No. of Recommendations: 7
if I wanted to use timing on one of the Nas100 momentum screens, would you still favor the ^IXIC 52-week SMA with a sell signal 4% below the SMA and a buy signal above the SMA?Buy is always at or above the SMA.
I have been running timing backtests with only GSPC (S&P500) since musselmant said it was best. I recently enhanced my spreadsheet(s) to make it easy to change timing parameters, but I only did it for GSPC. So now it's also easy to do the same thing for IXIC. Which your question prompted me to do.
The timings are for N-week SMA, the trades are monthly. So one bad (or good) week in the midst of a group of the opposite signal can throw off the signal for a month, depending on if it is the most recent week or not. That's just what happened as shown in the signal comparison table below, where IXIC had a lot of whiplashes. IXIC is very volatile so it is not unusual to see one week at, say, -4.6% and the next week at +1.3%
So here is a couple of like-to-like comparisons, for the entire period and also the first & second half.
Remembering that the purpose of timing is to reduce the drawdowns and volatility, and any improvement to the CAGR is just a happy coincidence.
It appears that timing with IXIC generally improves both the MaxDD(12) and the Sortino Ratio.
Don't take any of these statistics as very accurate, just look at the relative rankings.
I do not think the exact timing parameters make much difference in a real-world portfolio. Just a 1 week difference in SMA length or a 1% difference in the sell threshold can change the statistics. So don't worry about being perfect, all we need is to be good enough. And in the ballpark.
RS52 5HTD12, the cycle at the 25'th percentile CAGR of the 1985-2025 period.
25th-1985 Untimed
2/1/1985 12/1/2025 9/1/2006 12/1/2025 2/1/1985 9/1/2006
CAGR 26.7% CAGR 22.2% 2CAGR 30.8%
Stdev 37.0% Stdev 31.2% 2Stdev 41.6%
MaxDD(12) -73% MaxDD(12) -52% MaxDD(12) -73%
Sortino 1.30 Sortino 1.21 Sortino 1.38
Grth $10K $155,966,040 Grth $10K $476,424 Grth $10K $3,273,684
# Sells 0 # Sells 0 # Sells 0
Max mo out 0 Max mo out 0 Max mo out 0
25th-1985 64 wk SMA -4% below GSPC
2/1/1985 12/1/2025 9/1/2006 12/1/2025 2/1/1985 9/1/2006
CAGR 26.6% CAGR 22.7% CAGR 30.1%
Stdev 33.6% Stdev 27.9% Stdev 38.0%
MaxDD(12) -50% MaxDD(12) -43% MaxDD(12) -50%
Sortino 1.48 Sortino 1.43 Sortino 1.53
Grth $10K $151,100,781 Grth $10K $512,211 Grth $10K $2,949,972
# Sells 12 # Sells 9 # Sells 3
Max mo out 30 Max mo out 19 Max mo out 30
25th-1985 64 wk SMA -4% below IXIC
2/1/1985 12/1/2025 9/1/2006 12/1/2025 2/1/1985 9/1/2006
CAGR 25.9% CAGR 24.1% CAGR 27.6%
Stdev 32.9% Stdev 27.9% Stdev 36.9%
MaxDD(12) -40% MaxDD(12) -35% MaxDD(12) -40%
Sortino 1.53 Sortino 1.55 Sortino 1.52
Grth $10K $123,336,956 Grth $10K $641,348 Grth $10K $1,923,090
# Sells 18 # Sells 9 # Sells 9
Max mo out 31 Max mo out 13 Max mo out 31
25th-1985 52 wk SMA -4% below GSPC
2/1/1985 12/1/2025 9/1/2006 12/1/2025 2/1/1985 9/1/2006
CAGR 26.9% CAGR 21.5% CAGR 31.8%
Stdev 33.3% Stdev 28.0% Stdev 37.4%
MaxDD(12) -43% MaxDD(12) -43% MaxDD(12) -37%
Sortino 1.56 Sortino 1.35 Sortino 1.72
Grth $10K $166,592,527 Grth $10K $426,326 Grth $10K $3,907,632
# Sells 13 # Sells 9 # Sells 4
Max mo out 18 Max mo out 18 Max mo out 17
25th-1985 52 wk SMA -4% below IXIC
2/1/1985 12/1/2025 9/1/2006 12/1/2025 2/1/1985 9/1/2006
CAGR 26.5% CAGR 24.7% CAGR 28.0%
Stdev 32.3% Stdev 27.4% Stdev 36.2%
MaxDD(12) -40% MaxDD(12) -32% MaxDD(12) -40%
Sortino 1.60 Sortino 1.61 Sortino 1.60
Grth $10K $146,130,041 Grth $10K $706,561 Grth $10K $2,068,187
# Sells 20 # Sells 8 # Sells 12
Max mo out 18 Max mo out 17 Max mo out 18
Here are all the months where IXIC and GSPC had different signals.
1st --> 64 wk SMA for 1 wks -4% below IXIC
2nd --> 64 wk SMA for 1 wks -4% below GSPC
Date 1st 2nd whiplash 1? whiplash 2?
1/6/1985 out IN
7/3/1988 IN out
8/7/1988 IN out
9/4/1988 IN out
10/2/1988 IN out
5/6/1990 out IN WL1
8/5/1990 out IN
7/3/1994 out IN
8/7/1994 out IN
1/1/1995 out IN WL1
9/6/1998 out IN
10/4/1998 out IN
11/5/2000 out IN
5/4/2003 IN out
9/5/2004 out IN WL1
5/1/2005 out IN WL1
8/6/2006 out IN WL1
6/1/2008 IN out WL1
8/2/2009 IN out
9/6/2015 IN out
10/4/2015 IN out
5/3/2020 IN out
3/6/2022 out IN
4/3/2022 out IN
