A Market Short Strategy With a Positive Overall Return, a.k.a. Yieldy Put
I noticed that removing the 10d SPY EMA < MA signal improves CAGR w/o reducing MD. (10.6% --> 11.4%)
🤔 Perhaps this short-term momentum signal is often followed by mean reversion? So we don't necessarily want SPY trending down prior to holding SDS?
Yeah, that's indeed the case with the current(final) set-up. But if you try SH instead of SDS or a simpler approach without the Enter/Exit block, you will see the EMA crossover check helps to lower MD / Volatility.
I noticed that removing the 10d SPY EMA < MA signal improves CAGR w/o reducing MD. (10.6% --> 11.4%)
🤔 Perhaps this short-term momentum signal is often followed by mean reversion? So we don't necessarily want SPY trending down prior to holding SDS?
Yeah, that's indeed the case with the current(final) set-up. But if you try SH instead of SDS or a simpler approach without the Enter/Exit block, you will see the EMA crossover check helps to lower MD / Volatility.