Core Combination w/ regime switch volatility ranks

Research
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Low volatility is great much of the time during rational or fearful markets. But during greedy markets when market is bouncing up hard - it really stinks. It is why momentum strategies are not great at the start of a market bounce as they have you in utilities and other low risk stocks.

So I took the core combination and equal-weighted all styles. Then I took volatility and made a timing switch. If the VIX is above 20 and dropping from what it was 20 days ago (think market bounce) it will prefer higher volatility. All other times it prefers lower volatility.

The downside is that you will have increased turnover and more drawdown as it won’t get it right 100% of the time. But it will also rotate you into stocks with more upside after the market drops significantly.

I made it public. Play around and come up with better versions and post them please.

The volatility switching core combo is on top and the older version on bottom. S&P 500 backtest weekly since 1999.

https://www.portfolio123.com/app/ranking-system/414312

core combo with volatility switch
core combo with volatility switch643×524 37.9 KB

old core combo
old core combo660×539 42.1 KB

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For the Price Volatility node, I’m seeing;

eval(close(0,$vix)<20 or close(0,$vix)>close(0,$vix),PctDev(252,1),1/PctDev(252,1))

The second comparison (i.e. close(0,$vix)>close(0,$vix)) looks like a typo.

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well that was mighty embarrassing. Thank you. Fixed now.