I have become particularly skeptical of higher frequency timing signals, though the longer cycle bull/bear detectors have had some discriminating power.


FWIW,

The "99 day rule" post was 2008-09-26
Since then, the return on e-mini S&P futures--
During bullish periods: CAGR +12.00%, 84.9% of the time
The rest of the time: CAGR +0.91%, 15.1% of the time

So it would not be the basis of a profitable long/cash trading system, nor long/short.
But it does identify the broad swathes of time that the risk is pretty low, versus the time that things are iffy--about what it was designed to do.

This signal is based on the notion that it is very rare for a market drop to be both big and lasting if it's a short time after a recent market high.
I consider this a pretty good result, considering it really failed on one thing: the pandemic crash was precisely the [rare] sort of thing it can't handle, so it was bullish for it.
History suggests that the sort of plunge resulting in that sort of bone-headed call happens only about three times per century. Though of course it could happen again at any time.

Jim

Mechanical Investing FAQ

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