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Investment Strategies / Mechanical Investing
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Author: musselmant   😊 😞
Number: of 5822 
Subject: Re: Chart: timing with Nas100 RS screen
Date: 05/21/26 7:08 PM
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No. of Recommendations: 5
I tested trailing stop losses today on the startegy; only at the 35% loss level was it an improvement.
The winner is:

35% trailing stop

Compared with baseline:

CAGR: 19.06 → 19.18
Sharpe: 0.702 → 0.714
MDD: −54.7 → −46.1
Beta: 0.700 → 0.669
Recovery: 1892 → 1629 days

And the trigger frequency is surprisingly low:

about 0.27 positions/month
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