Subject: GTT timing statistics
S&P500, 2/5/1950 to 3/4/2024, dividends reinvested.
Legend:
* When IN (OUT) is the returns when the timing says to be IN (OUT)
The OUT is the return that you avoid. If it is positive, that means that you missed out on a gain. If it is negative, that means you avoided a loss.
* Trades is the number of buys & sells, including the initial buy on 2/5/1950.
S&P500 Buy & Hold
Trades-> 1
In % -> 100%
When IN When OUT
11.4% N/A
11.4% CAGR
-51% MaxDD
1.05 Sortino
15% stdev
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S&P500 43 week SMA, sell at 1% below SMA, buy at SMA.
(Sell is 1% below SMA in order to avoid whiplash when the SMA is very close to the crossover.)
Trades-> 167
In % -> 72%
When IN When OUT
13.3% 6.4%
9.5% CAGR
-24% MaxDD
1.28 Sortino
11% stdev
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Add GTT rules: Do not sell if the FRED indexes disconfirm recession.
Trades-> 67
In % -> 84%
When IN When OUT
13.9% -1.2%
11.6% CAGR
-26% MaxDD
1.90 Sortino
12% stdev
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GTT is a clear improvement over pure SMA timing.
Fewer trades
Ducks losses when OUT vs. SMA missing out on gains when OUT.
Better Sortino Ratio.
Better CAGR.