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Statistik › Backtesting und Belege › Technical timing

Fourteen technical indicators all beat the historical average, and eleven macro variables did not

Technical average of 14 rules: 0.53%+0.53%Technical averageof 14 rulesTechnical principal components: 0.65%+0.65%Technical principalcomponentsAll combined technical plus macro: 1.79%+1.79%All combinedtechnical plus macro

Out of sample R squared for monthly S&P 500 equity risk premium forecasts, evaluation period January 1966 to December 2011. The macroeconomic principal components version is omitted because the source states its out of sample R squared is negative without giving a value. The combined forecast is significant at the 1% level.

All fourteen technical indicators tested had a positive out of sample R squared while only three of fourteen macroeconomic variables did. Combining both gives 1.79%, and 11.24% in recessions against minus 2.80% in expansions, so the predictability is concentrated in downturns.

14 of 14Technical indicators with a positive out of sample R squared
3 of 14Macroeconomic variables with a positive out of sample R squared
1.79%Out of sample R squared combining both, significant at 1%
11.24% against -2.80%The same measured in recessions against expansions

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