End of month S&P 500 index vs. 10-month MA

Test Market Timing Models

This online tool allows you to test different market timing and tactical asset allocation models based on moving averages, momentum, the Shiller PE ratio (PE10) and target volatility.

  • Shiller PE Ratio (PE10) market valuation based dynamic allocation between stocks and bonds
    • PE10 >= 22 - 40% stocks, 60% bonds
    • 14 <= PE10 < 22 - 60% stocks, 40% bonds
    • PE10 < 14 - 80% stocks, 20% bonds
  • Moving averages based timing against a specific stock, ETF, mutual fund or index
    • Buy when end-of-month price is greater than the moving average or when two moving averages cross
    • Sell when end-of-month price is less than the moving average or when two moving averages cross
  • Moving averages based timing for portfolio components
    • Invest in a portfolio asset when end-of-month price is greater than the moving average
    • Move a portfolio asset to cash when end-of-month price is less than the moving average
  • Momentum based relative strength model that invests in the best performing assets in the model
    • Use single timing window period or multiple weighted timing periods
    • Adjust for volatility either as inverse scaling factor or as a negative ranking factor
    • Use moving averages as a risk control to decide whether investments should be moved to cash
  • Dual momentum based timing model
    • Use relative momentum to select best performing model asset
    • Use absolute momentum to as a filter to invest in fixed income if the excess return of the selected asset is negative
  • Target volatility based timing model
    • Adjust the market exposure of the portfolio based on realized historic volatility and the given volatility target