The wheel is turning and you can't slow down
You can't let go and you can't hold on
You can't go back and you can't stand still
If the thunder don't get you then the lightning will
~Lyrics, The Wheel
By the end of last year, I had the new "add-on"
completed for the CMI 4.0. The Cheetum
Market Indicator 4.0 would now become the "MensaMonkey", the version
of a market timing method that would outperform the market and put some
serious distance between the five-year performance of a monkey created program
and the S&P500.
The "add-on' was a longer term signal generator that is
used as a hedge. It was intended to put the "brakes on" under specific market conditions. This would be
coupled with a trend-following system that was capable of out-performing the
market over the last few years. A
reduction in risk with a slight reduction in reward is a great trade-off when
playing both sides of the market.
As it turned out, the hedge I was looking for worked great,
but unfortunately these longer term "risk-on" signals overwhelmed
the short-term trend following signals, and as you can see the rest is history.
Looking back at my research, the limited data available for
construction of the longer term signal,
or hedge, seemed to be the culprit.
Haste makes waste, and some of the deadly trading system
"sins" listed in the previous post had re-surfaced. It's possible to
get away with using limited data for a while but eventually the weakness in the system is
exposed by the ebb and flow of the market. The 2012 market timing method (CMI 4.0), if
left alone, would have handled this years up-trend quite easily. This proves
that sometimes additions are really subtractions.
It ain't over 'till the fat monkey sings, but with a month to
go and eleven months of muted MensaMonkey performance, it is unlikely that the
final result will look much different than it does now.
