No. of Recommendations: 3
There has been a lot of discussion for the source on the new highs and new lows for the calculation of BCC. The "standard" is all operating, US based stocks on the Nasdaq exchange. Using SIPro I can get close to this standard, but I did not have a way to backtest it as the vale I use from SIPro does not seem to be available in GTR1.
As an alternative, I used the components of the NAS100 with the exception that a company is limited to one stock, e,g, GOOG/GOOGL using:
nas100.a = 1
rank(class.a,permco.a,step1) = 1
The NAS100 NH and NL are easy to calculate which takes away the guess work of how to match BCC.
Robbie's last version of BCII to my knowledge was to take the 9 day weighted average percent of new highs minus the 9 day weighted percent of new lows. if BCII>0.4, BCCII=1
I used the components of NAS100 and if the 9 day weighted average of new highs-the 9 day weighted average of new lows is greater than 25 the BCIINAS100=1 I will show a table of the various results for changing the greater than parameter.
For ^N1T, the results show:
1 Timing is better than not timing
2.CAGR is essently the same for BCC and BCCNAS100
3.BCCNAS100 has better SAWR (7.8% vs 6.0) and MDD (-56 vs -72)
For one of my screens that checked, BCCNAS100 showed a slightly lower CAGR.
All results are from GTR1 from 19851231 to 20251128 using ^N1T which is a proxy for QQQ
^N1T no timing (1)
Avg
CAGR: 14.727665
TR: 23946.03711
Log2TR: 7.909656
SAWR(20; 0.95): 4.70759
GSD(20): 26.477285
DIGSD(20; 0%): 29.774614
LDD(20; 0%): 16.320042
LDDD3: 15.888521
MDD: -81.059181
UI(20): 34.776054
Sharpe(20): 0.578212
Beta(20): 1.251661
TI(20): 10.735571
AT: 0
^N1T with BCC>0 (standard BCC calculation)(2)
Avg
CAGR: 15.738682
TR: 34026.80859
Log2TR: 8.414762
SAWR(20; 0.95): 6.040127
GSD(20): 23.013182
DIGSD(20; 0%): 25.508289
LDD(20; 0%): 13.839304
LDDD3: 12.776303
MDD: -72.316948
UI(20): 28.878813
Sharpe(20): 0.666891
Beta(20): 0.946963
TI(20): 14.490025
AT: 0.551258
Count 0.92
^N1T with BCCNAS100>0 and NH weighted-NL weighted>25 (3)
Avg
CAGR: 15.696405
TR: 33532.89063
Log2TR: 8.393729
SAWR(20; 0.95): 7.856045
GSD(20): 22.273621
DIGSD(20; 0%): 24.377275
LDD(20; 0%): 13.208565
LDDD3: 10.604696
MDD: -56.392567
UI(20): 19.165855
Sharpe(20): 0.677333
Beta(20): 0.899249
TI(20): 15.085139
AT: 0.952173
Count 0.9
^N1T BCIINAS100 Various cutoffs
(NH-NL)> CAGR SAWR MDD
-20 15.6 6.9 -66
-15 15.7 7.4 -62
-10 15.7 7.8 -59
-5 15.4 7.1 -62
0 15.3 6.6 -65
5 15.4 6.7 -65
10 15.7 7.4 -60
15 15.2 6.8 -62
20 15.4 7.4 -58
25 15.7 7.9 -56
30 15.5 7.4 -59
URLs
(1)
http://gtr1.net/2013/?s19851231h1f0.10000::BCC:gt-...(2)
http://gtr1.net/2013/?s19851231h1f0.10000::BCC:gt0...(3)
http://gtr1.net/2013/?s19851231h1f0.10000::BCCNAS1...Aussi
