Analysis: 9sig - quarterly rebalancing - optimal growth target
I am diving into the 9sig strategy, and seeing some fascinating results when changing the parameter
With above parameters being default for 9sig, I've run simulations on the synthesised data in order to find what was the optimal growth line.
And, surprise it's 9% .
With 100k invested in 1938 - you'd get the most with 9% target line
But it's not that simple, strangely if you start with 80/20 cash/TQQQ allocation, then 13% becomes the optimal growth target
The optimal growth target also seems to be dependent on parked cash interest.
In my case, parked cash pays up to 9% yearly interest, when parked for a quarter and in that case, 5% target becomes the most optimal
TQQQ was introduced in 2010, what if we have followed 9sig from that point?
We'd have insane gains, but we'd still not beat buy & hold
But by only changing the target from 9% to 13%
We would beat the buy-hold most of them time in history, while keeping lower drawdown rate
I am yet to fully explore other parameter variations, but wanted to share my findings early
