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I'm not a timer so haven't saved examples; can some one post a link to a screen where you are out when the S&P is below its MA200 that I can then add usual step criteria to in gtr-speak and see what effects it has?

There are a few ways to do this, but the "Close all liquid positions" works well:

->-> Using the standard BCC:
SP500EW_sell_if_SMA_Bearish
"Close all liquid positions and hold cash on any market dates where BCC = 0!2!4!6"
https://gtr1.net/2013/?!!QlpoMTFBWSZTWb5bJ6MAAu3fg...


->-> Pulling out the SMA signal:
SP500EW_sell_if_SMA_Bearish_simple
"Close all liquid positions and hold cash on any market dates where SMADiff < 0"
https://gtr1.net/2013/?~SP500EW_sell_if_SMA_Bearis...


->-> Using S5T instead of GSPC:
SP500EW_sell_if_SMA_Bearish_simple_updated
"Close all liquid positions and hold cash on any market dates where SMAB < 0"
[SMAB]: [[200-day SMA lag 0] - [200-day SMA lag 10]]
https://gtr1.net/2013/?~SP500EW_sell_if_SMA_Bearis...


->-> SMAB uses the SMA slope change. To check if the S&P is below its MA200:
SP500EW_sell_if_SMAC
"Close all liquid positions and hold cash on any market dates where SMAC < 0"
[SMAC]: [[1-day SMA lag 0] - [200-day SMA lag 0]]
https://gtr1.net/2013/?~SP500EW_sell_if_SMAC:h63::...

SMAC backtests better than the SMADiff used in BCC. Maybe BCC should be updated to use SMAC?

I'm GTR1 inept. Can someone post a simple S&P500 screen so I can compare that SAWR to the SMA200 SAWR?

Thank you.

Tails

I think it was the second example in the original post.
This is using timing, SMA Diff < 0 https://gtr1.net/2013/?~SP500EW_sell_if_SMA_Bearis...
This is without timing https://gtr1.net/2013/?~SP500EW_sell_if_SMA_Bearis...

Looks like SAWR is worse with timing, although maximum drawdown is better.

Mark

from 19570301 to 20240419

                  Screen                    CAGR  SAWR  GSD  MDD  Sharpe  AT
           SP500EW_sell_if_SMAC              13     8   13   -23   0.69   3
        SP500EW_sell_if_All_Bearish          14    10   16   -39   0.68   1
SP500EW_sell_if_SMA_Bearish_simple_updated   11     7   14   -35   0.53   1
             SP500EqualWeight                12     8   19   -60   0.50   0
        SP500EW_sell_if_SMA_Bearish          10     7   14   -35   0.47   1
    SP500EW_sell_if_SMA_Bearish_simple       10     7   14   -35   0.47   1
            SP500MktCapWeight                11     6   17   -54   0.46   0

https://gtr1.net/2013/?!!QlpoMTFBWSZTWb5bJ6MAAu3fg...
https://gtr1.net/2013/?~SP500EW_sell_if_SMA_Bearis...
https://gtr1.net/2013/?~SP500EW_sell_if_SMA_Bearis...
https://gtr1.net/2013/?~SP500EW_sell_if_SMAC:h63::...
https://gtr1.net/2013/?~SP500EqualWeight:h63::sp50...
https://gtr1.net/2013/?~SP500MktCapWeight:h63::sp5...
https://gtr1.net/2013/?~SP500EW_sell_if_All_Bearis...

lizgdal, any particular reason you picked 19570301 as a start date?

Tails

The backtest could be extended to 1926 using some other market benchmark. The market and the economy have changed since the 1930s and 1940s, but maybe people are the same in some ways.

For example, using pref(sp500.a,sp90.a) = 1 from 19260104 to 20240423

Screen   CAGR  SAWR  GSD  MDD  Sharpe
LC_SMAC   13     8   16   -57   0.67
  LC      11     6   25   -88   0.44

https://gtr1.net/2013/?~LC_SMAC:h63::pref%28sp500....
https://gtr1.net/2013/?~LC:h63::pref%28sp500.a,sp9...


"The S&P 500 was introduced in 1957 as a stock market index to track the value of 500 corporations that have their stocks listed on the New York Stock Exchange (NYSE) and the Nasdaq."
https://www.investopedia.com/ask/answers/041015/wh...

"Use ^S5T (a.k.a. "gSPY" in other posts) back to 19251231. "^S5T" is my symbol for the market capitalization-weighted total return portfolio whose constituents are those of the actual S&P 500 back to index inception in 1957, and those of its predecessor, the S&P 90, before that back to 19251231."
http://www.datahelper.com/mi/search.phtml?nofool=y...

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