Appreciate the complete transparency in publishing live. But looking at the numbers—+10.5% for the system versus +29.9% for buy-and-hold across these flips—really highlights the heavy drag of frequent trading.
Curious if stretching this to a weekly-based strategy would better filter out the chop, reduce turnover, and capture a cleaner trajectory without sacrificing performance.
When zooming out historically, do these shorter-duration signals actually outperform buy-and-hold over a full multi-year cycle, or does the trend-following tax on whipsaw days typically eat the alpha?
Let me widen this out to 5 years, since that's a fairer test than either the short window or the full multi-decade history.
SPY: system +144.6% vs. buy-and-hold +74.3%, max drawdown -7.9% vs. -25.4%. Ahead on both.
GLD: system +157.3% vs. buy-and-hold +140.4%, max drawdown -29.0% vs. -26.4%. Ahead on return, roughly a wash on drawdown.
BTC: system +11.9% vs. buy-and-hold +96.9%, with 369 flips over 5 years. Return badly lags here — but the max drawdown is genuinely better, -58.8% vs. -76.6%. So the system did protect against BTC's worst stretch over this period; it just gave up a lot of upside doing it, which is exactly the turnover cost you're pointing at.
I'm doing what I believe has a reasonable edge, built around my own read of how to balance return against drawdown across these three. Can it be improved? Certainly. I'd guess almost any fixed rule set can be tuned to look better on a specific historical window if you optimize hard enough for it. I just don't think that's the same as it actually being better going forward, and I'd rather publish something I believe is robust than something that's been shaped to fit the past. That's the trade-off I'm making, and it's a reasonable position to disagree with.
I'll also say plainly: I'm just sharing what I've built and what I run myself, not presenting it as the best possible approach for anyone reading. There may well be other services out there built specifically around lower-turnover or trend-following approaches that fit what you're looking for better, particularly for BTC. Worth exploring if this isn't the right fit for your goals.
Appreciate the complete transparency in publishing live. But looking at the numbers—+10.5% for the system versus +29.9% for buy-and-hold across these flips—really highlights the heavy drag of frequent trading.
Curious if stretching this to a weekly-based strategy would better filter out the chop, reduce turnover, and capture a cleaner trajectory without sacrificing performance.
When zooming out historically, do these shorter-duration signals actually outperform buy-and-hold over a full multi-year cycle, or does the trend-following tax on whipsaw days typically eat the alpha?
Let me widen this out to 5 years, since that's a fairer test than either the short window or the full multi-decade history.
SPY: system +144.6% vs. buy-and-hold +74.3%, max drawdown -7.9% vs. -25.4%. Ahead on both.
GLD: system +157.3% vs. buy-and-hold +140.4%, max drawdown -29.0% vs. -26.4%. Ahead on return, roughly a wash on drawdown.
BTC: system +11.9% vs. buy-and-hold +96.9%, with 369 flips over 5 years. Return badly lags here — but the max drawdown is genuinely better, -58.8% vs. -76.6%. So the system did protect against BTC's worst stretch over this period; it just gave up a lot of upside doing it, which is exactly the turnover cost you're pointing at.
I'm doing what I believe has a reasonable edge, built around my own read of how to balance return against drawdown across these three. Can it be improved? Certainly. I'd guess almost any fixed rule set can be tuned to look better on a specific historical window if you optimize hard enough for it. I just don't think that's the same as it actually being better going forward, and I'd rather publish something I believe is robust than something that's been shaped to fit the past. That's the trade-off I'm making, and it's a reasonable position to disagree with.
I'll also say plainly: I'm just sharing what I've built and what I run myself, not presenting it as the best possible approach for anyone reading. There may well be other services out there built specifically around lower-turnover or trend-following approaches that fit what you're looking for better, particularly for BTC. Worth exploring if this isn't the right fit for your goals.