S&P500 Volatility Timing Model

Posted on Mi 13 Juni 2007 in Stocks • 1 min read

  • Neural Nets tags: [] meta: _aioseop_keywords: Volatility, S&P500, 401k, Investing dsq_thread_id: '204826120' author:

    I've started using my S&P500 Volatility Timing Model to make "buy" decisions for our 401K's. I move money into various mutual funds when the indicator spikes and should skim off profits when its low.

    Typically, and in times of low volatility, the model stays around -0.4. However, the model has been very active recently and the indicator has crossed the 0.00 level two times in the past week (second time yesterday). I took advantage of those spots to add small amounts to our accounts because the markets sold off that day.

    I've been employing this type of strategy for several years now and I will move larger amounts of money into the market the higher the indicator goes (financial Armageddon starts around 0.6 for the indicator).

    To highlight how I use my indicator, I'm posting the following PDF file: gspc_vol-daily_060707. It has two charts that readers might be interested in reviewing and commenting on, which are for the S&P500's Thurday's close last week.

    The first chart has the volatility indicator (in green) overlaid with a line close of the S&P500 (in blue). You can easily pick out the recent spikes in the indicator vs the S&P500 and see the "dip buying" opportunities. The second chart is the indicator again with its 10 day Standard Deviation.

    [tags]Volatility, S&P500, 401k, Investing[/tags]