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Investment Strategies / Mechanical Investing
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Author: rayvt 🐝  😊 😞
Number: of 5822 
Subject: Re: A similar screen
Date: 06/02/26 9:53 PM
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No. of Recommendations: 4
Examining it in chatgpt.
180 days in the time period I have available there reduces Ulcer Index to 14 and only slightly reduces CAGR with mdd to -28.89%


I think we need to be careful in the numbers we look at. The first link you posted had CAGR's from 26.2% to 31.6%. UI from 14.7 to 21.7
It is too optimistic to assume that the real-life portfolio would get anything but the worst figures. It is virtually impossible that it would get the averages.
Especially since the averages are for independent cycles. The min/max CAGR probably won't be the same cycle as the min/max UI or min/max MDD.

What I do is download the full "daily portfolio values" and pick out the cycle with the worst ending value and use that one for all my investigation and statistic computations. It's a bit more work, but I'd rather expect 16% and get 22% than expect 22% and get 16%. And for detailed work I trust my Excel skills better than I trust a LLM chatbot.
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