Current Models I'm Working With

[nodoodahs]

EPCR/TA model for next month's S&P

This has been "tweaked" for 2004-present data. Currently it suggests more of the same, i.e. outcome in line with average monthly returns since Jan '04. Also suggests a 63% chance of a higher S&P 500 at the end of August. Considering that monthly returns are, on average, positive 57% of the time, this is not a strong signal.

S&P500 FA/TA Quarterly Return Model

I wrote about this earlier in the weekend. No change, no new data.

S&P500 FA/TA Quarterly Bust Model

While I got a "chance of a bust" number out of the Quarterly Return Model, the chance of a bust was not inversely correlated to the chance of a good return. Several of the things that produce excessively good market returns (on average) are also likely to produce a bust. Go figure! So I am trying to get a model for bust chance. The one I have now does a better job in finding busts, also has about 3% alpha since 1982 with less time out of the market than the Return Model, but tells me nothing about probable quarterly returns. Go figure! For the bust model, I have a definitional change of "bust." A "bust" is defined for this model as, the chance that the S&P500 will fall by 10% or more, from Friday's close, at any time in the next 13 weeks. The Bust Model is purely FA and money-supply based. Overall busts occur about 8.4% of the time. Our odds this quarter look to be low, 4.8%.

10YT Treasury Model

Still very much a work in progress. Mixture of FA and TA. Currently sending a weak signal for increased yield over the next quarter.

US Dollar Index Model

Again a work in progress. Pure FA. Right now the signal is in the 5th decile of the range since '82 so there's no clear indication.

Possible Strategies

Still work in progress. I would appreciate any comments on possibilities ...
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