Post #4862 by rayvt on the Mechanical Investing board

Investment Strategies / Mechanical Investing

Unthreaded | Threaded | Whole Thread (40)

Post New | Post Reply | Report Post | Recommend It!

No. of Recommendations: 3

Turns out that all three outperform during different market conditions. Putting them together in a backtest doesn’t increase the return so much as it tends to smooth the ride.

As for timing, the ONLY market condition to care about is bear markets. Which are long runs of more than 20% down. As opposed to corrections which are short sharp drops that are quickly recovered. Unpleasant as it is, we have to take many 20% drops so that we avoid the grinding 40% drops.

And apparently it is bear market signals when and only when the economy is not doing well, as signalled by a few economic indicators.

Been doing this for several years now and so far, it seems to be working.

Yes. But the problem is that we've been in a bull market since 2009. The best timing strategy since then is buy and hold. All timing schemes had worse return.

S&P500 6/2009 - 3/2024:
B&H CAGR 14.3% MaxDD -32% Sortino 2.48
GTT CAGR 12.5% MaxDD -18% Sortino 2.63
SMA CAGR 8.1 MaxDD -22% Sortino 0.45 (43 week SMA)

Post New | Post Reply | Report Post | Recommend It!

Print the post

Unthreaded | Threaded | Whole Thread (40)

Prev | Next

Announcements

Mechanical Investing FAQ

Contact Shrewd'm
Contact the developer of these message boards.

A community forum supporting civilized, and highly helpful, self-educating investors that come together for Shrewdness and merry spirits. These message boards closely follow the look and feel of the old message boards at boards.fool.com prior to the boards redirected to discussion.fool.com. Shrewd'm is not affiliated with the comprehensive and excellent investment website, The Motley Fool (TMF), in any way. The Shrewd commmunity here has owed, and continues to owe, gratitude to The Motley Fool for nurturing a culture of jovial irreverence towards Wall St, and that tradition will continue here.