Subject: Sjuggerud - 1-2-3 info resurrection
As I review (too often) my timing dashboard for potential revisions & improvements, I decided to rebuild the broken references to the simple Sjuggerud 123 model that I still have a row for.
I've modified the original PE hard cutoff of 17 from SteveAl's posting of the model of 23+ years ago to be "average PE +1SD over the last 30 years" to reflect the general expansion of the market's PE over time. As you would expect, that component of the model is still "green/ok" even with a current PE around 30.
Bottom line: it's bullish, as it more frequently than not is. PE is under 30yr+1SD, Market is above 45WK MA and the Fed is not raising interest rates - "out of the way".
Back story if you're interested -
Jim (yes, Mungo's) last backtest post in 2019 - https://yorickm.com/Message.ph... (titled 1-2-3). Effective defense at staying out of bad bear markets - reduces GSD and improves CAGR over buy & hold
The original model crossposted to the Fool in Sept 2002 by "SteveAl": https://yorickm.com/Message.ph... (also findable on the Web by searching Sjuggerud and Daily Reckoning
Jim updated a backtest in 2011 which can be found on Yorick (thank you again
JLC tweaked it a few times and posted regular updates from 03-08 before dropping it for QTAA, an example https://yorickm.com/Message.ph...