I looked at the effect of BCC timing on a few gtr1 indexes and the screen {Nas100Momentum}. {Nas100Momentum} is a monthly screen that picks the 10 Nasdaq100 stocks with the highest preceding 1-year return. The ETFs similar to gtr1 indexes are: SPY ~ S5T, RSP ~ S5TE, QQQ ~ N1T, QQQE ~ N1TE, QLD ~ N1TL2 (2x leverage), TQQQ ~ N1TL3 (3x leverage).

Results from 19850201 to 20251128 without timing:

    Screen      CAGR  SAWR  GSD  LDDD3  MDD   UI  Sharpe
      S5T        12     6   17     10   -55   13   0.59
     S5TE        12     8   20     10   -60   10   0.56
Nas100Momentum   24    12   35     15   -72   22   0.78
      N1T        15     5   26     16   -81   34   0.57
     N1TE        12     6   27     15   -80   26   0.45
    N1TL2        18     1   61     36   -99   62   0.53
    N1TL3        14     0   109    62   -100  78   0.50

Results with BCC0 timing (positions are closed on all BCC=0 days):

      Screen         CAGR  SAWR  GSD  LDDD3  MDD   UI  Sharpe
      S5T_BCC0        13     8   15     7    -34   8    0.74
     S5TE_BCC0        13    11   16     7    -39   7    0.71
Nas100Momentum_BCC0   26    13   33     12   -65   20   0.84
      N1T_BCC0        16     6   23     13   -72   28   0.66
     N1TE_BCC0        13     8   22     12   -64   19   0.55
    N1TL2_BCC0        22     3   53     29   -96   52   0.61
    N1TL3_BCC0        22     1   92     48   -100  67   0.59

The difference between with and without timing:

Screen change with BCC0:  CAGR  SAWR  GSD  LDDD3  MDD  UI   Sharpe
          S5T             1.2   2.2   -3     -3   21   -5    0.15
          S5TE            1.3   2.4   -3     -3   20   -4    0.15
     Nas100Momentum       1.3   1.4   -2     -3    7   -2    0.06
          N1T             1.0   1.3   -3     -3    9   -6    0.08
          N1TE            1.2   2.3   -5     -4   16   -8    0.09
          N1TL2           3.8   1.8   -9     -7    3   -10   0.08
          N1TL3           8.0   0.7   -17   -14    0   -11   0.08

All of the metrics showed improvement with BCC0 timing. Some notable improvements were:

N1TL3 CAGR improved from 14 to 22, while GSD dropped from 109 to 92.

S5T MDD improved from -55 to -34. BCC0 helps avoid the most painful S5T downturns.

S5T Sharpe improved from 0.59 to 0.74.

The effects of BCC0 timing on {Nas100Momentum} and N1T were similar. N1T MDD only improved slightly from -81 to -72. There are still some painful N1T downturns with BCC0 timing.


S5T major Peaks (40%) and Troughs (-29%) from 19721214 to 20251128 with and without timing:

S5T Peak   Trough   Total Return  ___  S5T_BCC0 Peak   Trough   Total Return  ___  improvement
19721214  19741003      -44              19721214     19740211      -22                22
19870825  19871204      -33              19870825     19871204      -33                 0
20000324  20021009      -47              20000324     20030331      -30                18
20071009  20090309      -55              20071009     20090309      -14                40
20200219  20200323      -34              20200219     20200323      -34                 0
                                                                              avg      16

BCC timing helped S5T avoid the -55 drawdown in 2008, but did not help in the 2020 downturn. BCC timing worked in 3 out of 5 S5T major drawdowns.


N1T major Peaks (40%) and Troughs (-29%) from 19721214 to 20251128 with and without timing:

N1T Peak   Trough   Total Return  ___  N1T_BCC0 Peak   Trough   Total Return  ___  improvement
19721214  19741008      -41              19721214     19731217      -25                16
19810812  19820809      -32              19800213     19800327      -20                12
19871005  19871026      -40              19871005     19871026      -40                 0
19900716  19901011      -32              19900716     19901011      -32                 0
20000327  20010404      -69              20000327     20020506      -72                -3
20010522  20010921      -42              20010522     20010921      -22                20
20011206  20021007      -51              20011206     20021007      -28                24
20071031  20090309      -54              20071031     20090309      -23                30
20211227  20221228      -36              20211227     20220822      -29                 7
                                                                              avg      12

BCC timing helped N11T avoid the -54 drawdown in 2008, but did not help in the 2000 or 2020 downturns. BCC timing worked in 5 out of 9 N1T major drawdowns.

The average effects of BCC timing on S5T and N1T are similar. About half of the major downturns are avoided, with an average drawdown improvement of around 14. The MDD stat is somewhat misleading, because the 2000 crash affected N1T more than S5T. Results from 19721214 to 20251128:

 Screen   CAGR  GSD   Sharpe  SAWR  LDDD3   UI    TI   MDD
  S5T     11.0   18    0.47   5.9   10.5   12.5  7.4   -55
S5T_BCC0  12.8   15    0.64   8.3    7.0   7.7   11.8  -34
 change   1.8   -2.9   0.17   2.3   -3.5   -4.8  4.4   21
 
  N1T     13.6   25    0.49   6.2   15.1   31.2  9.5   -81
N1T_BCC0  16.3   22    0.65   7.9   11.9   25.4  14.8  -72
 change   2.7   -3.6   0.16   1.7   -3.2   -5.8  5.4    9

Change in Sharpe is about the same. Changes in the risk metrics (SAWR, LDDD3, UI, TI) are about the same. Change in MDD is an outlier due to it being dependent on a single data point. BCC timing has a similar effect on N1T and S5T over a long backtest using risk metrics that depend on multiple data points.


=== gtr1 links ===
Define {Nas100Momentum}
step0: NASDAQ 100 Member
step1: [Mkt Days Since Security Opened] >= 252
step2: [Total Return over 252 days] Top 10
19 mkt day holding period, 0.1% friction

https://gtr1.net/2013/?~S5T:h1::trp%281,1%29ne-999...
https://gtr1.net/2013/?~S5T_BCC0:h1::trp%281,1%29n...
https://gtr1.net/2013/?~N1T:h1::trp%281,1%29ne-999...
https://gtr1.net/2013/?~N1T_BCC0:h1::trp%281,1%29n...

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