The Model. The KP Trend Model remains Green. Full policy exposure to US equities.
From the Trading Room. The KP Trend Model has two two elements: A price-based long-term trend study that changes direction less than once a year — it is currently positive by a considerable margin:
We pair this study with the more sensitive (5.2 trades/year) KP-1 Model (below) which is based entirely on internal, non-price data. Since the underlying concept is completely different, this study has shown itself to be synergistic with the Long-Term Model.
In combination, both produce a better result, measured by risk-adjusted return metrics such as Sharpe Ratios, than either on its own.
