No. of Recommendations: 11
For timings, an AI suggested examining a timing method in one period and checking to see how it did in the other period. This will tell us if the timing rules were fine tuned for one period but didn't work in another period.
Compare four timing schemes on two non-overlapping periods.
Applied to PHL-52 5HTD12 backtest, using 25th percentile CAGR cycle.
The purpose of timing is to reduce drawdowns and volatility.
That is: reduce Maximum Drawdown, increase Sortino Ratio, reduce Standard Deviation.
The first two are direct measures of risk.
The third is just the consistency of the annual returns.
As a point of information, the CAGR returns are also listed.
Two questions to be examined:
1) Is any timing scheme clearly the best?
2) Is the best timing scheme in one period also the best in the other period?
Timing *** Best MaxDD *** ** Best Sortino ** *** Best Stdev *** *** Best CAGR ***
scheme 2006-2026 1985-2006 2006-2026 1985-2006 2006-2026 1985-2006 2006-2026 1985-2006
A -32% -44% 2.01 1.71 25.2% 34.4% 26.4% 31.0%
B -32% -46% 2.07 1.77 25.4% 33.6% 27.3% 29.8%
C -32% -43% 1.88 1.87 25.4% 33.9% 24.9% 32.1%
D -32% -46% 2.15 1.66 25.3% 32.6% 28.2% 27.6%
---- ---- ---- ---- ----- ----- ----- -----
Best --> ABCD C D C ABCD D D C
Untimed -55% -54% 1.55 1.66 28.0% 37.4% 23.5% 33.3%
Conclusion:
There is very little difference between the four timing schemes.
All reduced the Maximum Drawdown by the same amount. This is the most important thing.
There is not a substantial difference in the best timing scheme between the two time periods.
Any of the timing schemes was better than no timing.
Personal opinion: The CAGRs of 25+% are too high to be believable.
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The timing was computed weekly and applied at the next monthly trade.
A 65 wk SMA for 1 wks -4% below GSPC
9/1/2006 12/1/2025 2/1/1985 9/1/2006
CAGR 26.40% CAGR 31.00%
Stdev 25.20% Stdev 34.40%
MaxDD(12) -32% MaxDD(12) -44%
Sortino 2.01 Sortino 1.71
Grth $10K $916,286 Grth $10K $3,396,730
# Sells 9 # Sells 3
Mx mo out 19 Mx mo out 30
whiplash 4 whiplash 0
B 65 wk SMA for 1 wks -4% below IXIC
9/1/2006 12/1/2025 2/1/1985 9/1/2006
CAGR 27.30% CAGR 29.80%
Stdev 25.40% Stdev 33.60%
MaxDD(12) -32% MaxDD(12) -46%
Sortino 2.07 Sortino 1.77
Grth $10K $1,050,275 Grth $10K $2,807,531
# Sells 9 # Sells 9
Mx mo out 13 Mx mo out 31
whiplash 5 whiplash 4
C 52 wk SMA for 1 wks -4% below GSPC
9/1/2006 12/1/2025 2/1/1985 9/1/2006
CAGR 24.90% CAGR 32.10%
Stdev 25.40% Stdev 33.90%
MaxDD(12) -32% MaxDD(12) -43%
Sortino 1.88 Sortino 1.87
Grth $10K $722,668 Grth $10K $4,070,047
# Sells 9 # Sells 4
Mx mo out 18 Mx mo out 17
whiplash 2 whiplash 1
D 52 wk SMA for 1 wks -4% below IXIC
9/1/2006 12/1/2025 2/1/1985 9/1/2006
CAGR 28.20% CAGR 27.60%
Stdev 25.30% Stdev 32.60%
MaxDD(12) -32% MaxDD(12) -46%
Sortino 2.15 Sortino 1.66
Grth $10K $1,195,487 Grth $10K $1,933,945
# Sells 8 # Sells 12
Mx mo out 17 Mx mo out 18
whiplash 2 whiplash 5
E Untimed
9/1/2006 12/1/2025 2/1/1985 9/1/2006
CAGR 23.5% CAGR 33.3%
Stdev 28.0% Stdev 37.4%
MaxDD(12) -55% MaxDD(12) -54%
Sortino 1.55 Sortino 1.66
Grth $10K $579,172 Grth $10K $4,966,446
# Sells 0 # Sells 0
Mx mo out 0 Mx mo out 0
whiplash 0 whiplash 0
