Post #5187 by zeelotes on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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No. of Recommendations: 17

I went ahead and ran the numbers as follows:

1. The first day when Brent Crude pops from a 3-Month low by 35% a signal is issued and held for six months
2. New 35% pops in Brent prices produces a new signal and an extension of another six months

During the "bearish" periods - after a pop of 35% and a hold of six months the returns are (based on CAGR):

Investment                                      Symbol  Bearish
Spdr Select Sector Fund Materials               XLB     11.36%
Spdr Select Sector Fund Consumer Discretionary  XLY     9.58%
Spdr Select Sector Fund Energy Select Sector    XLE     9.38%
Spdr Select Sector Fund Industrial              XLI     9.32%
Spdr Select Sector Fund Utilities               XLU     8.72%
Spdr Select Sector Fund Health Care             XLV     6.90%
Spdr Select Sector Fund Consumer Staples        XLP     6.81%
Spdr Select Sector Fund Financial               XLF     5.93%
Spdr Select Sector Fund Technology              XLK     4.51%
S&P 500                                         ^GSPC   3.85%

In contrast, during the bullish periods - when the above is NOT true:

Investment                                      Symbol  Bullish
Spdr Select Sector Fund Technology              XLK     12.09%
Spdr Select Sector Fund Consumer Discretionary  XLY     9.58%
Spdr Select Sector Fund Industrial              XLI     9.49%
Spdr Select Sector Fund Health Care             XLV     9.10%
Spdr Select Sector Fund Energy Select Sector    XLE     8.67%
Spdr Select Sector Fund Utilities               XLU     7.60%
Spdr Select Sector Fund Consumer Staples        XLP     6.76%
Spdr Select Sector Fund Materials               XLB     6.67%
Spdr Select Sector Fund Financial               XLF     5.50%
S&P 500                                         ^GSPC   8.76%

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