Conclusion, Investment Implications, Strategy

The Asbury 6 was originally developed to provide a daily, data-driven measure of the US stock market’s internal health—something that became increasingly difficult to assess by simply observing the S&P 500 amid growing market volatility. Over time, however, and through rigorous quantitative backtesting, the “A6” has also proven to be a highly effective short-term trading methodology—consistently outperforming the S&P 500 since October 2017, with considerably lower risk. The most recent hypothetically backtested performance of the Asbury 6 is illustrated below.

What Is The Asbury 6?

The Asbury 6 is a quantitative, daily gauge of the US equity market’s internal strength, based on six carefully selected metrics. It answers the critical investor question:

“Should I be increasing or decreasing my exposure to equities?”

By filtering out the noise of daily price fluctuations, the Asbury 6 helps investors distinguish real, sustainable market trends from fleeting, often algorithm-driven movements that can either scare investors out of ongoing uptrends or draw them prematurely into reversals. Much like a physician checks vital signs during an exam, the A6 gives a reliable read on market health.

At market inflection points, the six indicators often shift rapidly between green (Positive), red (Negative), and sometimes an even split of three positive and three negative signals. We call this behavior “blinking.” Blinking indicates investor indecision—and the level at which it occurs often becomes the launch point for the market’s next sustained directional move.

The six metrics include:

  • Market Breadth: Measures the number of stocks participating in market moves. Broad participation suggests strength; narrow participation indicates vulnerability.
  • Volume: Tracks trading activity and urgency. High volume reflects strong conviction; low volume signals indecision or weak demand.
  • Relative Performance: Compares segments of the market. Outperformance by areas like small caps may suggest investor risk appetite and potential leadership shifts.
  • Asset Flows: Reflect investor conviction by showing where capital is going. Inflows to bonds, for instance, may signal risk-off sentiment.
  • Volatility (VIX): Gauges expected market volatility over the next 30 days. Rising VIX typically indicates increased fear and uncertainty.
  • Price Rate of Change (ROC): Captures the momentum of price moves—how fast price is changing over time—often seen as the slope of a trendline.
Data-Driven Performance, Quantitatively Verified

We backtested the Asbury 6 across a 7-year period, a range chosen to capture a meaningful cross-section of market conditions—zero and rising rate environments, a global pandemic, and both bull and bear markets.

Testing focused on how to use the A6 most effectively as a short-term strategy—balancing performance with risk management. Our conclusion:
Buy SPY when four or more A6 components turn green (Positive), and move to cash when four or more turn red (Negative).

From October 2017 through Q2 2025, this strategy has averaged 11 round-turn trades per year, which may be too active for some investors. But the benefit is clear:

The green line (Asbury 6 strategy) has outperformed the S&P 500 (blue line) 85% of the time, being above it on 1,668 of 1,942 trading days.

Asbury 6 vs. S&P 500: Q4 2017-Q2 2025

Click chart  above and table below to enlarge

Since Q4 2017, the Asbury 6 has outperformed the S&P 500 across every major risk and reward measure:

  • Annualized Total Return:  Slightly higher than the S&P 500
  • Maximum Drawdown: 20% smaller, offering improved downside protection
  • Standard Deviation:  7% lower, which indicating more consistent returns and less risk than the S&P 500
  • Sharpe Ratio:  0.96%, excellent if not exceptional risk-adjusted return
  • Beta:  Less than half the S&P 500, reflecting a more stable and less volatile strategy

Asbury 6: Risk/Reward Data 2017-2025

Some Additional Highlights

During the February-March 2020 COVID-19 collapse, the S&P 500 experienced a 33.9% drawdown, compared to just a 4.7% drawdown for the Asbury 6.  And, during the 2022 major stock market downturn, the S&P 500 declined by 19.4% for the year, while the “A6” declined by just 4.0%.

The Asbury 6 demonstrates that investors don’t have to choose between performance and risk management. It consistently beats the broad US market while also delivering lower volatility and smaller drawdowns. In short, it shows that in the right hands, data, rather than opinion, can drive smarter, safer investing.

Disclosure/Disclaimer: The information on this website is provided solely for informational purposes and is not intended to be an offer to sell securities or a solicitation of an offer to buy securities. The strategies employed in managing this and other model portfolios may involve algorithmic techniques such as trend analysis, relative strength, moving averages, various momentum, and related strategies. There is no assurance that these strategies and techniques will yield positive outcomes or prevent losses. Past performance as indicated from historical back-testing is hypothetical in nature and does not involve actual client portfolios, does not consider cash flows or market events, and is not predictive of future performance. The model is managed by contemporaneously recording hypothetical trades. Such trades are not live trades and are not influenced by emotional or subjective reactions to extraneous market, economic, political and related factors. The performance for such model(s) is derived from utilizing a variety of technical trading strategies and techniques. Technical trading models are mathematically driven based upon historical data and trends of domestic and foreign market trading activity, including various industry and sector trading statistics within such markets. Technical trading models utilize mathematical algorithms to attempt to identify when markets are likely to increase or decrease and identify appropriate entry and exit points. The primary risk of technical trading models is that historical trends and past performance cannot predict future trends and there is no assurance that the mathematical algorithms employed are designed properly, new data is accurately incorporated, or the software can accurately predict future market, industry, and sector performance.  Asbury Research LLC does not and cannot provide any assurance that an investment in the model portfolios will yield profitable outcomes. The risk of loss trading in financial assets can be substantial, and different types of investment vehicles, including ETFs, involve varying degrees of risk.  Therefore, you should carefully consider whether such trading is suitable for you in light of your financial condition. An investor’s personal goals, risk tolerance, income needs, portfolio size, asset allocation and securities preferences, income tax, and estate planning strategy should be reviewed and taken into consideration before committing to a specific investment program. Please consult with your financial advisor to discuss the appropriateness of any strategy prior to investing. All investments involve risk. Principal is subject to loss, and actual returns may be negative. Returns are not guaranteed in any way and may vary widely from year to year.