This is the status of my timing signals dashboard, developed from several years’ ago backtests & information posted on this board as well as other sources, notably Meb Faber’s GTAA system.
Intermediate-Term
TYPE SIGNAL INDIC SINCE
-------------- ---------- ------- ------
BearCatcher Naz NH/NL Bear 11/19/21
BearCatcher SMA Slope Neutral 3/4/22
BearCatcher 99D/DBE Bull 11/5/21
Momentum, Int #26W Hi Neutral 1/4/22
Momentum, Int DMI Bear 11/26/21
Momentum, Int 10/50 Cross Neutral 1/19/22
Momentum, Int MACD Weekly Bear 11/26/21
Momentum, Int 26W / 52W Bull 6/17/20
Breadth, Int PAMA Naz 50 Bear 1/18
Breadth, Int Naz Bull % Bear 12/10/21
Breadth, Int S&P PAMA 200Bear 8/6/21
Breadth Thrust Breadth Thrust Watch
Correction Mode Bear 1/14/22
Timing, SeasonalMACD on RUT Bull 10/19/21
Interest Rates Corp Bond Bear 1/7/22
Leverage, Macro Marg. Debt Bull 1/5/22
Momentum, ST MACD Daily Bear 12/10/21
Breadth, ST SP600 PAMA10Bear 3/1
Breadth, ST PAMA5D %OFF 21dhBear 3/11/22
The total of this dashboard is -7 bearish - get out and watch for strong bottoms.
GTAA Indicators
Asset Class Signal Since Slope To MA Rank
US LC OUT 1/21/22 Down 0.933 6
US LC Mo OUT 1/7/22 Down 0.86 12
US SC OUT 12/3/21 Down 0.90 11
US SC Mo OUT 1/21/22 Down 0.92 9
For. Dev OUT 1/21/22 Down 0.904 13
For. Dev. SC OUT 12/3/21 Down 0.863 14
Emerging OUT 1/21/22 Down 0.911 10
Real Estate OUT 1/21/22 Down 0.973 2
Foreign Real OUT 11/5/21 Down 0.941 7
Total Bond OUT 12/31/20Down 0.95 4
10Y US Gov OUT 1/7/22 Down 0.97 3
Global HY OUT 1/21/22 Down 0.96 5
Preferred OUT 11/5/21 Up 0.92 8
**Cash 1**
Self-explanatory. There are sectors within these classes that are trending up.
FWIW My implementation of these timing signals is I remain 90% cash, 10% sectors trending up and 10% short.
Great post!
When do you consider a Bear Catcher - SMA Slope in this case - neutral? I assume it’s something like “the 2 lines are very very close to another” as they are now, and “look like they should cross soon”. But is there a mechanical rule?
Jailbird, I appreciate the question! Some years ago board denizens and others debated the merits of a “hysteresis” band around some of these indicators, to smooth them out and avoid whipsaws. SMA Slope is one such indicator that makes sense to use a band around.
As an example, SMA slope went into a state several years ago in one “trendless” 6+ months long market where it switched / whipsawed week to week for some time. In that state, throwing a “bullish” or “bearish” label on it when the 180 DMA is .002 different than the MA 5 or 7 days ago is not really meaningful.
I implemented a .1% (.001) band around the 180 day moving average to indicate “trendless”/Neutral.
Jailbird, I appreciate the question! Some years ago board denizens and others debated the merits of a “hysteresis” band around some of these indicators, to smooth them out and avoid whipsaws. SMA Slope is one such indicator that makes sense to use a band around.
I use this band with some success.
Keltner Bands
Trend
Overlay
Description
Keltner Bands are bands that are plotted above and below a simple moving average of average price, indicating “normal” trading ranges for markets.
The Keltner indicators take two parameters. Period 1 specifies the period to smooth highs and lows, and Period 2 specifies the period to use to smooth typical price in the calculation (see below). Note: Because Keltner Bands use average price, as well as highs minus lows, the indicator does not use a price series parameter like many other indicator functions.
How this indicator works
One way to use Keltner Bands is to take a long position when price closes above the upper band, and to reverse course and take a short position when price closes below the lower band.
Indicators based on channels, bands and envelopes are designed to encompass most price action. Therefore, price movement outside of the bands is typically considered an anomaly and, therefore, a potential trading opportunity.
Calculation
Typical Price (TP) = (High + Low + Close) / 3