No. of Recommendations: 2
Has anyone looked at using the 99-day method? Use the momentum method as along as the last change in the 99-day channel was up.
I haven't.
First, it's a lot of extra data to look at 99 daily prices to detect a 99 day high, and then counting those to see if one occurred in the last 99 days.
Then you've got the problem of aligning that with the once-a-month trade date.
Mungofitch found that ... increased the CAGR by a couple of percentage points.
We're already looking at beating the S&P500 by 15 points, with or without timing.
These screens have such high volatility that it's virtually impossible to reduce the volatility down to anywhere even near the untimed volatility of SPY.
With timing we are getting that down to only about TWICE that of the S&P500.
Unlikely that the 99-day method would do much better.
