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Investment Strategies / Mechanical Investing
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Author: RAMc   😊 😞
Number: of 3957 
Subject: Re: Have Bear Catchers worked post-discovery?
Date: 03/31/2024 10:27 AM
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I don’t think that anyone can definitively say how BCC will work in the future!
As far as I’m aware Zee posted the first complete bear catchers combined signal with all three indicators
on 3/6/2009 in a post Bear Catchers Compared.
http://www.datahelper.com/mi/search.phtml?nofool=y...
Bear Catchers Combined is fundamentally unchanged except for minor tweaks to improve the noise level
and effectiveness of each signal from that point.

SPY with BCC compared with SPY alone and VWELX a 60/40 equivalent post discovery from 20090306.

BCC_SPY SPY VWELX
CAGR: 14.1 16.6 11.1
TR: 622.9 904.9
Log2TR: 2.9 3.3
SAWR(20; 0.95): 11.4 13.0
GSD(20): 15.3 17.2 10.2
DIGSD(20; 0%): 18.5 20.1
LDD(20; 0%): 10.0 10.7
LDDD3: 6.1 5.8
MDD: -33.5 -33.7 -20.2
UI(20): 6.0 5.7
Sharpe(20): 0.9 1.0 0.9
Beta(20): 0.8 1.0
TI(20): 16.8 15.7
AT: 0.9 0.0 0.0

So far hasn’t been an advantage but that is understandable in that the only significant bear like event
was the ultra fast covid event which in actuality was so short that it wouldn’t have significantly affected
most of us. The proplem with market timing statistics is that the events are so few and so different
throughout history that is almost impossible to actually apply any statistical significance to any method.

My not so confident method: I look at the BCC signal, market valuation, three different signals on
Allocate Smartly based on Unemployment, Risk Parity and some so called canary signals and usually go
with a riskier approach than an advisor would suggest. So far over the last 30+ investing years I’ve come
out with slightly less drawdowns and slightly better returns than the overall market but who knows
what’s coming.
RAM

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