The timing overlay: go to cash if the S&P return in the last 3 months was less than -3% Using this rule how would just buying SPY have done, when in it per this rule?
Thanks to anyone who can help with this.

Ah, well, I have this pretty comprehensive spreadsheet for SPY.
2/5/1950 to 3/4/2024, by weeks. 3 months = 13 weeks.

SPY B&H:

11.4%     CAGR
 -51%     MaxDD
 1.05     Sortino
  15%     stdev
 100%     in
    1     trades

This timing. Sell when SPY is -3.0% below the 13 week SMA. Buy at 0% vs. the SMA

11.2%     CAGR
 -33%     MaxDD
 1.27     Sortino
  13%     stdev
   91%     in
   93     trades

That is a lot of trading for just a little difference.

For comparison:
GTT (growth trend timing), 43 week SMA, sell at 0% below, buy at 0% above

11.5%     CAGR
 -26%     MaxDD
 1.87     Sortino
  12%     stdev
  84%     in
  83      trades

In general, a good timing scheme slightly lowers the overall return while improving the drawdowns. A non-good timing scheme (which most of them are, the way people run them) greatly reduces the return.

You have to take EVERY timing scheme that includes the 2008/2009 crash but doesn't include several decades before 2000 with a huge grain of salt. They will give you a false picture of what the overall results will likely be. That was likely a one-time-only event.

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I used to run a Jim's LargeCapCash screen, but the source I was getting the (cash - long term debt) from went behind a paywall so I couldn't get it anymore.

Mechanical Investing FAQ

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