Subject: Re: Nas NHNL signal
Using GTR1 data from 1926 to 2022, 60% of 1-month returns were positive following NHNL 0.
SR1m SR1m SR1m SR3m SR3m
NHNL Count positive Average StdDev Average StdDev
0 6339 60% 0.7% 7.4% 2.7% 13.2%
1 17707 64% 1.0% 4.6% 2.9% 8.2%
total 24046 63% 0.9% 5.5% 2.9% 9.8%
SR1m is S&P500 subsequent return 1 month.
Is 1-month return a good market timing signal. Doubtful, but this can be tested by adding a 4th signal to BCC:
Mo: trp(1,21)
[moBCC]: [1*[[SMADiff] > 0 ? 1 : 0] + 2*[[NHNLDiff] > -0.4 ? 1 : 0] + 4*[DBE] + 8*[[Mo] > 0 ? 1 : 0]]
Close positions:
moBCC = 0!1!4!5!8!9!12!13 ignores Mo
moBCC = 0!1!4!5 follows Mo
moBCC = 8!9!12!13 follows the opposite of Mo
Adding this 4th signal results in lower CAGR and higher turnover.
Screen CAGR SAWR GSD MDD Sharpe AT
SP500MktCapWeight 10.3 6.3 17 -54 0.44 0.2
SP500MktCapWeight_BCC0 11.9 8.3 14 -34 0.61 0.9
SP500MktCapWeight_NHNL0 11.7 7.5 10 -22 0.74 2.8
SP500MktCapWeight_NHNL0_Ignore_moBCC 11.7 7.5 10 -22 0.74 2.8
SP500MktCapWeight_NHNL0_Not_moBCC 11.1 7.1 16 -44 0.51 4.2
SP500MktCapWeight_NHNL0_moBCC 10.9 5.8 12 -36 0.60 4.5 uses signal GSPC trp(1,21)>0
SP500MktCapWeight_NHNL0_mo3BCC 11.3 6.9 11 -29 0.67 4.0 uses signal GSPC trp(1,21)>3
https://gtr1.net/2013/?~SP500M...