4 Comments

This will be an interesting backtest - Instead of price if we combine another factor like profitability (say reduce initial universe to stocks that have ROE > ROE.median). How does that impact drawdowns.

Been retail investor myself just freeing tests of survivorship bias has been a time consuming exercise. Getting fundamental historical data and then ensuring test is free of look-ahead bias will be even more time consuming.

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Seems to be a variant on the short term SMA as compared to the 200 DMA.

In this case specifically using “peak price” and returns so a more refined trend tracking filter.

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