As the OnTheMark 4X KBA Model (Technical combined with Value based Fundamentals like Intrinsic Value) progresses, here is a point in time analysis of the current holdings presuming the model is applied to all stocks in the US Equity market. I am still developing an ability to backtest using fundamental data (point in time Intrinsic value), so this analysis is based on what is going on right now in the model.
First a reminder. This model combines the current technical model with the following constraints: the security in question must have a price below calculated Intrinsic Value as well as in the lower third of the trailing 5 year PE range based upon current PE. These constraints should blend the technical model with a set of value-based stocks.
The model matches BUY recommendations with current winning trades and SELL recommendations with current losing trades 76% of the time. In 84% of instances where the model recommended a BUY, the stock is currently a winner. Those are relatively good numbers.
The blended average of all BUY recommendations against the performance of the S&P is mixed. Only in 41% of current BUY trades is the trade beating the market, but that is misleading. In aggregate gain percentage I believe that the model is ahead (the stocks in the 41% are beating the market by more than the 59% is not). Also, any trend following model such as this one will likely not beat the market in a pronounced bull market, but should beat the market in any downturn and I expect it to do so across an entire economic cycle.
The current results of the model are included in the Excel document below. Feel free to do your own analysis and I would love to collaborate to improve this model for all concerned.
|BUY and chg%>0||124||265|
|SELL and chg%<0||141|
|BUY and chg%<0||24||85|
|SELL and chg%>0||61|
|Model Accuracy %=||75.7%|
|Versus the S&P 500|
|BUY and gain>S&P||61||41.2%|
|BUY and gain<S&P||87||58.8%|