No. of Recommendations: 3
if you can automate, apply the volume rule to the overlap strategy to determine whether to purchase, and then whether to sell mid-month, also.
The SPY>325day SMA timing signal for all purchases (or go to cash), then also the volume rule on buy date, generated 29.1% cagr post 1999.
If you also apply the volume rule mid-month to sell early (even if you have to get back in to the same stock the next month) it ups cagr to 31.8%
loss episodes longest days to recover
strategy CAGR Sharpe Beta UI worse than-9.99% recovery % Slower than SPY Slower than NDX
Overlap 28.4% 0.87 0.82 15.61 46 757days 67.4% 58.7%
Entry filter 29.3% 0.89 0.81 15.42 46 757d 63.0% 56.5%
Entry + exit 31.8% 0.93 0.81 15.04 47 800d 68.1% 59.6%
9m Momentum 5 18.3% 0.67 0.82 25.61 36 606d 75.0% 58.3%
PHL180day 5 23.4% 0.85 0.74 16.89 34 1131d 82.4% 70.6%
SPY 7.9% 0.49 1.00 16.22 8 1020d — 62.5%
NDX 7.5% 0.40 1.21 44.61 15 3292d 60.0% —
