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Investment Strategies / Mechanical Investing❤
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Author: musselmant ✧  😊 😞
Number: of 3959 
Subject: Sharpe=1 CAGR 44% since 08 with timed lev'd E
Date: 12/30/2024 2:47 PM
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http://gtr1.net/2013/?f0.10000::gprc%281%29gt0:tr%...

I haven't used ETFs, but for a laugh I tested a simple timing strategy trading monthly between two, representing ETFs that try to match 3x QQQ and 3X SPY, adding a market timing rule to stay out of the market someone here came up with a long time ago.
Trade monthly based which of the 2 has the best 120 day return but go to cash with timing rule.

CAGR 44.1% since 20081105
sharpe=1 beat the Nasdaq100's .87 and the S&P500's .75
beta=2.3 compared to the Nasdaq100's 1 and the S&P500's 1.1
mdd -69.9% much worse than the Nasdaq100's -31% in that period, and the S&P's -39%
Ulcer 18.4

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Author: elann ✹🐝 GOLD
SHREWD   😊 😞
Number: of 3959 
Subject: Re: Sharpe=1 CAGR 44% since 08 with timed lev'd E
Date: 12/30/2024 3:07 PM
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adding a market timing rule to stay out of the market someone here came up with a long time ago.

Could you describe the timing rule in words?

Elan
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Author: musselmant ✧  😊 😞
Number: of 3959 
Subject: Re: Sharpe=1 CAGR 44% since 08 with timed lev'd E
Date: 12/30/2024 4:07 PM
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One of the timing drafters will have to explain; it was too sophisticated for me.
http://www.datahelper.com/mi/search.phtml?nofool=y... is an old post
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Author: elann ✹🐝 GOLD
SHREWD   😊 😞
Number: of 3959 
Subject: Re: Sharpe=1 CAGR 44% since 08 with timed lev'd E
Date: 12/30/2024 5:18 PM
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One of the timing drafters will have to explain; it was too sophisticated for me.

Sounds like the blind leading the blind.
Which signal did you use - BCI, BCII, BCIII, or BCC?

Elan
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Author: lizgdal ✶  😊 😞
Number: of 3959 
Subject: Re: Sharpe=1 CAGR 44% since 08 with timed lev'd E
Date: 12/30/2024 6:07 PM
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The screen goes to cash when BCC is zero. Trades every 20 market days.

Create [BCC]: Import [BCC] as signal (screen_number=0, lag_days=2, default_value=-1)
Holding period = 20 mkt days
Close all liquid positions on any market dates where [BCC] == 0

The backtest can be extended to 1926: 22 CAGR, 68 GSD, -95 MDD.

http://gtr1.net/2013/?!!QlpoMTFBWSZTWcsZo6UAAbdfgE...


Using the gindexes for RSP and QQQ, from 1926 to 2024: 14 CAGR, 21 GSD, -69 MDD.

http://gtr1.net/2013/?!!QlpoMTFBWSZTWRHgJ38AAbXfgE...
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