Post #5064 by musselmant on the Mechanical Investing board

If you have a moment right now, copy the url of a post you find interesting and email it (or tweet it, or message it) to your friends ever so often. This is the best way to make these boards increasingly active over time. (As for the culture, that has has proven that it is here to stay).

- Manlobbi

Investment Strategies / Mechanical Investing

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No. of Recommendations: 5

Sorry about that: I've run so many possibilities I posted the wrong screen.
This one uses 200 days and has a beta of 1 and sharpe of .84 and 10 stocks with a CAGR of 26.29
https://gtr1.net/2013/?h21f0.10000::nas100.a:et1:t...

But if you simply the timing test instead of using the 3-part used so often on this board,
and instead just use SPY>SMA325 to be in the market or out, you get

10 stocks v. 5 stocks
CAGR 23.8%    27.7%
sharpe .83      .85
beta   .82      .87
mdd -51%      -55.3%
2000 26%        
2001  3%
2008 -4%       -3.4%
2023 23%

https://gtr1.net/2013/?h21f0.10000::nas100.a:et1:t...

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