No. of Recommendations: 14
With a march close on the S&P 500 of 4109, the elusive Coppock Signal appears to have triggered.Seems right to me.
They're pretty rare. The last "buy" was end May 2016. The one before was end May 2009. Before that, a pair of signals November 2002/April 2003.
For why anyone might care, this might be a quick backgrounder, from a couple of years ago
http://www.datahelper.com/mi/search.phtml?nofool=y...Sure, it's impossible to time the market accurately.
But it's not that difficult at all to stack the deck.
That is to say, it's not hard to divide time into two states, one of which has materially lower long run average rates of return than the other, in and out of sample.
There are lots of ways that a statistical edge can be turned into extra money without betting the rent on every signal being perfect.
One fine example would be "has their been a Coppock buy signal in the last year and a half".
Since the Coppock signal was published in late 1962, the CAGR with answer "yes" has been inflation+ 10.9%/year for that 35% of the time.
The CAGR with answer "no" has been inflation+ 3.2%/year for the other 65% of the time.
Not a bad validation for 58 years out of sample.
Using this as a long/cash signal would probably have reduced your long run returns, since a real 3.2% is more than what you'd get on cash.
But it's not hard to imagine constructing a portfolio that used this signal to give better returns without increased risk on any meaningful metric.For those who like their lunch overcooked, it would have worked better to use 19 months instead of 18 : )
i.e., bullish all of April if, at the end of March, the time since the last buy signal was <=19 months.
Jim
