No. of Recommendations: 6
What I was wondering is if you tested the theoretically possible case that after a sell signal (when you are out of the market) you already buy if GTT turns positive while the market is still skeptical, i.e. stays below the moving average. Probably a rare event...
Interesting supposition.
Seems unlikely if "Prices don’t change when fundamentals change. Prices change when expectations and perceptions change" is true.
Goes against the rationale of GTT also.
Which is "normal volatility sometimes tells you to exit when you should actually stay in".
It inverts some of that to be "get back IN early, even though the market is still in the crapper."
After thinking about it overnight I was able to tweak my backtest spreadsheet to examine that. After a couple of false starts. ;-(
From 1/1/1950 to 3/14/2024, weekly, 3873 weeks, there were 14 occurrances; IN for 153 more weeks.
Many more trades, 85 vs. 67
Lower CAGR 11.3% vs 11.6%
From 1/2/2000, 7.8% vs. 8.5%