99-day signal

Investing Strategies Mechanical Investing
21

FYI for the community: the Russell 2000 - the primary universe for MI screen stocks, as represented by IWM - went 99D bearish as of the close Wednesday.

The Naz (^IXIC) is 8 days away from going bearish.

Emerging and Foreign Developed markets have been bearish since mid-November.

so trying it on multiple indexes might be better to develop a single market-wide consensus signal…

10 Likes
22

Eric,

For S&P try M=122, N=214. I believe that maximizes CAGR.

His github data file is, however, clearly for the S&P 500 Index.

True, but you can also download data from Y! in the program, allowing you to use any ticker symbol.

John

1 Like
23

johnIII:
For S&P try M=122, N=214. I believe that maximizes CAGR.

In 2019 I did a parametric study on DBE seeking parameter combinations that would beat the rgearyiii/lohill selections (no new 98d high in the last 99d) not only with respect to CAGR but for each GTR1 risk measure and asset turnover (AT). I actually found a few such combinations, but lost interest for several reasons: 1) rgearyiii’s Bear Catchers Continuum post mi275001 & associated discussion, 2) the addition of SAWR (safe annual withdrawl rate) as a GTR1 risk measure that my few combinations did not improve, and most importantly 3) my rereading of some posts by Rayvt regarding the proper role of bear catchers — not to boost CAGR but to enable one to prepare for and handle the risks associated with bear markets.

I decided the bear catchers I had were “good enough,” and the important thing was to decide (& commit to) how I was going to apply them.

That said, here are the S&P index comparisons johnIII suggested. The rgearyiii/lohill parameters give better risk measures and better or “good enough” CAGR.


Statistics are calculated from **19251231 to 20220401** over
daily closing portfolio values for a single trading cycle.
                 rgearyiii/
                 lohill       johnIII
                 No New       No New
                 98d High     122d High
                 in last 99d  in last 214d
CAGR:            8.7581       8.3102
TR:              322219.75    216584.73
Log2TR:          11.6543      11.0814
SAWR(20; 0.95):  5.7017       4.1976
GSD(20):         14.3871      16.4306
DIGSD(20; 0%):   16.3386      18.6214
LDD(20; 0%):     9.4145       10.8446
LDDD3:           8.4469       9.8292
MDD:             -45.8895     -65.7481
UI(20):          11.3206      17.8868
Sharpe(20):      0.4564       0.3913
Beta(20):        0.5125       0.6398
TI(20):          11.7769      9.1800
AT:              0.5820       0.1975


Statistics are calculated from **19500103 to 20220401** over
daily closing portfolio values for a single trading cycle.
                 rgearyiii/
                 lohill       johnIII
                 No New       No New
                 98d High     122d High
                 in last 99d  in last 214d
CAGR:            10.0019      10.0371
TR:              97076.08     99341.39
Log2TR:          9.9245       9.9577
SAWR(20; 0.95):  7.4019       6.5685
GSD(20):         12.8083      13.8226
DIGSD(20; 0%):   14.4859      15.4755
LDD(20; 0%):     8.1200       8.7197
LDDD3:           6.7409       6.9570
MDD:             -33.9250     -33.9250
UI(20):          6.3804       6.5773
Sharpe(20):      0.5230       0.4968
Beta(20):        0.6461       0.7407
TI(20):          9.6848       8.6422
AT:              0.5127       0.1524
11 Likes