No. of Recommendations: 3
Here are the statistics for RS52 using the cycle which has the 25th percentile return.
For a few timing schemes. The no new 99-day high in the last 99 days is #4.
Timing is computed weekly, except daily for the 99-day, and id applied at the monthly trading day.
For 1985-2026, timing had little effect on the return. #4 was worst on risk metrics.
For 2006-2026, #4 had the slightly best return, slightly worse risk metrics except for Sortino Ratio.
For me, the only reason to use #4 was if I believed that the future was going to look more like 2006-2026 instead of 1985-2006.
#1 25th-1985 Untimed
2/1/1985 12/1/2025 9/1/2006 12/1/2025
CAGR 26.7% CAGR 22.2%
Stdev 37.0% Stdev 31.2%
MaxDD(12) -73% MaxDD(12) -52%
Sortino 1.30 Sortino 1.21
Grth $10K $155,966,040 Grth $10K $476,424
# Sells 0 # Sells 0
Max mo out 0 Max mo out 0
#2 25th-1985 64 wk SMA for 1 wks -4% below GSPC
2/1/1985 12/1/2025 9/1/2006 12/1/2025
CAGR 26.6% CAGR 22.7%
Stdev 33.6% Stdev 27.9%
MaxDD(12) -50% MaxDD(12) -43%
Sortino 1.48 Sortino 1.43
Grth $10K $151,100,781 Grth $10K $512,211
# Sells 12 # Sells 9
Max mo out 30 Max mo out 19
#3 25th-1985 64 wk SMA for 1 wks -1% below GSPC
2/1/1985 12/1/2025 9/1/2006 12/1/2025
CAGR 27.6% CAGR 22.3%
Stdev 33.1% Stdev 27.9%
MaxDD(12) -43% MaxDD(12) -43%
Sortino 1.61 Sortino 1.41
Grth $10K $209,475,557 Grth $10K $481,191
# Sells 16 # Sells 10
Max mo out 31 Max mo out 19
#4 25th-1985 No new 99day high GSPC
2/1/1985 12/1/2025 9/1/2006 12/1/2025
CAGR 26.1% CAGR 24.2%
Stdev 34.6% Stdev 29.0%
MaxDD(12) -54% MaxDD(12) -47%
Sortino 1.41 Sortino 1.45
Grth $10K $131,804,070 Grth $10K $652,635
# Sells 17 # Sells 7
Max mo out 28 Max mo out 15
