Recent BCC Signals 2022-12-02

Here are the recent Bear Catcher Combined signals as taken from GTR1 using GTR1 Helper 4.5. The complete set of signals may be found by running GTR1 with the BCC url: GTR1 Backtester
Launch the url, take the option for Detailed Report and check the box for Signal Values. Finally, click “Run Backtest” and then download the report.

Larry

Date Signal SMA NH/NL DBE
20221202 0 Bear Bear Bear
20220822 0 Bear Bear Bear
20220805 2 Bear Bull Bear
20220525 0 Bear Bear Bear
20220428 4 Bear Bear Bull
20220331 5 Bull Bear Bull
20220324 7 Bull Bull Bull
20211118 5 Bull Bear Bull
20211013 7 Bull Bull Bull
20211004 5 Bull Bear Bull
20210825 7 Bull Bull Bull
20210817 5 Bull Bear Bull
20210721 7 Bull Bull Bull
20210716 5 Bull Bear Bull
20201103 7 Bull Bull Bull
20201030 5 Bull Bear Bull
20200930 7 Bull Bull Bull
20200923 5 Bull Bear Bull
20200720 7 Bull Bull Bull
20200710 3 Bull Bull Bear
20200528 7 Bull Bull Bull
20200417 6 Bear Bull Bull
20200316 4 Bear Bear Bull
20200225 5 Bull Bear Bull
20200204 7 Bull Bull Bull
20200131 5 Bull Bear Bull
20191125 7 Bull Bull Bull
20191120 5 Bull Bear Bull
20191119 7 Bull Bull Bull
20191118 5 Bull Bear Bull
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For the NHNL signal, the look back period is 253 days. Before I try looking at different look backs, I am wondering if anyone else has checked in NHNL works better with a shorter look back?

Craig

I’ve wondered the same. Is that an option on GTR1? I wouldn’t think so, as it would require a lot of computation to build that data. But I’d be very interested in the results of adjusting the lookback parameter.

I’ve also wondered about the efficacy of using NHNL on the Russell 2000. I don’t have data for that universe, but thought that it might break down prior to the larger-cap indices.

I couldn’t find the Russell 2000 NHNL on stockcharts but found it on Barchart: 52-Week Hi-Lo Russell 2000 Price - Barchart.com

1 Like

NH/NL lookback period (2013) found “a minor peak at 150 and a major at 240, and a fairly orderly degradation in either direction from the peak. The standard 52 week lookback ends up being nearly the best to use.” But that was almost 10 years ago, and so an update would be interesting.

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Barchart.com has many shorter NHNL time frames on many indexes. For example there is the 3-Month Hi-Lo Nasdaq ($M3DQ) 3-Month Hi-Lo Nasdaq Price - Barchart.com . Unlike stockcharts you can even use a weighted moving average, but there is no backtesting.

If you use advanced search when looking for a symbol, you can search “1-month hi-lo”, “6-month hi-lo” or even “5-day hi-lo” and then chart with different types of moving averages. There have many different indexes and sectors. Very interesting data but without backtesting I’m not sure what to do with it. I couldn’t find a useful strategy from it but perhaps others can.

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NH/NL update

I looked at the period 20131118 to present for ^GSPC and 19260104 to present for ^S5T. A lookback of about 240 days is in the area of peak CAGR. In both cases, the CAGR is much less using NH/NL but MDD is significantly better.

^GSPC 20130118 to 20221216 ^S5T 19260104 to 20221216
CAGR MDD SAWR CAGR MDD SAWR
Period
B&H 8.8 -33.92 6.87 9.92 -84.59 4.68
20 2.58 -19.83 4.46 -38.78 2.25
40 5.25 -13.53 5.15 -30.13 2.56
60 6 -15.08 5.63 -28.46 2.59
80 5.47 -14.37 5.97 -26.09 2.61
100 5.52 -14.14 6.02 -23.58 2.62
120 4.71 -13.86 5.82 -28 2.62
140 5.2 -13.86 6.28 -22.33 2.64
160 6.15 -13.86 6.28 -25.58 2.63
180 6.41 -14.32 6.36 -27.7 2.66
200 6.78 -14.23 6.42 -28.67 2.67
220 6.25 -17.73 6.48 -24.91 2.67
240 6.8 -18 6.7 -27.9 2.68
260 6.11 -19.89 6.53 -28.69 2.67
280 6.34 -20.92 6.48 -28.38 2.67
300 6.26 -21.22 6.46 -28.46 2.68
251 6.17 -19.89 5.19 6.58 -27.67 2.67
3 Likes

I made a mistake on the 1926 to present backtest. BCC 2 only works back to 1974 so please ignore the results.

Craig

2 Likes