(see @Epi )
The TIPS indicator is extremely positive, but the S&P 500 is clearly below its SMA.
This makes the first month with this strategy the worst since 2000, nice.
Previously the maximum drawdown was -18.9%, now it is just over -20%.
I have already warned that the strategy may not be as robust as expected, but I will continue to stick with it. I have also experimented a bit to limit the drawdown (e.g. selling at -15% within a month directly in the month and not at the end). However, this led to a significantly worse performance, as it was surprisingly often the case that the index was higher at the end of the month.
I probably have a few more months now (on average SPYTIPS is 3.88 months out of the market), maybe I can think of something else.
Here are the general stats again:
CAGR: between 16-18%pa (with money market funds)
max drawdown: -20%
Beta vs SP500: 0.91
Alpha vs SP500: approx. 8%pa
Avg time in market: 5.96 months
Avg time out market: 3.88 months
Profit probability of an in market period: 79%
Avg profit in an in market period: 15%
the money now goes into $XEON (-0%)