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The week's question
In March 2025, in the thread "Re: OT, out", Umm asked the members: "Do you think it is because America is made up of magical soil that makes businesses based in America magically profitable?" This week it is put to everyone again. The button below opens the small thread re-asking it - read what others have said so far, then give your own answer as an ordinary reply.
Answer this questionContinue to Shrewd'mThis note won't appear again
Investment Strategies / Mechanical Investing
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Author: rayvt ✧☼🐝🐝  😊 😞
Number: of 6243 
Subject: Re: BCC timing with the Nas100Momentum screen
Date: 07/08/26 11:24 AM
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my work using gcpt showed the 3 signals used by people here, alone and in combination are inferior to simple SPY>SMA325

These Nasdaq momentum screens may well be a special case, but in the normal case it isn't.
(Probably is a special case. I get roughly the same overall results with 52 weeks as with 65 weeks.)

Dusting out a timing investigation spreadsheet I did a few years ago, using the S&P 500, it is certainly not the case. See below.

Adding in the GTT rule to the SMA timing greatly improved things. Try getting gcpt to add that and see what it says.

(Duh, I already have everything needed to incorporate GTT into my timing spreadsheet. Why didn't I think about this sooner?)

^GSPC (SPX, S&P500 index) weekly, 2/5/1950 to 3/10/2024.
All data is weekly.
Dividends included.
Weekly SMA. Sell when price below SMA. Buy at or above SMA.
Note: Setting the sell to -2% below the SMA generally reduced the number of trades and improved the CAGR.
OUT period return is 1 yr T-Bill.
Sortino MAR: 0%
slippage: 0.10% (per trade)
MaxDD is computed on the previous 52 weeks.
GTT disallows a sell if the 2 FRED indexes are both up YOY. RRSFS & INDPRO.

B&H
11.4% CAGR
10.6% Slope
-51% MaxDD
1.05 Sortino
15% stdev
Trades-> 1
In % -> 100%

65 week SMA (65 weeks = 325 market days)
Only SMA SMA w/GTT
9.0% CAGR 10.6% CAGR
8.8% Slope 10.4% Slope
-26% MaxDD -26% MaxDD
2.37 Sortino 2.83 Sortino
11% stdev 12% stdev
Trades-> 165 Trades-> 67
In % -> 73% In % -> 83%

52 week SMA (12 months)
Only SMA SMA w/GTT
9.7% CAGR 11.5% CAGR
9.4% Slope 11.3% Slope
-19% MaxDD -26% MaxDD
3.00 Sortino 3.60 Sortino
11% stdev 12% stdev
Trades-> 201 Trades-> 73
In % -> 72% In % -> 84%

43 week SMA (10 months)
Only SMA SMA w/GTT
9.2% CAGR 11.5% CAGR
9.0% Slope 11.3% Slope
-28% MaxDD -26% MaxDD
2.38 Sortino 3.53 Sortino
11% stdev 12% stdev
Trades-> 225 Trades-> 83
In % -> 70% In % -> 84%
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This community has written 6,227 posts about Mechanical Investing. The article-length ones it recommended most:
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