Said stated: A test for which - see Zee's post - of course one would need "GTR1's S&P 500 Dividend Adjusted", to include dividends; not possible for me as I think to understand to run GTR1 one needs a Sip Pro subscription (which I don't have), correct?

I believe anyone can obtain this data from GTR1.

Regarding the method, I've posted extensively on what I call the "Best Nine Months" research back in 2006 IIRC. In it I found the optimal start date to be October 6th, and then a hold for nine months. This is NOT based on Presidential Cycles per se, but rather, out of all periods of time in a four-year period what are the absolute best nine months, twelve months, etc.

So adjusting to this you end up with the following:

10/1/1926 to       3/7/2024  ^S5T                                                                
Results           ROI        CAGR   GSD    Sharpe  DDD3    BBW   Win %  Drawdown  CAGR Invested  CAGR Cash
PY Worse Periods  1674.30%   3.00%  17.84  0.03    10.87%  0.3   69%    -85.18%   2.81%          3.79%
PY Best Periods   59475.80%  6.78%  6.98   0.46    2.98%   2.44  88%    -40.23%   19.77%         3.98%

As you can see, there is a vast difference between the two - BTW - I had to correct an error in what I previously posted. This is now correct to the best of my ability.

As to the actual periods compared:

Date       Signal         % G/L      Date       Signal         % G/L
6/30/1927  Worse 39 Mths  22.00%     10/6/1926  Best 9 Months  7.95%
6/30/1931  Worse 39 Mths  -38.18%    10/6/1930  Best 9 Months  -25.94%
7/1/1935   Worse 39 Mths  24.64%     10/6/1934  Best 9 Months  27.97%
6/30/1939  Worse 39 Mths  -14.62%    10/6/1938  Best 9 Months  -11.80%
6/30/1943  Worse 39 Mths  17.78%     10/6/1942  Best 9 Months  28.56%
6/30/1947  Worse 39 Mths  30.71%     10/7/1946  Best 9 Months  4.99%
7/2/1951   Worse 39 Mths  49.37%     10/6/1950  Best 9 Months  5.28%
6/30/1955  Worse 39 Mths  18.81%     10/6/1954  Best 9 Months  23.86%
6/30/1959  Worse 39 Mths  -8.94%     10/6/1958  Best 9 Months  20.01%
7/1/1963   Worse 39 Mths  6.88%      10/8/1962  Best 9 Months  19.67%
6/30/1967  Worse 39 Mths  -9.04%     10/6/1966  Best 9 Months  14.76%
6/30/1971  Worse 39 Mths  -31.82%    10/6/1970  Best 9 Months  13.89%
6/30/1975  Worse 39 Mths  0.12%      10/7/1974  Best 9 Months  44.68%
7/2/1979   Worse 39 Mths  13.21%     10/6/1978  Best 9 Months  -5.22%
6/30/1983  Worse 39 Mths  46.04%     10/6/1982  Best 9 Months  29.41%
6/30/1987  Worse 39 Mths  4.35%      10/6/1986  Best 9 Months  35.53%
7/1/1991   Worse 39 Mths  27.62%     10/8/1990  Best 9 Months  17.22%
6/30/1995  Worse 39 Mths  69.95%     10/6/1994  Best 9 Months  20.67%
6/30/1999  Worse 39 Mths  -32.34%    10/6/1998  Best 9 Months  41.69%
6/30/2003  Worse 39 Mths  31.88%     10/7/2002  Best 9 Months  21.05%
7/2/2007   Worse 39 Mths  -18.97%    10/6/2006  Best 9 Months  14.22%
6/30/2011  Worse 39 Mths  36.87%     10/6/2010  Best 9 Months  13.19%
6/30/2015  Worse 39 Mths  50.33%     10/6/2014  Best 9 Months  3.69%
7/1/2019   Worse 39 Mths  12.01%     10/8/2018  Best 9 Months  0.87%
6/30/2023  Worse 39 Mths  12.74%     10/6/2022  Best 9 Months  14.97%
Average                   12.86%                               15.25%
Median                    13.21%                               14.97%
Percent    Positive       72.00%                               88.00%

Keep in mind that the table on the left is invested 39 months out of the four year period, while the one on the right is invested just 9 months and holds cash the remainder of the time. So you cannot just compare the one to the other since the periods are so vastly different!

Mechanical Investing FAQ

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