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.
If you have any questions, you can email us at: firstname.lastname@example.org
Disclaimer: No part of the analysis in this blog constitutes a trade recommendation. The past performance of any trading system or methodology is not necessarily indicative of future results. Read the full disclaimer here.
Charting program: Amibroker
Copyright notice: Any unauthorized copy, reproduction, distribution, publication, display, modification, or transmission of any part of this report is strictly prohibited without prior written permission.