Faber’s market timing 2

R source for graph, calculation of equity for 10 week trading system seen below. S&P 500 index data since 1973.  Playing around with an example is a great way to learn.

Finishing up the Faber system for the 5 indices he uses (S&P, MSCI EAFE, GSCI, NAREIT, and 10 year bonds), trading each in isolation. Waiting for S&P and GS to respond to my query about where to find the total return series for the GS Commodity Index. Next step is to position size them at 20% each to generate one portfolio.

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