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Market Timing

Monday, September 25 2017

Evaluating Timing Models !!!

Stock market timing models are difficult to evaluate, but you do not have to completely understand the interworking of the models.  

For any model you are considering investing with, you should at least know:

  • What is the background of the model developer ?
    - that is, is he/she qualified to develop a sophisticated timing model ?
  • On average, how many times does the model trade every year ?
    - some models issue about 12 trades/year and others over 100 times/year.
  • Are the long-term performance results of the model outstanding ?
    - for example, does the model beat buy-and-hold in both up and down markets ?
    - to satisfy the above, your evaluation must include at least one market crash (as in 2008).
  • Are the performance results Verified by a 3rd-party tracking company ? ***
    - like,,, etc.

*** Non-Verified Performance
If the hypothetical backtested (non-verified) performance of a model:

  • comes from a company's first model, do not trust the results;
  • comes from a company that has several older verified models that produced lousy performance results, do not trust the newer results;
  • comes from a company that has several older verified models that produced very good performance, you can trust the results from the new models (because they usually retain 85-90% of the code/signals from the older models, together with 10-15% of new code that contains algorithms which produce a higher percentage of winning trades).

If the information that you have available for any model is not enough
to satisfy the conditions above, you should NOT use that model. 
On the other hand, it you can evaluate a model as above,
you most likely do not need any other info !!!


Posted by: Dr. G. Paul Distefano AT 08:21 pm   |  Permalink   |  Email
Friday, September 22 2017


The table below shows the ranking of the top 25 models that tracked in the period of
2007 - 2017 ytd.   MIPS3/MF is the #1 Ranked model out of the top 25.

Please note that the performance of these models is NOT correlated to the number of trades they issued.
For Example:
MIPS traded about 130 times in this 10-year period and was the #1 Ranked model with a gain of 362%, whereas the #25 Ranked model traded 1,300 times and was only up 35% !!!

Posted by: Dr. G. Paul Distefano AT 06:07 pm   |  Permalink   |  Email
Saturday, September 16 2017

We all know that the current up-trend in the SPY has been strong since Mar'16. There might be a slight degree of degradation at this time, but not much.

Of course, MIPS remains relatively positive
- see the MIPS Strength Indicator (MSI) immediately below.
- this is a combo of some of the best MIPS technical indicators and math algorithms.
- the black arrow from the bottom on 7/12/2017 identifies the last trade for some of the MIPS models.

Here is what today's trend looks like from a technical perspective.

Note: Almost perfect, low volatility "Up -Trending' EMAs (50-100-150-200-Day EMAs)

Posted by: Dr. G. Paul Distefano AT 01:43 pm   |  Permalink   |  Email
Monday, September 11 2017

FYI - Stocks have not been rallying for the last 10-16 months in the USA alone.

The current trend in the S&P 500 has been up for a relatively long time.  But it is not alone.  The MSCI All-Cap World Index (ACWI) has been up EVERY MONTH for the last ten months (and for 13 of the last 14 months).  This is the first time in its 30-year history that a rally in this Index has been this perfect for so long.   See the Table immediately below.

We all know that the current trend in the SPY has been strong since 3Q'16, and continues to be at this time.  When a potential war with N. Korea, multiple record-breaking destructive hurricanes, a severely divided country and Congress, etc., is not enough to "turn a trend", then almost by definition, that trend must be strong. 

Here is what today's trend looks like from a technical perspective.

Note: Almost perfect, low volatility "Up -Trending" EMAs (50-100-150-200-Day EMAs)

So, how has MIPS performed in the time period?

MIPS is doing a great job of not getting "sucked in" to the little dips over the last 18 months and has produced excellent results.

2016 - 170908
Blue Line  -  MIPS3 1.5x Long / 0.5x Short    +29.5%
Green Line - MIPS3 1.0 Long  / 1.0x Short     +20.5%
Red Line    - SPY                                                 + 2.5%

Paul Distefano, PhD
MIPS Timing Systems, LLC
Houston, TX

Posted by: Dr. G. Paul Distefano AT 06:37 pm   |  Permalink   |  Email

MIPS Timing Systems
P.O. Box 925214
Houston, TX  77292

An affordable and efficient stock market timing tool. Contact MIPS
281-251-MIPS (6477)