CPM Investing LLC - Research Publications
Our loss-avoiding algorithms have produced strong results, as evidenced by the performance of the green line in the figure above. This line is a simulation of the performance produced by trading long and short positions in the Dow Jones Industrial Average index based on our algorithms. The performance of the DJIA (buy-and-hold) is indicated by the brown line. The figure shows from 1918 through early 2023.
Our main algorithms were completed in 2008 and have consistently produced strong returns since that time. The vertical line in the chart represents the latest date of the data use to calibrate the algorithms (the in-sample period). Performance after that date indicates how the algorithms performed without any intervention or adjustment. There is an average of 11 trades per year over the period shown, with trades clustered near major market inflection points.
This article describes biases that subscribers should be aware of: Link.
Please see the article "Understanding Market Resilience" for a more detailed discussion of the Market Resilience Index® series.
Trade Resilience Cycles, Not Prices
The target weights for the Focused 15 Investing model portfolios are based on our proprietary measures of market resilience. Our Market Resilience Index® series for each asset class index (e.g., the Dow Jones Industrial Average) measures both short and long cycles of resilience. The short resilience cycles are measured by the Micro MRI, and the long cycles are measured by the Macro MRI.
"Buy low and sell high on the MRI"
