No. of Recommendations: 5
For GTT has the buy signal usually been initiated by the index going above the moving average or by the timing signal being turned off by the growth factors going positive?
The first.
This was one thing I examined in my spreadsheet.
Normal GTT:
When IN When OUT Row #s
13.9% -1.2% 11.6% CAGR
-26% MaxDD
1.90 Sortino
12% stdev
Trades-> 67 9 <-Whipsaws 15 <--Success
In % -> 84% 18 <-- Fail
45% pct
-------------------
Both BUY and SELL signals are gated by the FRED indicators:
12.8% 1.7% 11.2% CAGR
-26% MaxDD
1.50 Sortino
13% stdev
Trades-> 83 9 <-Whipsaws 15 <--Success
In % -> 87% 26 <-- Fail
37% pct
Success is the number of OUT periods where you ducked a loss.
Fail is the number of OUT periods where you missed out on a gain.
The SMA-only non-GTT timing this was 23 success and 60 fail. Only 28% of the out periods was a success.
The way GTT works is that you STAY INVESTED unless the FRED indicators signal a possible recession. I call this -- the two FRED indicators being positive -- "disconfirming a recession". Note that this is not saying anything about a recession, just "recession is unlikely right now."
As you can see from the data, simple SMA timing has a positive return when you are out of the market. The optimal would be the market showing a net loss in the periods where you are out. That way you are ducking a loss rather than ducking a (small) return.
The logic is:
* When the market is going up, you want to jump on. Period.
* If the market is going down, it might be just volatility.
* If it is just volatility, you want to stay in.
* Otherwise, if the market is down *AND* there is a potential recession, that's when you want to be out.
