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Investment Strategies / Mechanical Investing
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Author: rayvt 🐝  😊 😞
Number: of 3959 
Subject: Re: GGT Timing update
Date: 11/07/2023 3:54 PM
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No. of Recommendations: 3
Is it much trouble to ask to see the values change for 2016-02-01?

Not a problem.
      1 rrsfs-2016-03-16: 2016-02-01 188176
2 rrsfs-2016-04-13: 2016-02-01 188570
2 rrsfs-2016-05-13: 2016-02-01 189012
1 rrsfs-2016-06-14: 2016-02-01 188983
14 rrsfs-2016-06-16: 2016-02-01 189012
3 rrsfs-2017-02-15: 2016-02-01 188931
1 rrsfs-2017-03-15: 2016-02-01 188636
1 rrsfs-2017-04-14: 2016-02-01 188764
9 rrsfs-2017-05-12: 2016-02-01 189737
6 rrsfs-2018-02-14: 2016-02-01 189957
8 rrsfs-2018-06-12: 2016-02-01 189912
7 rrsfs-2019-02-14: 2016-02-01 189962
8 rrsfs-2019-07-11: 2016-02-01 190515
3 rrsfs-2020-02-14: 2016-02-01 190478
9 rrsfs-2020-05-15: 2016-02-01 190538
3 rrsfs-2021-02-17: 2016-02-01 190681
14 rrsfs-2021-04-26: 2016-02-01 190591
14 rrsfs-2022-05-11: 2016-02-01 190613
7 rrsfs-2023-04-24: 2016-02-01 190372

1 indfs-2016-03-16: 2016-02-01 106.3275
1 indfs-2016-04-01: 2016-02-01 104.1893
1 indfs-2016-04-15: 2016-02-01 103.9943
1 indfs-2016-05-17: 2016-02-01 104.3721
1 indfs-2016-06-15: 2016-02-01 104.4165
1 indfs-2016-07-15: 2016-02-01 104.3717
8 indfs-2016-08-16: 2016-02-01 104.4140
13 indfs-2017-03-31: 2016-02-01 103.2685
13 indfs-2018-03-28: 2016-02-01 102.3429
27 indfs-2019-03-27: 2016-02-01 102.2225
14 indfs-2021-05-28: 2016-02-01 98.9583
10 indfs-2022-06-28: 2016-02-01 98.8946
8 indfs-2023-03-28: 2016-02-01 98.9136

It struck me that, as far as backtesting goes, the changes might not matter much. GTT looks at the YOY value. So even though the values may change, what matters is the ratio of this year to previous year. So let's look at the ratios of 2016-02-01 vs 2017-02-01.

Aaaand ... for RRS (retail sales) the ratio varied between +1.64% and +2.25%. Always up YOY in the database reports 2016 to 2023, for February.


But that's not the case for Industrial Production: Total Index (INDPRO)
The ratios for 2016-02-01 vs 2017-02-01 varied between +0.46% and -0.49%.
Ex: The report of 6/15/2017 gave:
2/1/2016 103.2685 2/1/2017 103.7416 +0.00458 (up YOY)

The latest report (10/17/2023) shows:
2/1/2016 98.9136 2/1/2017 98.4322 -0.00487 (down YOY)

So in mid-2017 the signal would have been INDPRO showing no recession.
But if you did a backtest today, you would think that the mid-2017 signal was possible recession.
Ugh.



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