TRENDS v CASH

Page Summary: Back tests and comments on strategies compared to Cash in Local Currency

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Comment
Very easy for shares, easy for bonds and fair for forex. Shares benefit from bull market and exclusion of income. Bonds benefit from bull market. Forex has neither favourable bias.

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Comment
Fairer all round because income is included, but shares and bonds still benefit from bull markets. Nevertheless returns only under-performed Buy & Hold strategy by a modest amount.

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Buy & Sell Signals - Annual Capital Gains compared to Cash (1973/1998)
.

.	.	Extra	Number of	Reliability
.	..	Profits	Signals	of Signals
Asset Class	Strategy	(p.a.)	(p.a.)	(Odds)
.	.	.	.	.
Bonds	Liquidity	3.5%	1.7	95%
.	Momemtum	4.8%	1.3	100%
.	Seasonal	3.1%	2.0	74%
.	.	.	.	.
Forex	Liquidity	3.2%	0.2	88%
.	Momemtum	3.7%	1.4	88%
.	Seasonal	1.9%	2.0	63%
.	.	.	.	.
Shares	Liquidity	8.5%	1.3	90%
.	Momemtum	10.2%	1.6	92%
.	Seasonal	8.0%	2.0	60%

Styles	Liquidity	N/A	N/A	N/A
	Momemtum	9.5%	1.6	96%
	Seasonal	6.5%	2.0	77%

Buy & Sell Signals - Annual Total Returns compared to Cash (1973/1998)

.	.	Extra	Number of	Reliability
.	..	Profits	Signals	of Signals
Asset Class	Strategy	(p.a.)	(p.a.)	(Odds)
.	.	.	.	.
Bonds	Liquidity	4.1%	1.5	100%
.	Momemtum	5.5%	1.3	100%
.	Seasonal	3.1%	2.0	74%
.	.	.	.	.
Forex	Liquidity	1.0%	0.1	54%
.	Momemtum	1.5%	1.2	75%
.	Seasonal	2.2%	2.0	71%
.	.	.	.	.
Shares	Liquidity	4.0%	1.2	70%
.	Momemtum	4.7%	1.5	84%
.	Seasonal	8.0%	2.0	60%