No. of Recommendations: 14
FWIW these are the CAGR figures for my seasonal system since the last time I updated it in October 2016.
The trading vehicle is RSP. For dates up to April this year.
CAGR of the days during bearish periods: 5.6%
CAGR of the days during bullish periods: 13.9%
RSP itself, 11.0%.
So, it appears to have been in the right direction. Since the bearish-periods CAGR is above what you'd have earned in interest, it appears that it would have hurt your long run returns somewhat, but you would have been in the market and at risk only during relatively good times. On average.
I haven't done the calculation of risk metrics like worst rolling year, downside deviation. Though here is one: last two years of the test 5.8%/year for the system, B&H 3.4%/year.
I also didn't spend a huge amount of time double checking this all, so add a pinch of salt.
Jim
