The Bond Model

Our models are constructed with both fundamental and technical data, and a bull signal is registered when both fundamentals and technicals are positive. A bear signal is registered when both fundamentals and technicals are negative. A neutral signal means that only one element of our model is positive. Neutral market signals tend to be ruled by overbought and oversold conditions; the market is range bound. We can be buyers in bear markets as conditions can be ripe for a reversal, so being bullish in a bear is acceptable.  Snapshot Last Update: 1.10.14 Current Fundamental Signal: Bullish Current Technical Signal: Bullish Aggregate Signal: BULLISH Duration of current aggregate signal: 0 weeks   The Technicals Figure 1 is a weekly chart of the Vanguard Total Bond Market Fund (symbol: BND). The current technical signal is BULLISH. Figure 1. BND/ weekly   1) BND is firmly above support levels and on its way to a series of higher lows (i.e., a definition of an uptrend).   Fundamental Model Our fundamental bond model is based upon the direction of interest rates and intermarket relationships with commodities and utilities.  The current fundamental signal is BULLISH. Data used: Dow Jones Composite Bond Index Back testing date begins: January 23, 1976 Total DJ Composite Bond Index points earned (strategy): 233 Total DJ Composite Bond Index points earned (buy and hold): 250 % of time in market: 40% Average trade duration: 12 weeks Number of outlier trades: 0 Performance Metrics Trade Series   Individual Trades These are the individual trades from the fundamental bond model.   Equity Curve/ Drawdown This is the equity curve for the fundamental bond model. Equity Curve This is the underwater equity curve (drawdown %). Underwater Equity Curve/ monthly   Profit by Month Which months are the most profitable for this strategy? This graphs shows you. Profit by Month   MAE/ MFE This is the maximum adverse excursion (MAE) graph. This shows every trade from the strategy. Each trade’s profit or loss in percentage terms is on the y axis. Winning trades are in green; losing trades are in red. The x axis shows each trade’s individual drawdown in percentage terms. MAE This is the maximum favorable excursion (MFE) graph. This shows every trade from the strategy. Each trade’s profit or loss in percentage terms is on the y axis. Winning trades are in green; losing trades are in red. The x axis shows each trade’s individual run up in percentage terms. MFE TacticalBeta  is 100% FREE…. SIGN UP NOW!