
6. Others?
Backtesting might shed some insight into what method might work best.
Some day...
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