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- Manlobbi
Investment Strategies / Mechanical Investing
No. of Recommendations: 10
While search how to determine a stocks time since a 52 week high I reviewed BCC III. Post 245553 shows BCC III improving CAGR from 7.43% to 10.39% and other metrics were also improved. The date of the run was 20130927 which was nearly 10 years ago.
Running BCC III from 20130927 until 20230310 shows BCC III reducing CAGR from 9.1% to 7.9% with a reduction in SAWR. MDD was about the same.
https://gtr1.net/2013/?s20130927h1::BCIII:gt-1:BCI...Craig
No. of Recommendations: 0
I am not familiar with the scan paramters.
Could you or someone explain in words what was found?
Thanks in advance.
No. of Recommendations: 5
BCC III measure how long since a 99 day new high occurred on the S&P 500. When used alone, if it has been more than 99 days since a 99 day new high, then BCC III is bearish and you are out of the market.
My thoughts on why it hasn't performed as well since 2013 is perhaps because when out of the market, cash has earned no interest. In the 80s, 90s and early 2000s, cash was earning interest. Of course, it could also be that the 99 day high and 99 day back look was too tuned.
Craig
No. of Recommendations: 11
It's not surprising that the CAGR went down over the last 10 years. "BCIII" is the 99-Day rule (I thought we always called the 99-Day Rule BCI, BWDIK). The 99Day is one of the slow (intermediate-term) indicators with significant lag. It's not called "Wounded Bullish Euphoria", it's called "Dying Bullish Euphoria" for a reason and 99 Days was the minimum lookback duration that tested out reasonably well. But it can get hurt by "faster" bear markets and bull recoveries.
Because it's got 4 1/2 months of lag designed in, it can take that long to issue a bearish signal.
2022 definitely hurt its CAGR. It didn't flip bearish until May 24th '22 - after most of the damage had been done in that bear market.
Then, it didn't flip bullish again until Feb '23 - this year, after most of the recovery from the June '22 bottom had happened.
It was not designed to increase CAGR. It's designed to reduce volatility (losses) in longer bear markets. It's a defensive signal - put in the goal line / big boy defensive package.
These are the main reasons why, like the other BCs and intermediate timing signals, it's better used as part of a team, not as an individual all in/all out signal.
FC
No. of Recommendations: 2
Using new high in 99 days and $nahl 13 sma > 0 in combination or other what would be parameters that give 10% in good years and about 10% drawdown in bad years? or what other screening would provide this.
I have spent a lot of time studying Jim's monthly timing systems myself, but am curious as to any of his or others that the goup found works well.
