Strategy Central

[capt_jmj]

Jim, my first post to you, so "Hello"...

Your ideas are very intriguing. I think I actually did something along these lines when in looking at the *shape* of the 20 year returns, I noticed that they appeared to take a marked upturn about 6 years ago and have been relatively linear since, and hence the current linear regression trendline on the total returns chart only goes back to July 00. However, as the market changes its character over time, it does not necessarily hold that the current trendline would continue forever, and might require adjustment. In fact, since we have been below the trendline for much of the current year, one might begin to worry if that sea change has already taken place. If I am interpreting your concept correctly, basically you are suggesting that the trendline be dynamically adapted for moving 5 year periods based on what the market has actually done, and reoptimize the settings to give the greatest returns over each of those periods. Might be a little tricky to get set up properly, but probably doable. I haven't found much that can't be done with Excel when you set your mind to it.