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The week's question
In March 2025, in the thread "Re: OT, out", Umm asked the members: "Do you think it is because America is made up of magical soil that makes businesses based in America magically profitable?" This week it is put to everyone again. The button below opens the small thread re-asking it - read what others have said so far, then give your own answer as an ordinary reply.
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Author: rayvt ✧☼🐝🐝  😊 😞
Number: of 86277 
Subject: Re: Have Bear Catchers worked post-discovery?
Date: 03/17/24 6:21 PM
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mechinv writes on Have Bear Catchers worked post-discovery?

Results for Growth Trend Timing (GTT), 1/4/2009 thru 3/4/2024, weekly
(MaxDD is the maximum 52-week drawdown)

B&H
CAGR 14.0%
Stdev 17%
MaxDD -51%
Sortino 2.69 (MAR: 3%)
# trades: 1
1st Buy: 1/4/2009

GTT, 43 wk SMA
CAGR 10.9%
Stdev 13%
MaxDD -18%
Sortino 1.93
# trades: 27
Successful OUT: 6 (43%)
Failed OUT: 8
1st Buy: 6/8/09

GTT, 43 wk SMA (sell at 2% below SMA)
CAGR 12.2%
Stdev 13%
MaxDD -18%
Sortino 2.77
# trades: 17
Successful OUT: 6 (67%)
Failed OUT: 3
1st Buy: 6/8/09

I'd need the dates in order to compare with the 6 MT drawdown periods.

Eyeball estimate dates, 1/19/20 - 5/31/20
B&H
CAGR -7.4%
MaxDD -32%

GTT
CAGR -13.6%
MaxDD -12%

GTT (-2% SMA)
CAGR -13.6%
MaxDD -12%

GTT appears to greatly improve the MaxDD.

================================================================
The 30 year period 1/1/95 - 3/4/24:
B&H
CAGR 10.6%
MaxDD -51%
Sortino 0.70

GTT
CAGR 11.3%
MaxDD -18%
Sortino 1.80

GTT (-2% SMA)
CAGR 12.0%
MaxDD -18%
Sortino 2.04

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Members reply directly to rayvt here — and replies get answered. Reading is free; so is joining the conversation. Join Shrewd'm »
This community has written 6,227 posts about Mechanical Investing. The article-length ones it recommended most:
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