No. of Recommendations: 6
I have been looking at finding a screen that is a fairly steady screen but switches to something like QLD when a major bottom detector fires or platykurtic's 90/86.
Anyway using GTR1 with NAS100 as a universe and screening on low vol(1,253) I get CAGR 14%, SAWR of 10% and MaxDD -33% since 1985. All without timing. The CAGR is slightly less than ^N1T, but a much smoother ride. About 1% less CAGR than ^N1T with timing, but again with a much smoother ride,
https://gtr1.net/2013/?s19850201h1::nas100.a:et1:r... Thoughts on the concept and screen would be appreciated.
Also, does anyone know how vol(1,253) is calculated in GTR1?
Aussi
