2010 SS123 DIM’s Moose
2010 SS123 DIM’s MooseV1.2Dan I Micsa, PhD, dan@, Inspired by the Bill Dirlam’s incredible Decision Moose ( )with a return north of 35% for the analyzed 01/2005-01/2010. I decide to have my take over asset rotation problem to see If is hope to come near his spectacular results. I played for a couple of days with various asset sorting criterions and asset universes and I arrived with a new trading system with low turnover (around 500%) and decent annual returns (CAGR). I called it DIM’s Moose.Planning to have the same kind of turnover around 500% and same kind of returns or better > 35% with a reasonable DD invested in ETFs only Bull and a not leveraged like DecisionMoose. I used the screener at for backtesting and it doesn’t report more evolved quality metrics (Sharpe, Sortino, Ulcer) unfortunately and I didn’t bother to compute them separately too for my incipient experiments in this area. So we have to live with CAGR, Turnover and the shape of the return VS SP500 I will invent a max drawdown too just to don’t feel so alone.I decided to investigate holding Brazil (EWZ) or DIM’s Moose with and without a bear market detection (BMD). Choosing Brazil was crystal balling I knew before that this asset will outperform the rest and use it as a more fearful benchmark than SP500 for these 5 years. My DIM’s Moose didn’t use any information about the future!BMD is done using my previous research in creating a decent BMD for equity: Unified Broad Equity ETF Timing.docxAnd here are my findings:Brazil (EWZ) no BMDMaxDD = 80%CAGR = 35%Turnover = 20%Live threatening drawdown!Brazil (EWZ) with BMD:MaxDD = 35%CAGR = 50%Turnover = 100%Way Better with BMD, quite spectacular for 100% turnover to bad is crystal balled! DIM’s Moose no BMD:MaxDD = 35%CAGR = 65%Turnover = 500%This 65% annual return looks like a mighty return for this so low turnover!DIM’s Moose with BMD:MaxDD = 35%CAGR = 50%Turnover = 500%Very similar with EWZ with.Still an incredible result that should not be discarded. This BMD enabled strategy can potentially outperform the non timed one.In conclusion both the BMD and non BMD flavor looks very promising.??? ................
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