Strategy 9 with Equity Indices

Previously, we ran Strategy 9 with Dynamic Universe Selection for crypto. Results were a bit underwhelming. You could argue that given crypto’s negative utility, their long-term returns should tend to zero and trend-following is not magic that can turn a basket of -EV assets into a stable return stream.

Here, we put MSCI country equity indices through the same strategy. On the face of it, a Binary Long-only strategy has a higher Sharpe than buy & hold.

However, it’s drawdown doesn’t make it leverage friendly. So, you end up trailing buy & hold returns. The bigger problem is that when you look at yearly returns, it appears that something stopped working in 2009.

The backtest performance could be back loaded.

Once again, Strategy 9 fails us.

Code and charts are on github.