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Investing/Strategies / Mechanical Investing
|Subject: Re: The Best Measure for the Best Blend||Date: 11/18/2007 2:23 AM|
|Author: sencoman||Number: 204019 of 251801|
Thank you for sharing all this great work.
The other simple timing system that could be easily used by investors like myself is Seasonality - whether using fixed dates (bearish May through end-September or October), or switch dates modified with MACD per Sy Harding's STS .
Have you tested how Seasonality compares with the NDX 40/140 EMA crossover for bullish/bearish screen selection?
I wonder not only about CAGR and Sharpe, but also whether going bearish in summer will improve drawdowns and UI.
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