The interesting question is whether the signal adds information beyond simply buying and holding. Comparing the outcomes across different entry signals is a useful way to test whether the apparent edge is actually persistent or just a function of the starting point.
Good question — worth separating into two pieces, since we've actually tested both.
On the market-timing signal specifically: the Core-Plus Strategy backtest compares SPY-with-signal against plain buy-and-hold across three separate crash cycles — dotcom, 2008, and COVID — not just one window. The edge shows up in all three independently, which is the best evidence I have that it's not just an artifact of when the backtest happens to start.
On entry conditions for the stock ranks specifically: the QuantRanks deep dive tests exactly this — same rank, same stock, split by whether the market signal was favorable at entry. There's a real but modest gap (a few points, not a multiple), which is more honest than either "the signal doesn't matter" or "the signal is doing all the work."
The interesting question is whether the signal adds information beyond simply buying and holding. Comparing the outcomes across different entry signals is a useful way to test whether the apparent edge is actually persistent or just a function of the starting point.
Good question — worth separating into two pieces, since we've actually tested both.
On the market-timing signal specifically: the Core-Plus Strategy backtest compares SPY-with-signal against plain buy-and-hold across three separate crash cycles — dotcom, 2008, and COVID — not just one window. The edge shows up in all three independently, which is the best evidence I have that it's not just an artifact of when the backtest happens to start.
On entry conditions for the stock ranks specifically: the QuantRanks deep dive tests exactly this — same rank, same stock, split by whether the market signal was favorable at entry. There's a real but modest gap (a few points, not a multiple), which is more honest than either "the signal doesn't matter" or "the signal is doing all the work."
https://www.patalaportfolio.com/p/the-patala-core-plus-strategy-one?r=8m3v0c
https://www.patalaportfolio.com/p/quantranks-95000-stock-months-of?r=8m3v0c