No. of Recommendations: 8
Okay, I am curious about the focus on BCC versus GTT. Is it just that BCC was published earlier?
The GTT paper was published in January 2016, but the "discovery" date is certainly before then, perhaps by one or two years. Nonetheless, it is instructive to look at how it worked out after publication.
GTT certainly seems to hold up post publication. Maximum drawdown is half that of buy&hold, with only 25% lower CAGR.
A longer backtest of the last 30 years shows GTT with much lower MaxDD and actually higher CAGR.
The raison d'être of a timing scheme is to reduce the drawdowns; avoiding the full brunt of a large decline. "John Serrapere's strategy of capture 75% of the S&P’s upside and [only] 50% of its downside."
GTT looks to do this better than BCC, -18% vs. -34%.
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Post publication of the Growth Trend Timing (GTT) paper
Results for Growth Trend Timing (GTT), 1/3/2016 thru 3/4/2024, weekly
(MaxDD is the maximum 52-week drawdown)
B&H
CAGR 13.8%
Stdev 17%
MaxDD -32%
Sortino 1.87 (MAR: 3%)
# trades: 1
GTT, 43 wk SMA
CAGR 10.5%
Stdev 13%
MaxDD -18%
Sortino 1.62
# trades: 19
Successful OUT: 5 (50%)
Failed OUT: 5
GTT, 43 wk SMA (sell at 2% below SMA)
CAGR 11.7%
Stdev 13%
MaxDD -18%
Sortino 2.29
# trades: 13
Successful OUT: 5 (71%)
Failed OUT: 2
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The 30 year period 1/1/95 - 3/4/24:
B&H
CAGR 10.6%
MaxDD -51%
Sortino 0.70
GTT
CAGR 11.3%
MaxDD -18%
Sortino 1.80
GTT (-2% SMA)
CAGR 12.0%
MaxDD -18%
Sortino 2.04
If I read the GTR1 results correctly, for 19951229 to 20240304
CAGR: 11.789%
MDD: -33.5%
https://gtr1.net/2013/?s19951229e20240304lf-1lp-1h...Does GTR1 have the capability of timing with GTT? I suspect not, since GTR1 predates GTT discovery.
