No. of Recommendations: 15
What with the current mentions of timing with the 325 day SMA it seems worthwhile to examine that using the timing spreadsheet I created a while back.
This is the S&P 500 (including dividends) from 1950 to 2024. This is weekly, not daily or monthly.
To avoid whiplash near the SMA crossover point, the sell signal is when the current price drops 1% below the SMA. The buy signal is at or above the SMA.
When OUT, the return is that of the 1 year T-bill.
Two interesting metrics that are not usually shown are the CAGR return when IN and when OUT. A positive return when OUT is money that is left on the table.
GTT is Growth and Trend Timing (do not sell if two FRED economy indicators are positive).
43 weeks ~= 10 months ~= 215 days
65 weeks ~= 15 months ~= 325 days
Buy & hold (no timing)
When IN When OUT
11.4% N/A 11.4% CAGR
-51% MaxDD
2/5/1950 1.05 Sortino
3/4/2024 15% stdev
===============================================
SMA 43 week (~200 days) -1% sell
When IN When OUT
13.3% 6.4% 9.5% CAGR
-24% MaxDD
2/5/1950 1.28 Sortino
3/4/2024 11% stdev
---------------
SMA 65 week (~325 days) -1% sell
When IN When OUT
13.1% 6.3% 9.7% CAGR
-26% MaxDD
2/5/1950 1.28 Sortino
3/4/2024 11% stdev
===============================================
GTT 43 week (~200 days) SMA -1% sell
When IN When OUT
13.9% -1.2% 11.6% CAGR
-26% MaxDD
2/5/1950 1.90 Sortino
3/4/2024 12% stdev
---------------
GTT 65 week (~325 days) SMA -1% sell
When IN When OUT
13.2% 2.6% 10.9% CAGR
-26% MaxDD
2/5/1950 1.52 Sortino
3/4/2024 12% stdev
