No. of Recommendations: 4
Claude AI said, regarding the 2006-2026 period,
"Two of three bear markets in that window (2008, 2022) were slow grinding declines, exactly the shape a long-MA filter handles best.
**His four schemes are being scored on a period that happens to suit them.**
The 2020 crash, which they'd have handled badly, was too brief to leave a mark on annual figures.
Worth checking: does the 2006-2026 advantage survive if you exclude 2008?"So here is the check from the bottom on 3/2/2009.
Summary:
* Looking at the weekly signals, they all switch to OUT on either 1/6/2008 or 1/13/2008, so all went to cash on Feb, 2008.
* All switched to ON 7/26/09 or 8/23/09 or 6/7/09.
* All had same MaxDD.
* Sortino was slightly better for IXIC than GSPC.
* All had basically same Stdev.
* CAGR was slightly better for IXIC than GSPC.
* All CAGRs are unbelievably high.
65 wk SMA for 1 wks -4% below GSPC OUT IN
2/1/08 9/1/09
65 wk SMA for 1 wks -4% below IXIC 2/1/08 6/2/08
7/1/08 8/3/09
52 wk SMA for 1 wks -4% below GSPC 2/1/08 8/3/09
52 wk SMA for 1 wks -4% below IXIC 2/1/08 7/1/09
BOM values (untimed):
Date Value return of month
2/1/2008 7556.676 0.8773
3/3/2008 6629.520 1.0750
4/1/2008 7126.706 0.9602
5/1/2008 6843.244 1.0137
6/2/2008 6936.950 0.9582
7/1/2008 6647.184 0.9523
8/1/2008 6330.064 0.8867
9/2/2008 5612.692 0.9140
10/1/2008 5129.830 0.9286
11/3/2008 4763.326 0.8231
12/1/2008 3920.918 1.1680
1/2/2009 4579.496 0.9823
2/2/2009 4498.400 0.8485
3/2/2009 3816.682 (bottom) 1.0374
4/1/2009 3959.512 1.0071
5/1/2009 3987.782 0.9957
6/1/2009 3970.780 0.9646
7/1/2009 3830.268 1.1102
8/3/2009 4252.416 0.9477
9/1/2009 4029.890 1.0763
10/1/2009 4337.242 0.9642
From the bottom of 3/2/2009:
65 wk SMA for 1 wks -4% below GSPC
3/2/2009 12/1/2025
CAGR 27.7%
Stdev 26.3%
MaxDD(12) -32%
Sortino 2.04
Grth $10K $602,207
65 wk SMA for 1 wks -4% below IXIC
3/2/2009 12/1/2025
CAGR 29.2%
Stdev 26.5%
MaxDD(12) -32%
Sortino 2.14
Grth $10K $730,024
52 wk SMA for 1 wks -4% below GSPC
3/2/2009 12/1/2025
CAGR 25.9%
Stdev 26.5%
MaxDD(12) -32%
Sortino 1.90
Grth $10K $474,957
52 wk SMA for 1 wks -4% below IXIC
3/2/2009 12/1/2025
CAGR 29.8%
Stdev 26.4%
MaxDD(12) -32%
Sortino 2.20
Grth $10K $796,248
