Post #2943 by musselmant on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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http://gtr1.net/2013/?f0.10000::gprc%281%29gt0:tr%...

I haven't used ETFs, but for a laugh I tested a simple timing strategy trading monthly between two, representing ETFs that try to match 3x QQQ and 3X SPY, adding a market timing rule to stay out of the market someone here came up with a long time ago.
Trade monthly based which of the 2 has the best 120 day return but go to cash with timing rule.

CAGR 44.1% since 20081105
sharpe=1 beat the Nasdaq100's .87 and the S&P500's .75
beta=2.3 compared to the Nasdaq100's 1 and the S&P500's 1.1
mdd -69.9% much worse than the Nasdaq100's -31% in that period, and the S&P's -39%
Ulcer 18.4

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