Post #3683 by lizgdal on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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gtr1 results from 19870302 to 20250507: -38 CAGR, 89 GSD, -100 MDD.

blended 20% short with 80% SPY: 17 CAGR, 18 GSD, -51 MDD. This is using the Cash Rate as the borrowing cost. What is a reasonable borrowing cost number to use in the backtest? Using 10% + Cash Rate reduces the CAGR to 14.

S&P 500 Market Cap weighted (SPY): 11 CAGR, 18 GSD, -55 MDD.

https://gtr1.net/2013/?~LowMo_HighDebt:h21f0.4::st...

https://gtr1.net/2013/blend.cgi?~blend_LowMo_HighD...

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