Post #2950 by lizgdal on the Mechanical Investing board

Investment Strategies / Mechanical Investing ❤

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The screen goes to cash when BCC is zero. Trades every 20 market days.

Create [BCC]: Import [BCC] as signal (screen_number=0, lag_days=2, default_value=-1)
Holding period = 20 mkt days
Close all liquid positions on any market dates where [BCC] == 0

The backtest can be extended to 1926: 22 CAGR, 68 GSD, -95 MDD.

http://gtr1.net/2013/?!!QlpoMTFBWSZTWcsZo6UAAbdfgE...

Using the gindexes for RSP and QQQ, from 1926 to 2024: 14 CAGR, 21 GSD, -69 MDD.

http://gtr1.net/2013/?!!QlpoMTFBWSZTWRHgJ38AAbXfgE...

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