Referring to “Leading Economic Index and the Stock Market”, a subscriber inquired about using the Conference Board’s Leading Economic Index (LEI) for the U.S. to generate long-term U.S. stock market timing signals, as follows:
“How about using the LEI in the following fashion?
Buy when the LEI rises by 1.0 % from its lowest point in the prior six months.
Sell when the LEI falls by 1.5% from its highest point in the last six months.
I used 1% as a buy because bear markets can end abruptly, not because I was torturing the data to confess. You could use 1.5% and I think still have robust results…changes in trend, which are rare, seem to be helpful. I bought the LEI data from the Conference Board and did some testing by hand using the above going back to 1969. I think I found some interesting results. …It gave early sell in 2006… The signal date was the date of the release… Most of the benefit of the trading system comes within the last 14 years.”
Using the monthly change in LEI data from archived Conference Board press releases during June 2002 through October 2014 (146 months), we find that: Keep Reading