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Analysis of Modified Fabian Timing Model [Premium Articles]

One of our premium signals subscribers came across a timing model in a website based on the original Fabian timing model. We backtested the modified timing model and found significant deviations between our results and those shown in the website our subscriber visited.

In addition to significant variations in the results we also found that the modified Fabian timing model fails to outperform the standard 12-month price series momentum model in both absolute and risk-adjusted basis. We speculate on the reasons of these differences at the end of the article.

Below is the logic of the modified Fabian model and backtest results.

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Charting program: Amibroker

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