In this article we analyze a simple investment strategy and consider potential issues that may impact its performance.
The strategy does not use any technical indicators other than the all-time high closing price and the drawdown level relative to it based on the daily low. This strategy is simple to execute and since 1993 it has outperformed the S&P 500 total return on a risk-adjusted returns basis. However, there are some potential issues that can adversely affect its performance.
Strategy details
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Disclaimer: No part of the analysis in this blog constitutes a trade recommendation. The past performance of any trading system or methodology is not necessarily indicative of future results. Read the full disclaimer here.
Charting program: Amibroker
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