No. of Recommendations: 6
which timing do you prefer, Ray (gtt?)?
Once I put my mind to it, it was easy to try many different timing schemes. The benefit of doing it all in a spreadsheet, from the GTR1 "daily value" results.
I figured that this high-volatility screen in a specialized market segment would probably not be best suited to my standard timing of GTT on the S&P500.
I tested about 15 different ones.
The best overall was:
52 week SMA of ^IXIC (Nasdaq 100 Index), sell at 4% below the SMA, buy at 0% above the SMA, in between stand pat (no action).
The two periods of this timed screen tested were 1985-2025 (since NASDAQ 100 inception) and 2006-2025 (since we retired.)
The SMA periods tested were 43 , 52, and 64 weeks.
The indexes tested were ^IXIC and ^GSPC (S&P500).
The sell signal % tested were 0%, -1%, and -4% below SMA.
The timing signal obeyed was the most recent weekly signal at the trading day.
I was looking for the best combination of MaxDD and Sortino Ratio and low whiplash count. Regardless of any change in CAGR.
Some were best in one date period, others were best in the other date period.
The one I settled on was the best combination in both date periods.
Look, for the entire 1985-2025 the (untimed) growth of $10,000 was $46,000,000. Of course, with huge volatility & huge and long drawdown.
For comparison, VFINX (S&P 500) grew $10,000 to $766,000.
The growth of all the tested timings ranged from $17,000,000 to $50,000,000.
Heck, nobody is going to turn down growing $10K to even $17 million.
No need to mess around with declining volumes or exiting mid-month or any other tweaks.
It doesn't need to be the best, it just needs to be good enough.
You wouldn't even need to mess with timing except for the -67% drawdown that took 10 years to recover.
