Zweig Model 2.0

Prime Rate Indicator

Glossary

BUY: $10,000 becomes

This is the return achieved by following the indicator. Does not (yet) take into account transactional costs.

SELL: $10,000 becomes

This is what your return would have been if you had followed the anti-indicator - that is, if everytime it told you to buy, you sold; and every time it told you to sell, you bought. This data-point is not yet ready.

Buy-and-hold $10,000 becomes

This is the Future Value of using the buy and hold strategy - ignoring the indicator. If we can't beat this (including transaction costs), with reduced risk, then there is no reason to follow the indicator.

BUY: Annualized Return

This is the annualized return that you would have received by following the indicator. It's a function of initial investment ($10,000) and your ending balance - taking into account the number of years since the initial investment date. This differs significanlty from the values in Zweig's book - because he is only counting the time that he is on a buy indicator. More on this later.

SELL: Annualized Return

In PROGRESS

Buy and Hold Return

This is the annualized return you would have received if you had invested your $10,000 on day one and then done nothing during the period under consideration.

BUY: Percentage of correct signals

Percentage of buy signals during which the index increased in value.

SELL: Percentage of correct signals

Percentage of sell signals during which the index decreased in value.

BUY: Risk Adjusted Return

This is the return that is shown in the book - it only takes into account the time period that the indicator is on a buy signal. This is somewhat controversial and will be the subject of a future blog post.