All the OPTIMUM brand of SP-500 market timing models have been moved under a new page and menu item at https://recessionalert.com/pro-optimum/
These models span various time horizons and have explicit entry/exit rules used in their back testing that can easily be replicated by subscribers into the future. They are defined as Macro models that work across bull and bear markets and bull-market models that are designed and optimized to perform during bull markets only. One of the requirements of OPTIMUM models is they all have standardized performance tables starting from March 2009 (longer for the macro models) that allows you to compare their respective characteristics and risks. More specifically these include total trades, winners, losers, winning %, losing %, points gained on winners, points lost on losers, net points gained (points gained less points lost), reward/risk ratios (points gained divided by points lost), average winning trade size, average losing trade size and total cumulative returns (TRI). The models are briefly described below, but their respective tabs in the OPTIMUM menu will have further detail of their mechanics, and daily updates to more recent trade depictions on a SP500 chart and detailed performance statistics:
1. OPTIMUM-1 : A long-term low frequency (7 trades since 2009) macro-model that aims to capture & avoid as much of the entire extents of bull and bear markets respectively. These bull and bear markets typically are aligned with the economic cycle. This model has such timely accurate signalling of new bull markets that it earns itself a place as one of the seven models in the MEGA tab in the DASHBOARD.
2. OPTIMUM-CMHI : A long-term medium-frequency macro model (19 trades since 2009) built on the back of the CMHI (Composite Market Health Index) engine which has been around for some time now. Whilst its objectives are similar to OPTIMUM-1 it does feature some exceptional intra bull/bear moves to improve alpha.
3. STM & STM-PRO : The standard Seasonality Timing Model (STM) that has been around for many years now and continues to appear in the STM tab in MONTHLY CHARTS but with some enhanced charts and detailed performance statistics. A new PRO version that offers significantly enhanced performance joins the OPTIMUM models however with some enhanced dashboards and daily updated charts to track trade progress. Whilst this model has long term bull and bear market history guiding its decisions, its best performance is during bull markets and thus we have classified it as a high-frequency (36 trades since 2009) bull market model. Both STM models have had some stunning out-of-sample performance statistics for both longs, cash holding periods and shorts.
4. OPTIMUM-2 : A low frequency bull market model (10 trades since 2009) optimized for long-trade net winning points gained. Although it has a similar frequency since 2009 to OPTIMUM-1 this model will outperform OPTIMUM-1 in a bull market since it is not stunted with assumptions that need to be made to protect it from bear markets.
5. OPTIMUM-3 : A low-to-medium frequency bull market model (14 trades since 2009) optimized for long-trade win rate %.
6. OPTIMUM-4 : A medium frequency bull market model (18 trades since 2009) optimized for long trade total accumulated returns (TRI).
7. OPTIMUM-5 : A high frequency bull market model (31 trades since 2009) optimized for highest trade frequency with acceptable long-trade performance statistics.
8. OPTIMUM-D: One of the more novel ways to deploy these models is through a diffusion (hence the D), which counts how many of the models are long. This can be used to scale in and out the market to adjust for risk. The reasoning is that by the time the big bear arrives you will be all-out and so the diffusion can be classified as a macro model. One implementation of the diffusion looks as follows (does not include OPTIMUM or STM):
There is also an implicit high-performing timing model one can follow based on the OPTIMUM DIFFUSION above, namely long when the diffusion remains above or touches 3 from above, short when its below 3 or touches 3 from below. We will be conducting more research around the optimum use of the Diffusion and which models to include in a market timing version of it and it will likely feature its own OPT-D tab in the OPTIMUM menu shortly.
9. ALERTING : Any change in the trade status of any of the OPTIMUM models will result in an ALERT being posted in to the PRO ALERTS tab as well as email alerts. In some instances the alerts will be a day in advance if the rules of the algorithm allow it, or if the rules look like they may trigger in the very near future. Many of the OPTIMUM models also feature end-of-day stops that are projected a day in advance so you can intercept a trade action in a timely manner without relying on alerts.
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