Post #624 by Taz2 on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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I ran a 23-yr P123 backtest of an 8-stock version. In each 13-wk up market it had a +1.12% excess return over benchmark and for each down market it had a +1.41% excess return -- very good. However, in the 2007-2009 recession, it had a -64% max DD.

Instituting market timing:

close(0,#bench)>sma(200,0,#bench) AND sma(5,0,#SPEPSCY) > sma(21,0,#SPEPSCY)

decreased the max DD to -23%. This kept it completely out of the market through the 2001-2003 internet crash, the 2007-2009 recession, and the 2020 COVID dip.

Taz

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