The more I think about it, the more I think I'm pretty happy with downside deviation as the key metric to watch.

Your astute and elaborate method is greatly appreciated, as is your thorough explanation.

For me it's much simpler. I've been doing MI for about 25 years and I have the battle scars to show for it. In hindsight, none of the drawdowns, bear markets, or whatever, matter. They are all forgotten squiggles in the past. In my mind drawdowns are not risks if they don't lead to permanent loss. If I had to do it all over again, there would be two simple choices, the method I've used and evolved over time, or setting it all in SPY and forgetting it (or some other index ETF, your mileage may vary). And the only measure of success is whether I'm richer today with one method or the other. Market timing has turned out to be a frustrating and distracting effort. There were two or three notable market downturns during the period. I tried to time two of them, in 2008-2009 and in 2020. Both times I got out of the market with reasonable timing, and ended up getting back in way-way too late. Overall, those were badly losing experiences. The bottom line for me is, do I have a better than 50-50 expectation that I can beat SPY by using MI screens? As long as I think I do, and have fun doing it, I'll keep doing it. Nothing else matters.

Elan