Post #61 by zeelotes on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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BTW, it is possible to use QLD/QID as proxies rather than holding multiple positions in Saul stocks. The signals still rely on SaaS companies to determine states where they are overbought or oversold, but it is much easier to just buy a single ETF.

Date  Signal  P  % G/L
1/5/2022  BUY  L  1.63%
1/12/2022  SELL  S  8.80%
1/18/2022  BUY  L  -4.40%
1/31/2022  SELL  S  13.34%
2/22/2022  BUY  L  5.21%
2/28/2022  SELL  S  13.63%
3/7/2022  BUY  L  16.44%
3/18/2022  SELL  S  37.19%
5/11/2022  BUY  L  11.31%
5/27/2022  SELL  S  23.43%
6/14/2022  BUY  L  6.42%
6/23/2022  SELL  S  2.63%
6/30/2022  BUY  L  10.58%
7/7/2022  SELL  S  5.72%
7/14/2022  BUY  L  11.45%
7/20/2022  SELL  S  5.63%
7/26/2022  BUY  L  19.89%
8/3/2022  SELL  S  15.19%
9/1/2022  BUY  L  4.94%
9/9/2022  SELL  S  22.42%
9/23/2022  BUY  L  4.40%
10/4/2022  SELL  S  14.73%
10/11/2022  BUY  L  6.31%
10/18/2022  SELL  S  4.13%
11/4/2022  BUY  L  17.50%
11/11/2022  SELL  S  4.34%
11/21/2022  BUY  L  8.15%
12/1/2022  SELL  S  8.47%
12/6/2022  BUY  L  4.89%
12/13/2022  SELL  S  13.56%
12/19/2022  BUY  L  -3.04%
12/31/2022  END

The maximum drawdown using this approach is -15.56%. The Dow has a max DD of -21.10% during 2022. So the method reduces drawdown while enhancing return, but it is a whole lot of trading and demands daily updating right after the close.

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