It is a comprehensive market timing strategy. It evaluates the selected simple market timing strategies'  performance over the preceding period every certain days. Then it follows the most profitable strategy before the next review day.

    In practice, investment decisions are likely to be based on a broader information set and thus on complex trading strategies that incorporate information from various indicators.

    So here, we rank the selected simple market timing strategies' annualized returns over the preceding  period, such as 128 days. Then we do transactions following the best performing strategy. We review and redetermined the best performing strategy every certain days, such as every 128 days.

    The default evaluation period and the default review frequency are  every 128 days. The StartDate of the portfolio should not be set to the date earlier than 1963/1/1.

 Parameters used in the created portfolio:

EvaluateDay: 5 days, 128 days (default), 256 days

ReviewFrequency: 5 days, 128 days (default), 256 days

Similar Strategies in ValiFi:

• Market Timing Rule with Short Term Interest Rate: using the short-term interest rates as an indicator 
• Market Timing Rule with Maturity Spread: using the spread of long-term and short-term interest rates as an indicator 
• SMA Timing Method proposed by Faber: using the SMA of the target asset as an indicator
• High Yield Bond Timing Strategy: using  trend  triggers (percentages from recent high or recent low) of the asset price for buy and sell decisions
• The 125 05 Timing Model of High Yield Bond Strategy by Gerald Appel: using  predifined trend  triggers (percentages from recent high or recent low) of the asset price for buy and sell decisions
• Market Timing Rule with Long Term Interest Rate: using long-term interest rate as an indicator
• Market Timing Rule with Earning to Price Ratio: using the E/P ratio as an indicator
• Market Timing Rule with Dividend Yield: using the dividend yield as an indicator
• Market Timing Rule with Expected Inflation: using the expected inflation as an indicator
• Market Timing rule with Implied Volatility Index : using the implied volatility index  as an indicator  
• Market Timing Rule with Bond-Equity Yield Ratio : using the bond-equity yield ratio as an indicator 
• Market Timing Rule with Dividend Payout Ratio : using the dividend payout ratio as an indicator 
• Market Timing Rule with Credit Spread :  using the credit spread as an indicator
• Market Timing Rule with Put/Call Ratio:  using the put/call ratio as an indicator
• Voting Market Timing Rule : Switching the position if a certain percentage of the above simple market timing rules intends to do so.

See Also

Relative Working Papers: