No. of Recommendations: 3
to remove non US stocks. To be consistent with BCC, add:
step.a =10!11 after the exchange step.styp.aThat changed the stats only a little bit.
Looks to me that the EMA is too hair-trigger.
Nasdaq (restrict to ordinary stocks (US listed and foreign listed)) 9-day EMA of NH-NL, computed daily, examined weekly, obeyed at the monthly trade.
It worked sort of okay the last 20 years, but was not good the previous 20 years.
Many more sells than the SMA methods and many many whiplashes (where the signal changed for only one months and then changed back the following month).
RS52 5 HTD 12
25th-1985 9-day EMA, NH-NL
2/1/1985 12/1/2025 9/1/2006 12/1/2025 2/1/1985 9/1/2006
CAGR 18.6% CAGR 22.3% CAGR 15.4%
Stdev 29.0% Stdev 22.5% Stdev 33.8%
MaxDD(12) -50% MaxDD(12) -20% MaxDD(12) -50%
Sortino 1.23 Sortino 2.23 Sortino 0.84
Grth $10K $10,587,716 Grth $10K $482,663 Grth $10K $219,360
# Sells 61 # Sells 29 # Sells 32
Mx mo out 18 Mx mo out 18 Mx mo out 8
whiplash 42 whiplash 23 whiplash 19
25th-1985 52 wk SMA for 1 wks -4% below IXIC
2/1/1985 12/1/2025 9/1/2006 12/1/2025 2/1/1985 9/1/2006
CAGR 26.5% CAGR 24.7% CAGR 28.0%
Stdev 32.3% Stdev 27.4% Stdev 36.2%
MaxDD(12) -40% MaxDD(12) -32% MaxDD(12) -40%
Sortino 1.60 Sortino 1.61 Sortino 1.60
Grth $10K $146,130,041 Grth $10K $706,561 Grth $10K $2,068,187
# Sells 20 # Sells 8 # Sells 12
Mx mo out 18 Mx mo out 17 Mx mo out 18
whiplash 7 whiplash 2 whiplash 5
25th-1985 65 wk SMA for 1 wks -4% below GSPC
2/1/1985 12/1/2025 9/1/2006 12/1/2025 2/1/1985 9/1/2006
CAGR 26.6% CAGR 22.7% CAGR 30.1%
Stdev 33.6% Stdev 27.9% Stdev 38.0%
MaxDD(12) -50% MaxDD(12) -43% MaxDD(12) -50%
Sortino 1.48 Sortino 1.43 Sortino 1.53
Grth $10K $151,100,781 Grth $10K $512,211 Grth $10K $2,949,972
# Sells 12 # Sells 9 # Sells 3
Mx mo out 30 Mx mo out 19 Mx mo out 30
whiplash 4 whiplash 4 whiplash 0
25th-1985 Untimed
2/1/1985 12/1/2025 9/1/2006 12/1/2025 2/1/1985 9/1/2006
CAGR 26.7% CAGR 22.2% CAGR 30.8%
Stdev 37.0% Stdev 31.2% Stdev 41.6%
MaxDD(12) -73% MaxDD(12) -52% MaxDD(12) -73%
Sortino 1.30 Sortino 1.21 Sortino 1.38
Grth $10K $155,966,040 Grth $10K $476,424 Grth $10K $3,273,684
# Sells 0 # Sells 0 # Sells 0
Mx mo out 0 Mx mo out 0 Mx mo out 0
whiplash 0 whiplash 0 whiplash 0
