Post #782 by mungofitch on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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But looking only at balances on monthly snapshots, worst down-from-all-time-high drawdown was -62.7% and maximum time to get a new all time high was 34 months ending August 2003.
For drawdown-from-highest-point-in-prior-12-months, it was similar at -59% hit in October 2002.

The equivalent figures for the S&P 500 are -53.1% (from all time high) and -49.1% (from trailing 12 month high)
Not all that much better.
I didn't check the Nasdaq on those dates!

Curiosity got the better of me.
The equivalent figures are -82.0% and -65.0%.

So, on that count the screen is quite a bit better than QQQ but still somewhat worse than SPY.

Jim

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