Although backtest includes an extraordinary black swan, 5 years data just isn't enough imo. Happy Thanksgiving to all!!
Thanks for the results but it doesn't look like they beat buy and hold with the exception of JPM, WMT. Hard to tell without sharpe ratio. It will be hard to forecast which stocks will continue to do well.
Comparing these back tests to buy and hold is not the right comparative measure to use here as most of the time there's no open trades in each instrument, these are individual stock back tests not portfolio level back tests, and I'm running the strategy with many trades always open on a portfolio level. I'm not trying to forecast what stocks will do well, just looking for high probability individual trade setups as described in my first few posts.
Yes you may be right although I haven't tested that, generally speaking low beta stocks have relatively more stable businesses and less downside risk than high beta stocks and with my strategy it's more about trying to avoid the big losses as the small wins will always trickle in.
That's exactly how the system is meant to function. I don't want to be investing in a down trending market. I'm considering inverse ETFs but haven't found anything I'm comfortable with at this time.
Fair enough, again up to each individual tastes if you don't mind sitting in cash for a long time, and yes I've tested inverse ETFs but there's no free lunch that I've discovered to completely wipe out equity volatility risk. There are some other filters you could try like when front month VIX futures go above second month and other things with VIX as it contains more predictive value than the SPX index itself, for example in the covid bear market the SPX bottomed out on the 23rd of March but VIX topped out on the 18th of March.