No. of Recommendations: 5
There may be a simple, ideal timing rule that maximizes CAGR and gets you less volatility
than an index fund. Doubling indices with higher sharpe and less beta than the S&P with smaller drawdown than the S&P.
19850201-20251128 monthly trading, .1 spread
S&P500 v. strategy v. strategy timed v. nasdaq100 v. timing using 1 rule SPY>SMA325days
cagr 12.5 24.2 25.18 11.46 22.98
gsd 20 35.2 31.77 27.34 28.85
ldd 13 20.1 18.05 17.27 15.75
mdd -59.7 -73.88 -60.18 -80.85 -48.67
ui 10 23.48 17.5 27.39 11.8
shp .57 .77 .84 .44 .81
beta 1.0 1.29 1.00 1.29 .81
ti 9.5 17.9 23.04 8.17 25.7
at .87 7.9 4.15 .68 4.22
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