Post #4539 by RAMc on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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No. of Recommendations: 5

I reran your screen on Portfolio 123. With the same start date I got the same poor results you did.
But then I did a rolling weekly start date with 27 sample periods.

                Ret     Bench  Excess
Average          17.75%  10.73% 7.02%
Up Markets   22  18.95%  13.34% 5.60%
Down Markets  5  12.49%  -0.77% 13.26%

So it appears the paper's conclusion was valid for most start dates.

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