It is a comprehensive market timing strategy. Every review day, collect signals of all simple rules. And switch the position when more than a certain proportion signals suggest to do so.
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. Voting is one way to summarize these information.
Voting rules are defined as follows: Each simple rule in our universe has one vote, either
to invest in the index (pro index) or to exit the market (contra index), according to that
rule's switching signal. The investment decisions of a voting rule are based on the ratio of pro index and
contra index votes. Traders sell the index if a certain percentage of all votes signal exiting the market, and vice versa. The voting takes place with a certain frequency.
The StartDate of the portfolio should not be set to the date earlier than 1963/1/1.
Parameters used in the created portfolio:
Proportion : 0.5 (default), 0.6
ReviewFrequency: 1 month (default), 3 months
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
Learning Market Timing Rule: following the most profitable rule of the above simple market rules in each period
See Also
Relative Working Papers:
- Neuhierl, Andreas,Schlusche and Bernd.Data Snooping and Market-Timing Rule Performance. 2009.
Relative books:
- Deborah Weir. Timing the Market: How To Profit in the Stock Market Using the Yield Curve, Technical Analysis, and Cultural Indicators . 2000.
- Les Masonson. All About Market Timing: A Easy Way To Get Started. 2003.
- Colin Alexander. Streetsmart Guide to Timing the Stock Market: When to Buy, Sell, and Sell Short. 2005.
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