No. of Recommendations: 2
Here is a test to illustrate what I mean regarding weekly granularity. This examines granularities from one week to eleven weeks.
Granularity, Value   CAGR    GSD   Sharpe  Ulcer Index  Drawdown
1 32.21% 30.42 1.04 8.65% -28.69%
2 21.92% 29.64 0.75 10.02% -31.94%
3 28.94% 30.46 0.95 12.99% -41.95%
4 20.65% 30.07 0.7 10.21% -35.70%
5 20.51% 30.39 0.7 11.69% -37.04%
6 26.44% 31.44 0.86 12.24% -35.70%
7 23.19% 29.46 0.79 12.47% -38.02%
8 25.35% 32.43 0.81 11.65% -35.70%
9 20.33% 31.72 0.67 12.74% -36.50%
10 19.02% 32.21 0.63 17.04% -49.40%
11 19.43% 30.41 0.66 15.68% -39.96%

It is most certainly not a smooth progression, and the drop after a one week granularity is pretty sharp.

NOTE: This is a test that is a perfect match with the DM site as to asset list, and does not use the FED indicator or any means for reducing whipsaw.

From this I conclude that the RtW strategy requires finer granularity. One month is simply too long between checks.
Print the post  

Announcements

What was Your Dumbest Investment?
Share it with us -- and learn from others' stories of flubs.
When Life Gives You Lemons
We all have had hardships and made poor decisions. The important thing is how we respond and grow. Read the story of a Fool who started from nothing, and looks to gain everything.
Contact Us
Contact Customer Service and other Fool departments here.
Work for Fools?
Winner of the Washingtonian great places to work, and Glassdoor #1 Company to Work For 2015! Have access to all of TMF's online and email products for FREE, and be paid for your contributions to TMF! Click the link and start your Fool career.