Demo of our data set for the S&P 500 index
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Berman Scale for S&P 500
We derive the calculations of our Berman Scale© from the approach developed by Phillips et al. (2011) and Martelin et al. (2016). We test whether the recent pattern in an index level time series can be characterized as a bubble (i.e. a non-linear explosive behavior). A value of 10 and above indicates a high probability of a bubble.
1996 - 2016
YEAR by YEAR average Berman Scale
Annual Berman Scale average for S&P 500
How the data can be used: example of an investment strategy
Several investment strategies can be developed using the Berman Scale© and/or the trading signals.
We present here a simple long-term, long-only index strategy based on monthly data with the following characteristics:
. Portfolio size: 100,000 USD
. Asset traded: ETFs on the S&P 500 index
. Investment decision: Buy for 100,000 USD worth of ETFs when a BUY signal is returned and close position when a SELL signal is returned
We ignore all other BUY signals returned between the first BUY signal and the next SELL signal.
Below is the result of this strategy (annual performance in %)