I wonder if here might be a more conservative way to go about thiswhich is more robust.There is little doubt that bull and bear markets exist, and that differentscreens are optimal in each case. So, here is an approach:Pick a set of bull and bear market crossover dates from a chart.This can be done with perfect hindsight, by hand---doesn't matter.Though, ideally, it would be with a touch of lag, since no one knowsit's a bear until it starts if you're using technical indicators.Build a blend of screens that do well overall, but do particularly wellin bull markets, and do the same for bear markets. A nice diverseblend in each case---a few stocks from quite a few different screens.Don't worry about overtuning, just get two blends, one of which isfull of bull market winners, and one full of bear market best-you-can-do.Then, pick maybe four different very basic timing indicators for bullversus bear. How much the S&P went up or down in the last month or threemight be one of them. I use one which is, how long since the indexcrossed above a trendline which is the average of the (200-day high anda 150-day SMA). Or, is that line rising or falling? Is the market aboveits 200 day SMA? The VL 4% rule might be good. Whatever. All you need is simple metrics which work pretty well most of the time---perfection is not needed.Just pick things which give very few signals per year---under 1, ideally.Then, much like QTAA, simply allocate 1/4 of your portfolio to eachof the four signals. If all are bullish, put all your money into thebullish blend. If three are bullish, put 75% of your money in thebullish blend and 25% in the bearish blend, etc.Since all the screens do well on average, your risk is modest,and you should benefit nicely on average. It doesn't really matterif the individual signals are right or wrong at any given time, aslong as they work passably well on average. You can't be whipsawed,since you're long at all times.This could be done with more than 4 signals, of course. The fraction ofyour portfolio in the bullish blend could be the percentage of bull/bearindicators among dozens whcih are bullish on your rebalance day.You could use 20 different crossovers or lookbacks that work on average,which means you can avoid the entire issue of [over]tuning for the best one.You could weight each subsignal by how good it is in backtest---the magitude of the gap between CAGR's during its bull and bear periods in the past---provided no individual signal is overtuned.Jim
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