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A Market Timing Model is a model or strategy that issues buy and sell signals based on a group of predictive indicators.
Timing Models are usually compared with the buy and hold strategy in order to assess and evaluate its performance. Two measures are particularly important: Annual Return and Strategy Risk (often measured by the maximum drawdown). These measures can be combined to create a single one, the Sharpe ratio. This ratio incorporates both the annual performance and the strategy risk and therefore enables us to easily compare two different trading strategies.
The Mojena Market Timing Model is a model based on 11 trading indicators. These indicators can be grouped into four categories: monetary, technical, fundamental and sentiment indicators. The market timing model combines these eleven indicators and then tries to predict the medium and long-term market trends. It produces a score that varies between 0 to 100, where 50 means that the likelihood of an uptrend occurring is the same as the likelihood of a downtrend occurring. A bullish or buy signal is generated when the Mojena market timing model's value crosses above 77 and a bearish or sell signal is generated when the same market timing model's value crosses below 53. You can take a long position in an Index such as the S&P 500 when a buy signal is generated and a short position or cash position when a sell signal occurs.
You can use this Mojena Market Timing Downloader to get the latest model's value as well as the current signal of the strategy (buy or sell). The model is associated with the following ticker symbol (^Mojena_Market_Timing) and its value is saved in the close field. The current signal is saved in the volume field (A value of 1 means the current signal is a buy).
For more information regarding the Mojena Market Timing Model, visit this page: http://www.mojena.com/
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