https://www.shrewdm.com/MB?pid=785305331

Results for Growth Trend Timing (GTT), 1/4/2009 thru 3/4/2024, weekly
(MaxDD is the maximum 52-week drawdown)

B&H
CAGR 14.0%
Stdev 17%
MaxDD -51%
Sortino 2.69 (MAR: 3%)
# trades: 1
1st Buy: 1/4/2009


GTT, 43 wk SMA
CAGR 10.9%
Stdev 13%
MaxDD -18%
Sortino 1.93
# trades: 27
Successful OUT: 6 (43%)
Failed OUT: 8
1st Buy: 6/8/09


GTT, 43 wk SMA (sell at 2% below SMA)
CAGR 12.2%
Stdev 13%
MaxDD -18%
Sortino 2.77
# trades: 17
Successful OUT: 6 (67%)
Failed OUT: 3
1st Buy: 6/8/09


I'd need the dates in order to compare with the 6 MT drawdown periods.

Eyeball estimate dates, 1/19/20 - 5/31/20
B&H
CAGR -7.4%
MaxDD -32%

GTT
CAGR -13.6%
MaxDD -12%

GTT (-2% SMA)
CAGR -13.6%
MaxDD -12%

GTT appears to greatly improve the MaxDD.

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The 30 year period 1/1/95 - 3/4/24:
B&H
CAGR 10.6%
MaxDD -51%
Sortino 0.70

GTT
CAGR 11.3%
MaxDD -18%
Sortino 1.80

GTT (-2% SMA)
CAGR 12.0%
MaxDD -18%
Sortino 2.04

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