No. of Recommendations: 2
Craig,
Nope, I thought my spreadsheet was wrong. But I was wrong, I was right.

Using the GTT sell rule always, just changing the buy rule,
It is better to buy according to the SMA rule (buy when current price is >= SMA), than to ignore timing when the economy is ok and buy regardless of the SMA.

The figures I gave the other day still hold.
GTT paper's buy rule:
Trades-> 74
9 <-Whipsaws
In % -> 87%
11.3% CAGR
10.9% Slope
-26% MaxDD
1.54 Sortino
13% stdev
When IN 13.0%
When OUT -1.2%

My rule, buy according to the SMA, regardless of ecomony:
Trades-> 58
8 <-Whipsaws
In % -> 84%
11.8% CAGR
11.5% Slope
-26% MaxDD
2.03 Sortino
12% stdev
When IN 14.1%
When OUT -3.9%


There's a lot more trades with the official GTT rule, which seems counterintuituve.
Upon examination, this is because there are a few times when we are OUT and then the economy metrics turn from bad to good. So we buy even though the SMA is negative.
This happened in Dec 1956. the SMA was bad and getting worse but the econ metrics were up, so it forced a buy several months before the market turned upward and the SMA became positive.

Then in 1957, the SMA turned negative on 8/16/57 but the econ metrics held up (thus forcing us to stay in) until 11/4/57 at which time they turned bad and _finally_ allowed a sell. Meanwhile, the S&P500 dropped from 45.83 to 40.37. A 12% loss.

This happened a number of times, where the GTT economy metrics forced us to stay in when the SMA signal wanted to sell, but was ignored. The difference in the "In %" shows that, 87% of the time vs. 84% of the time.

You can also see that the returns when IN are lower for the official rule. This is due to being forced to stay in when the SMA said to be OUT.
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