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Author: mungofitch Big gold star, 5000 posts Top Favorite Fools Top Recommended Fools Feste Award Winner! Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 254167  
Subject: Re: Applying Timing to GTR1 Blends Date: 2/25/2014 1:13 PM
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(1) [ranks 1-5 held 15 days no friction no timing] http://gtr1.backtest.org/2012/?h15::tim.v:am4:mcp:bn610:dolv...
(2) [ranks 1-5 held 15 days no friction with timing, 1 day lag] http://gtr1.backtest.org/2012/?h15::tim.v:am4:mcp:bn610:dolv...
(3) [ranks 1-5 held 15 days no friction with timing no lag] http://gtr1.backtest.org/2012/?h15::tim.v:am4:mcp:bn610:dolv...
You can decide whether chasing that possible 1.5 point CAGR advantage is worth the effort (which wouldn't be much with enough automation),
but if I were using SmallMoVL with timing, I think it would be.


The intended advantage of this combo (NH-NL timing and small cap momentum)
isn't obvious from your figures because the thing that it's aiming to
improve is steadiness over longer time frames, e.g. 6 or 12 months.
With the default risk interval of 20 days this improvement doesn't really show up.

But if you try a longer risk interval the improvement becomes clearer:
126 day DD figure from GTR1 = 12.43, 252 day DD = 7.36
126 day DD figure from GTR1 = 5.96, 252 day DD = 4.94
126 day DD figure from GTR1 = 5.40, 252 day DD = 3.71

I'd say it's not worth it for the extra 1-2% in CAGR, but it's
probably worth it for the reduction in risk by half.
Indeed, I'd happily give up 1-2% (or more) to manage half the downside deviation.
Export portfolio values, graph 'em, and check out the equity curve.
e.g., for the median run of #3 above, the rolling years were negative only 9% of the time
and gave returns over 8.4% fully 80% of the time. Median year 27%, TTM=60%.
These are the calendar year returns of that median run.
Year    Return
1986 40.9
1987 18.7
1988 29.0
1989 48.4
1990 1.9
1991 88.9
1992 17.3
1993 11.7
1994 17.6
1995 105.5
1996 14.4
1997 56.5
1998 13.8
1999 41.5
2000 24.9
2001 97.2
2002 -2.1
2003 84.4
2004 74.3
2005 64.5
2006 26.2
2007 22.1
2008 1.3
2009 34.5
2010 -3.2
2011 -5.2
2012 0.2
2013 90.4
2014 1.8 (to Feb 24)

Sometimes it makes nothing, usually it makes a lot, and it usually loses only quite rarely and moderately.
It's a "wait for the fat pitch" strategy.

Incidentally, the other variation of that signal is the same thing but looking back 9 days instead of 8 with the same cutoff for bull/bear.
Eight day signal from #3 above, CAGR 31.55 DD126 5.50
Nine day signal CAGR 31.29, DD126 5.28
URL for the nine day version
http://gtr1.backtest.org/2012/?h15i126::tim.v:am4:mcp:bn610:...
A tiny bit less trading, a tiny bit lower CAGR, a tiny bit steadier.

Rather to my surprise, the nine day version with cutoff 6 (instead of 4) is potentially interesting.
CAGR down to 28.41%, but DD126 only 4.50.
It waits for even fatter pitches.

And of course...many many thanks for your work on this to humour me, Robbie.
I figured there was a fairly direct way to do that signal, I just couldn't see it.
Creating one variable for each day's lag was the route I was trying...ick.

Jim
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