No. of Recommendations: 1
RRS189 with 1-week hold is a lot better than RRS189 with 6-week hold.
But, interestingly, it doesn't really increase the number of trades much


What you say makes sense, but I'm getting the opposite conclusion from a GTR1 run, at least in the VL Tim=1 universe (all with 0.35% friction):

http://www.backtest.org/gtr1/h126f.35::tim.v:et1:rrs(0,189)t...
http://www.backtest.org/gtr1/h5f.35::tim.v:et1:rrs(0,189)tn5...
http://www.backtest.org/gtr1/h5f.35::tim.v:et1:rrs(0,189)tn5...

126d hold has avg CAGR/GSD 24.9/46.7 and avg annualized turnover 1.88
5d hold has avg CAGR/GSD 33.6/45.0 and avg annualized turnover 6.37
5d HTD 20 has avg CAGR/GSD 33.1/44.9 and avg annualized turnover 6.25

- Joe
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