Subject: Re: Sharpe=1 CAGR 44% since 08 with timed lev'd E
The screen goes to cash when BCC is zero. Trades every 20 market days.

Create [BCC]: Import [BCC] as signal (screen_number=0, lag_days=2, default_value=-1)
Holding period = 20 mkt days
Close all liquid positions on any market dates where [BCC] == 0

The backtest can be extended to 1926: 22 CAGR, 68 GSD, -95 MDD.

http://gtr1.net/2013/?!!QlpoMT...


Using the gindexes for RSP and QQQ, from 1926 to 2024: 14 CAGR, 21 GSD, -69 MDD.

http://gtr1.net/2013/?!!QlpoMT...