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Marc Cohn
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I am a patent litigator with a background in physics and electronics. I enjoy studying quantitative, rules-based investment methods through rigorous backtesting and numerical analysis. I believe that patterns exist in the market that benefit trading -- the challenge is finding them!
  • Here Comes March: An Update On The Modified GMR System And An Analysis Of An Even Simpler Stock-Bond Rotation Strategy 6 comments
    Feb 23, 2014 12:06 PM | about stocks: SSO, FEZ, EEM, ILF, EPP, EDV, SHY

    As February wanes, I thought to post a brief update on where my modified version of Grossman's GMR is sitting. You can see a discussion on my modified system here.

    First off, I got published! You can see my new SA article on an analysis of a simple stock-bond rotation strategy. Someone already accused it of being an ad, which makes me laugh because what would I be advertising?! I'm just a guy who likes to yack about investing.

    For the modified GMR, if the month ended today we would see the following three-month performances for the ETFs in the system:

    SSOFEZEEMILFEPPEDV
    3.6%2.5%-6.1%-9.7%-0.3%5.0%

    EDV is in the lead and it has been for most of the month. SSO has 1.4% to catch up on, and it would be well within current volatility levels for SSO to beat out EDV by month's end. The cash-stop correlation between SSO and EDV is at about -0.98, which is about as low as it gets. We will not get a cash stop for March.

    I'll post the modified GMR signal when it hits.

    -M

    Disclosure: I am long SSO.

    Themes: sector, rotation Stocks: SSO, FEZ, EEM, ILF, EPP, EDV, SHY
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Comments (6)
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  • Hank Pong
    , contributor
    Comments (7) | Send Message
     
    Marc: Excellent work and thank you for all the testing. Will you post at the end of February again? Thanks
    23 Feb, 10:37 PM Reply Like
  • IndyDoc1
    , contributor
    Comments (105) | Send Message
     
    There is some thing not right with the above mentioned returns for the last 3 months. SSO still in the lead with 5.44% vs 3.29% for EDV. Am I missing something?
    24 Feb, 09:59 AM Reply Like
  • jorr12
    , contributor
    Comment (1) | Send Message
     
    i got the same number on google finance. He may be using his 85 day xday numbers
    24 Feb, 04:36 PM Reply Like
  • Marc Cohn
    , contributor
    Comments (85) | Send Message
     
    Author’s reply » Don't forget, I wrote that before today's big boom on SSO. Also, I think you are not using dividend-adjusted prices. I reconfirmed my numbers as of the date of the blog and they are correct.
    24 Feb, 06:07 PM Reply Like
  • Marc Cohn
    , contributor
    Comments (85) | Send Message
     
    Author’s reply » After today's close, it is very very close between SSO and EDV:

     

    SSO FEZ EEM ILF EPP EDV
    4.736% 3.270% -6.052% -9.702% 0.510% 4.747%
    24 Feb, 06:38 PM Reply Like
  • cshep1
    , contributor
    Comments (3) | Send Message
     
    Thank you for your analysis. Could you explain how you calculate the -0.98 correlation?
    24 Mar, 02:11 AM Reply Like
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