Post #5813 by rayvt on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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No. of Recommendations: 3

Here are the statistics for RS52 using the cycle which has the 25th percentile return.
For a few timing schemes. The no new 99-day high in the last 99 days is #4.
Timing is computed weekly, except daily for the 99-day, and id applied at the monthly trading day.

For 1985-2026, timing had little effect on the return. #4 was worst on risk metrics.
For 2006-2026, #4 had the slightly best return, slightly worse risk metrics except for Sortino Ratio.

For me, the only reason to use #4 was if I believed that the future was going to look more like 2006-2026 instead of 1985-2006.

#1          25th-1985 Untimed
2/1/1985  12/1/2025           9/1/2006  12/1/2025
CAGR      26.7%               CAGR      22.2%
Stdev     37.0%               Stdev     31.2%
MaxDD(12) -73%                MaxDD(12) -52%
Sortino   1.30                Sortino   1.21
Grth $10K $155,966,040        Grth $10K $476,424
# Sells    0                  # Sells    0
Max mo out 0                  Max mo out 0

#2          25th-1985 64 wk SMA for 1 wks -4% below GSPC
2/1/1985  12/1/2025           9/1/2006  12/1/2025
CAGR      26.6%               CAGR      22.7%
Stdev     33.6%               Stdev     27.9%
MaxDD(12) -50%                MaxDD(12) -43%
Sortino   1.48                Sortino   1.43
Grth $10K $151,100,781        Grth $10K $512,211
# Sells    12                 # Sells     9
Max mo out 30                 Max mo out 19

 #3         25th-1985 64 wk SMA for 1 wks -1% below GSPC
2/1/1985  12/1/2025           9/1/2006  12/1/2025
CAGR      27.6%               CAGR      22.3%
Stdev     33.1%               Stdev     27.9%
MaxDD(12) -43%                MaxDD(12) -43%
Sortino   1.61                Sortino   1.41
Grth $10K $209,475,557        Grth $10K $481,191
# Sells    16                 # Sells    10
Max mo out 31                 Max mo out 19

#4          25th-1985 No new 99day high GSPC
2/1/1985  12/1/2025           9/1/2006  12/1/2025
CAGR      26.1%               CAGR      24.2%
Stdev     34.6%               Stdev     29.0%
MaxDD(12) -54%                MaxDD(12) -47%
Sortino   1.41                Sortino   1.45
Grth $10K $131,804,070        Grth $10K $652,635
# Sells    17                 # Sells     7
Max mo out 28                 Max mo out 15

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