Hi, Shrewd!        Login  
Shrewd'm.com 
A merry & shrewd investing community
Best Of MIBest OfAll BoardsThe Shrewd’m WeeklyLearn to InvestHow to Become Shrewd
Search
Shrewd'm.com Merry shrewd investors
Search
Best Of MIBest OfAll BoardsThe Shrewd’m WeeklyLearn to InvestHow to Become Shrewd


The week's question
In December 2024, in the thread "Re: BRK: Why Not XOM?", BreckHutHigh asked the members: "What about the long road trips with kids?" This week it is put to everyone again. The button below opens the small thread re-asking it - read what others have said so far, then give your own answer as an ordinary reply.
Answer this questionContinue to Shrewd'mThis note won't appear again
Investment Strategies / Mechanical Investing
Unthreaded | Threaded | Whole Thread (40) |
Author: lizgdal   😊 😞
Number: of 6131 
Subject: Re: My new Program
Date: 01/22/26 10:30 PM
Post New | Post Reply | Report Post | Recommend It!
No. of Recommendations: 5
What results do you get post 2013?

Since 2013, BCC=0 timing was a wash, with not much change in the metrics.

  Screen     CAGR  SAWR  GSD   LDDD3  MDD    UI   Sharpe    From       To
chg_average 1.0 1.3 -2.6 -2.2 11.8 -2.7 0.10 19850201 20251128
chg_average 0.6 0.4 -1.3 -0.7 1.2 -1.5 0.03 20130913 20251128


I attribute this to the absence of a major bear market. BCC timing will be most effective during major bear markets like 2008, 2002, and 1974. But these infrequent events make backtesting difficult. Bear markets since 1950 (gtr1 cycle returns using 25% Peaks and -20% Troughs):

endDate   Drop
20090309 -55
20021009 -47
19741003 -45
20200323 -34
19871204 -33
19700526 -33
19620626 -27
20221012 -24
19661007 -21
19571022 -20


Results from 20130913 to 20251128:

        Screen          CAGR  SAWR  GSD   LDDD3   MDD    UI   Sharpe
SP500MktCapWeight 14.2 11.8 16.5 6.2 -34 5.8 0.85
SP500EqualWeight 11.3 9.4 18.3 6.7 -39 6.0 0.64
SP1500EqualWeight 10.1 8.1 21.9 8.7 -42 7.8 0.51
Gentle_Screamers 0.1 -1.3 27.4 18.2 -60 31.5 0.05
VG_Horse 9.8 6.7 30.5 13.4 -49 18.7 0.41
Nas100Momentum 23.1 11.1 38.3 15.9 -58 23.2 0.75
average 11.4 7.6 25.5 11.5 -47.0 15.5 0.53

Screen CAGR SAWR GSD LDDD3 MDD UI Sharpe
SP500MktCapWeight_BCC0 14.0 11.6 15.3 5.8 -34 5.6 0.89
SP500EqualWeight_BCC0 10.5 8.7 17.0 6.9 -39 6.2 0.62
SP1500EqualWeight_BCC0 9.2 7.4 20.5 8.9 -42 8.1 0.49
Gentle_Screamers_BCC0 2.1 0.7 26.0 16.3 -57 26.7 0.12
VG_Horse_BCC0 11.8 8.0 29.2 12.2 -47 15.8 0.49
Nas100Momentum_BCC0 24.6 11.9 37.1 14.9 -55 21.8 0.80
average_BCC0 12.0 8.1 24.2 10.8 -45.8 14.0 0.57

Screen CAGR SAWR GSD LDDD3 MDD UI Sharpe
chg_SP500MktCapWeight -0.2 -0.2 -1.2 -0.3 0.0 -0.2 0.04
chg_SP500EqualWeight -0.8 -0.7 -1.3 0.1 0.0 0.2 -0.01
chg_SP1500EqualWeight -0.9 -0.7 -1.4 0.1 0.0 0.3 -0.02
chg_Gentle_Screamers 1.9 2.0 -1.4 -2.0 3.0 -4.7 0.08
chg_VG_Horse 2.0 1.3 -1.3 -1.2 1.5 -2.9 0.08
chg_Nas100Momentum 1.4 0.8 -1.2 -1.0 2.7 -1.5 0.05
chg_average 0.6 0.4 -1.3 -0.7 1.2 -1.5 0.03


VG_Horse discovery was 5-May-2013.
Nas100Momentum discovery was either 30-Oct-2019 or 7-Nov-2021.

Author: rgearyiii
Subject: The GTR1 Hacktester
Date: 10/30/2019
"Nas100Momentum, as defined in the sample data, refers to a simple screen that buys the top 5 NASDAQ 100 stocks by one-year total return and holds for 252 market days."
https://yorickm.com/Message.php?pid=34330952

Author: borisnand
Subject: Re: The GTR1 Hacktester
Date: 11/7/2021
"Buy 5 Nasdaq-100 stocks with the highest 1-year total return. Monthly trading improves results significantly in a backtest from 1985 to 2021."
https://yorickm.com/Message.php?pid=34973261

SPY-COMP on AllocateSmartly, Published by Paul on April 25, 2020
"To know when to switch between them, SPY-COMP monitors 6 different economic indicators. When no indicators are signaling recession, the strategy remains long SPY, regardless of what price is telling us. If any one of those indicators is signaling a potential recession then it defers to trend-following to confirm, either going long SPY if the trend in equities is up, or IEF if the trend is down."
investingforaliving.us - Spy comp on allocatesmartly
allocatesmartly.com - Paul novells flagship strategy spy comp
Post New | Post Reply | Report Post | Recommend It!
Print the post
Members reply directly to lizgdal here — and replies get answered. Reading is free; so is joining the conversation. Join Shrewd'm »
This community has written 6,115 posts about Mechanical Investing. The article-length ones it recommended most:
Dividend investing · 52 recs · 2025
Non-Mag7 screen · 34 recs · 2025
OT - Div yields and returns · 32 recs · 2024
Using AI to generate backtesting programs · 30 recs · 2025
Rankings for 19Dec2022 · 29 recs · 2022
Unthreaded | Threaded | Whole Thread (40) |


Announcements
Mechanical Investing FAQ
Contact Shrewd'm
Contact the developer of these message boards.

Best Of MI | Best Of | Favourites & Replies | All Boards | Followed Shrewds | Open Questions | Moving a community