This seems to be working out pretty well so I thought I’d share it.
We are counting NH and NL over a period of time and
if the former is the winner or ties the later, then BUY , else SELL.
(see math at bottom)
Looking at XLE here.
(I have no idea how to format in this new community era but here are
returns over a 3 year periods.
You will note that not only does this switching beat the B&H most
periods, I keeps you out of the big downturns.
First column is month number (used for indexing in EXCEL)
Second column is the ending date
Next two are the values
Last two are the % returns.
| PORTFOLIO | B&H | PORTFOLIO | B&H | ||
|---|---|---|---|---|---|
| 0 | 4/1/23 | 566.71 | 149.65 | 90% | 68% |
| 36 | 4/1/20 | 298.03 | 88.99 | 76% | 76% |
| 72 | 4/1/17 | 169.67 | 50.66 | 59% | 58% |
| 108 | 4/1/14 | 106.99 | 32.16 | 44% | 44% |
| 144 | 4/1/11 | 74.49 | 22.39 | 43% | 18% |
| 180 | 4/1/08 | 52.11 | 19.04 | 21% | 29% |
| 216 | 4/1/05 | 42.95 | 14.76 | 5% | -64% |
| 280 | 12/1/99 | 40.93 | 40.93 |
For getting in/out:
Over the last 7 months, count up the number New Highs
and the New Lows each months over the last 2 months…
If H>=L buy or hold, L<H , sell
Counting highs-
=+IF(C2=MAX(C2:OFFSET(C2,$K$1,0,1,1)),1,0)
Col C has the monthly highs.
If this month’s value C2 is better than the Max, the count is 1
$K$1 held the number of months to check back- in this case 7.
Another column would have all the monthly lows.
The do the math the add up the Highs and Lows to determine strategy.