Proprietary Models

We designed our public dual momentum model, GEM, to be simple and easy to use for do-it-yourself investors. GEM exists to help protect smaller investors from significant drawdowns while allowing them to earn returns that exceed the market over the long run.

But momentum works best when it incorporates multiple trend determinants. There is a synergistic effect when doing that.

Most investors do not give enough importance to price trends.  Greyserman & Kaminsky show that simple trend-following has outperformed buy-and-hold and reduced downside excursions back to the origins of many markets. No other investment factor has shown that. 

Our models are the culmination of a lifetime of investment research and experience. Three of our four proprietary models use a channel breakout approach validated on 100 years of data, as seen in our award-winning research study. We also insist on real-world superior performance.

Richard Dennis taught something similar to this to his “turtle traders.” Jack Dreyfus became a billionaire by trading channel breakouts in stocks making new highs.

Most of our models incorporate mean reversion from overbought and oversold conditions as a complement to trend following. Our proprietary models use daily data and are highly adaptive to market conditions. They are based on rigorous, academic-quality research, validated against at least 100 years of data. This is the only way to be confident you haven’t overfit your data.

We spend considerable time on portfolio construction and on due diligence to find the best ETFs for our models. Thoughtful portfolio structuring is an essential part of our investing process. 

Our models work in many different markets. We chose those whose combinations create optimal, balanced portfolios that are responsive to different market conditions. Using multiple models with low-to-moderate correlations is the best way to reduce model estimation error and uncertainty. Optimal combinations of models can enhance expected returns and reduce expected downside exposure.

We license our proprietary model signals to substantial private and institutional investors, as well as to select investment advisors who understand and appreciate our work. 

Most trading models exit to a safe-haven asset when not in risk-on positions. Our models are unique in that they switch to other assets or models with positive trends before seeking a safe harbor. This layering can capture additional profits and help reduce whipsaw losses. Our models also all use the principle of confirming model signals with other closely aligned assets. Here are our current proprietary models.

Stock Market Upside Reversal Factor (SMURF)

SMURF focuses on U.S. large-cap stock ETFs and may take modest positions in other stock-market or non-stock ETFs when their trends are positive. SMURF exits to alternative assets when trends are no longer positive. 

Blockchain and Digital Asset Super System (BADASS)

BADASS applies its trend model to ETFs that track blockchain and digital technology stocks. It also allocates a moderate amount to spot Ethereum and Bitcoin ETFs when their trends are positive. BADASS has been our most profitable model.

Gold Long Trend (GLTR)

GLTR applies trend following to gold ETFs. Gold is often mean-reverting and challenging to trade, but our trend strategy handles it well. GLTR also incorporates mean reversion trading. Even without trend following and mean reversion, gold has outperformed the S&P 500 over the past 25 years. GLTR often has a low correlation to our other models and is a good portfolio diversifier.

Fixed Income and Reversals Model (FIRM)

FIRM is anchored by short-term fixed-income ETFs. It can also hold short-term positions in other ETFs to exploit mean reversion. FIRM has the lowest correlation among all our models. FIRM also provides tax deferral on most of its investment income.