Post #5440 by rayvt on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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My chatgpt testing showed 9 month lock-back was best.
Also my SPY>325daySMA as timing rule helped on most metrics.
Hold til drop did not help (except if you only bought the #1 stock, in which case holding as long as it was in the top 5 helped).

Well, you gave me something to do on a lazy afternoon. ;-)
Good thing I have a spreadsheet all set up.

Dates 2/1/1985 to 11/28/2025
Top 10, no HTD, no timing

Stats for cycle 0 (not necesssarily the worst cycle)
189 day (9 month) lookback
CAGR      22.5%
Stdev     29.5%
MaxDD(12) -56%
Sortino   1.38

252 day (12 month) lookback
CAGR      24.3%
Stdev     30.6%
MaxDD(12) -63%
Sortino   1.44

------------------
Okay, the lowest cycle. For each.
189 day (9 month) lookback
CAGR      21.8%
Stdev     29.7%
MaxDD(12) -57%
Sortino   1.33

252 day (12 month) lookback
CAGR      23.2%
Stdev     30.7%
MaxDD(12) -69%
Sortino   1.37


====================================================
with TIMING
252 day (12 month) lookback, WITH various SMA lengths of the S&P500
lowest cycle
Note, this timing was done in the spreadsheet of the daily values 
given by GTR1, and not in GTR1 itself.  
The timing is applied at the end of each month, for the upcoming month.

43 week (10 month, 215 days) SMA
CAGR      20.0%
Stdev     23.9%
MaxDD(12) -38%
Sortino   1.61

52 week (12 month, 252 days) SMA
CAGR      22.8%
Stdev     26.1%
MaxDD(12) -33%
Sortino   1.79

65 week (15 month, 325 days) SMA
CAGR      23.3%
Stdev     26.7%
MaxDD(12) -33%
Sortino   1.70

 -- and --

GTT timing (using 43 wk SMA)
CAGR      22.8%
Stdev     28.0%
MaxDD(12) -57%
Sortino   1.50

GTT timing (using 52 wk SMA)
CAGR      23.0%
Stdev     28.1%
MaxDD(12) -57%
Sortino   1.52

GTT timing (using 65 wk SMA)
CAGR      23.5%
Stdev     28.2%
MaxDD(12) -57%
Sortino   1.53

The way GTT timing works is by ignoring the SMA sell signal as long as
the two FRED indexes show the economy is doing okay.
But this might not be optimal for a very high volatility Momentum screen
such as this. A -33% drawdown is not as bad as a -57% drawdown.


==========================================================
About HTD ...
no HTD
CAGR  24.625883     
GSD   37.881401     
AT    3.075992      

HTD12
CAGR  24.519554     
GSD   38.160969     
AT    2.464888      

HTD13
CAGR  24.165035     
GSD   37.885078     
AT    2.258616      

HTD15
CAGR  23.485237     
GSD   37.780560     
AT    1.968801

A small HTD reduces the turnover with little effect on the return.

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