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Investment Strategies / Mechanical Investing❤
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Author: JohnIII ✭  😊 😞
Number: of 3959 
Subject: Nas NHNL signal
Date: 04/15/2023 8:47 PM
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My version of the Nasdaq NHNL, which I think is fairly comparable to the GTR1 version, went bearish at market close on March 6.
In that time the Nasdaq is up 12,123.47/11,675.74 = 1.038, or 3.8%.
Can anyone recall a time when the Nasdaq has performed this well while under a bearish NHNL signal?
Any thoughts about what this might portend?

John
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Author: Baltassar ⎊  😊 😞
Number: of 3959 
Subject: Re: Nas NHNL signal
Date: 04/16/2023 5:04 PM
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NHNL is in part a breadth signal, and what it's showing at the moment is that the current recovery is not broad; which is, I believe correct on other evidence as well.

What it portends, well, that's the question, isn't it? It could broaden, or it could fizzle. If I had new money to invest I might wait to see which of those turned out to be true. But the other two canonical bear-catchers are (narrowly) bullish, and we just had a rare Coppock Buy signal, so I don't think I'd be selling anything to raise cash.


Baltassar



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Author: lizgdal ✶  😊 😞
Number: of 3959 
Subject: Re: Nas NHNL signal
Date: 04/17/2023 5:41 PM
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Using GTR1 data from 1926 to 2022, 60% of 1-month returns were positive following NHNL 0.

                SR1m      SR1m    SR1m     SR3m    SR3m
NHNL   Count  positive  Average  StdDev  Average  StdDev
  0    6339     60%       0.7%    7.4%     2.7%   13.2%
  1    17707    64%       1.0%    4.6%     2.9%    8.2%
total  24046    63%       0.9%    5.5%     2.9%    9.8%


SR1m is S&P500 subsequent return 1 month.

Is 1-month return a good market timing signal. Doubtful, but this can be tested by adding a 4th signal to BCC:
Mo: trp(1,21)
[moBCC]: [1*[[SMADiff] > 0 ? 1 : 0] + 2*[[NHNLDiff] > -0.4 ? 1 : 0] + 4*[DBE] + 8*[[Mo] > 0 ? 1 : 0]]

Close positions:
moBCC = 0!1!4!5!8!9!12!13 ignores Mo
moBCC = 0!1!4!5 follows Mo
moBCC = 8!9!12!13 follows the opposite of Mo

Adding this 4th signal results in lower CAGR and higher turnover. 

                              Screen  CAGR  SAWR  GSD  MDD  Sharpe  AT
                   SP500MktCapWeight  10.3  6.3   17   -54   0.44   0.2
              SP500MktCapWeight_BCC0  11.9  8.3   14   -34   0.61   0.9
             SP500MktCapWeight_NHNL0  11.7  7.5   10   -22   0.74   2.8
SP500MktCapWeight_NHNL0_Ignore_moBCC  11.7  7.5   10   -22   0.74   2.8
   SP500MktCapWeight_NHNL0_Not_moBCC  11.1  7.1   16   -44   0.51   4.2
       SP500MktCapWeight_NHNL0_moBCC  10.9  5.8   12   -36   0.60   4.5  uses signal GSPC trp(1,21)>0
      SP500MktCapWeight_NHNL0_mo3BCC  11.3  6.9   11   -29   0.67   4.0  uses signal GSPC trp(1,21)>3


https://gtr1.net/2013/?~SP500MktCapWeight_NHNL0_mo...
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