No. of Recommendations: 8
As a quick double-check of the OP results, I changed one line in the standard BCC code for [NHNLDiff] to use nas100.a=1. The results were similar to the OP: improvement in all metrics when applied to N1T. Results from 19851231 to 20251128:
Screen CAGR SAWR GSD MDD Sharpe AT
N1T 14.7 4.7 26 -81 0.58 0.0
N1T_BCC0 15.7 6.0 23 -72 0.66 0.6
N1T_BCCN10 16.1 8.0 23 -60 0.68 1.0
S5T 11.5 5.7 18 -55 0.58 0.0
S5T_BCC0 12.8 7.9 15 -34 0.73 0.6
S5T_BCCN10 12.7 8.3 15 -34 0.72 1.0
S5TE 11.9 8.2 20 -60 0.55 0.0
S5TE_BCC0 13.3 10.4 17 -39 0.70 0.6
S5TE_BCCN10 13.1 10.4 17 -39 0.68 1.0
BCCN10 timing uses nas100 NHNL.
BCC0 timing uses nasdaq NHNL.
BCCN10 applied to S5T or S5TE lowers CAGR slightly (compared to BCC0), with similar risk metrics. There is more turnover with BCCN10.
I did not try to fine tune the NHNL cutoff. The standard BCC NHNLDiff cutoff of -0.4 corresponds to about -18 in the OP table (multiply by 45, the sum of the weights).
gtr1.net: GTR1 Backtester - N1Thttps://gtr1.net/2013/?~N1T_BCC0:h1f0.1::trp%281,1...https://gtr1.net/2013/?~N1T_BCCN10:h1f0.1::trp%281... 