Last spring I analyzed 30-day returns and found no significant relationship between TOS and returns over the next 30 days–admittedly a very short period. Leaving aside perverse predictors (high fees are bad, high Sharpe Ratio is bad, high Annualized Return is bad), the data suggested that one should look at high 60-day returns, low correlation to the S&P 500, and longer strategy age.
Among strategies with at least a 30 C2 Score, the best predictor of performance over the last 30 days was subscription cost (Pearson correl. r=-.169). The lower the subscription cost (a month ago), the better the performance over the last 30 days.
The other significant predictors were:
• Log of (Annual Returns w Trading Costs +1): -.164; Higher annual returns as of a month ago did worse going forward 30 days
• Sharpe Ratio: -.140; Higher ratios did worse
• Annual Returns w/out fees: -.119; Higher returns did worse
• Last 60 days return: .118; Higher recent returns did BETTER going forward
• Correl. To SP500: -.117; Lower correlations did BETTER…
Among the most interesting insignificant results were:
• Longer strategy age had a positive coefficient on 30-day returns going forward (.042);
• Higher drawdowns had a tiny negative coefficient (-.009);
• Higher winning percentage had a tiny negative coefficient (-.009).In the regression models, which were confounded by high multicollinearity, longer strategy age (and its log) usually had a significant positive effect on returns, controlling for other variables.
