I've been backtesting these strategies for a while. Larry Connors with his team popularized them in early 2010s. I believe they got crowded (Larry also had a software subscription for generating signals/compiling portfolios) for some time and their performance dropped sharply.
They are also pretty hard to trade from a psychological standpoint - your 3 months gains evaporate in a week in time of increased volatility and market drop. This is not evident from the performance charts over 20+ years :)
Any way, thanks for the article! It's great to see quite similar backtest results on the same data, but with different software framework.
There's a new development to this idea... I'll share earlier than next Saturday (potentially today)
I've been backtesting these strategies for a while. Larry Connors with his team popularized them in early 2010s. I believe they got crowded (Larry also had a software subscription for generating signals/compiling portfolios) for some time and their performance dropped sharply.
They are also pretty hard to trade from a psychological standpoint - your 3 months gains evaporate in a week in time of increased volatility and market drop. This is not evident from the performance charts over 20+ years :)
Any way, thanks for the article! It's great to see quite similar backtest results on the same data, but with different software framework.