RIP Nelson Fraser Freeburg Jr.

RIP Nelson Fraser Freeburg Jr.

Nelson-Freeburg-1435595124

 

link to Nelson Fraser Freeburg Jr. Obituary to share your memories ..

below few public links of his work

I’ve read his newsletter Formula Research , and benefited a lot .

I’d like to present few simple tweaks of his models in his memory

1) yearly $SPX market timing based on PMI 

PMI data source FRED 

a) below the trading odds for buying $SPX ( minus dividends) , at the end of Dec ( i.e last trading day of the year and exiting at next year’s Dec end , data since 1950

Winners : 47
Losers : 17
% Winners : 73%
Average Change % : 8.86
Median Change % : 11.60
Maximum Gain % : 45.00
Maximum Loss % : -38.50
Average Gain %if Winner : 16.78
Average Loss % if Loser : -13.85
Payoff Ratio 1.21

b) buy $SPX , if the PMI reading at the current year’s Dec is greater then the last year’s Dec

Winners : 21
Losers : 11
% Winners : 66%
Average Change % : 5.37
Median Change % : 7.40
Maximum Gain % : 34.10
Maximum Loss % : -23.40
Average Gain %if Winner : 13.73
Average Loss % if Loser : -11.65
Payoff Ratio 1.18

c) buy $SPX , if the PMI reading at the current year’s Dec is less then the last year’s Dec

Winners : 26
Losers : 6
% Winners : 81%
Average Change % : 12.35
Median Change % : 14.20
Maximum Gain % : 45.00
Maximum Loss % : -38.50
Average Gain %if Winner : 19.24
Average Loss % if Loser : -17.52
Payoff Ratio 1.10

conclusion : it is better to buy $SPX in those years , when there is a PMI contraction 

ps: Dec 2014 PMI reading was 55.1 , which was less than that of Dec 2013 reading of 56.1 , and $SPX closed at 2058.9 as on Dec 2014.

2) quarterly  $SPX market timing  based on composite ROC 

ROC is the rate of the change over certain look period , for ex: ROC(3) , is the change in percent , from current monthly close to 3 months ago , for ex: for Jun end , it is the change % from Mar close to Jun close .

a) trading odds for buying at any quarter end and exiting at the next quarter end , data since 1950

Winners : 170
Losers : 91
% Winners : 65%
Average Change % : 2.15
Median Change % : 2.80
Maximum Gain % : 21.60
Maximum Loss % : -26.10
Average Gain %if Winner : 6.49
Average Loss % if Loser : -5.96
Payoff Ratio 1.09

let’s define composite ROC on monthly , as the average of ROC(3), ROC(6) & ROC(12)

for the quarter ending Jun 2015 , the composite ROC , is

ROC(3) = -1.2, ROC(6) = 0.2 , an ROC(12) = 5.2 and the average of those three which is composite ROC is 1.7

b) buy  $SPX at Qtr end , when the composite ROC is +’ve and exit at next Qtr end , data since 1950

Winners : 127
Losers : 60
% Winners : 68%
Average Change % : 2.36
Median Change % : 2.50
Maximum Gain % : 20.50
Maximum Loss % : -23.20
Average Gain %if Winner : 5.84
Average Loss % if Loser : -4.99
Payoff Ratio 1.17

c) buy  $SPX at Qtr end , when the composite ROC is -‘ve and exit at next Qtr end , data since 1950

Winners : 39
Losers : 31
% Winners : 56%
Average Change % : 1.39
Median Change % : 2.90
Maximum Gain % : 21.60
Maximum Loss % : -26.10
Average Gain %if Winner : 8.72
Average Loss % if Loser : -7.84
Payoff Ratio 1.11

conclusion : you see there is that slight edge of going long , when the composite ROC is +’ve

 

 

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