Trend following · daily rule · Real estate
Holy Grail on Crombie REIT
What the play says
Latest reading: ADX 21.41
CRR.UN with the play, last two years
Shading shows the play's call from the close that triggered it.
ADX (14)
Dashed line at 30.
Growth of C$10,000 since 2006
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding CRR.UN over exactly the same dates, after costs.
| Play, since 2006 | Hold, since 2006 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +1.3% | +8.8% | +2.9% | +3.3% |
| Total return | +29% | +448% | +15% | +17% |
| Worst drawdown | −20.0% | −56.2% | −4.2% | −31.1% |
| Volatility | 3.8% | 20.9% | 1.2% | 18.6% |
| Sharpe ratio | −0.07 | 0.43 | −0.73 | 0.06 |
| Time invested | 5% | 100% | ||
| Switches per year | 2.2 | 0 |
Every call, graded
Right on 17 of 44 closed calls (39%). In calls averaged −0.1%; out calls saw CRR.UN move +8.7% on average.
| Called | Call | Price | Until | CRR.UN moved | Result |
|---|---|---|---|---|---|
| Oct 31, 2024 | OUT | C$13.33 | now | +19.0% | open |
| Oct 16, 2024 | IN | C$13.90 | Oct 31, 2024 | −4.1% | ✕ wrong |
| Sep 2, 2021 | OUT | C$13.61 | Oct 16, 2024 | +2.1% | ✕ wrong |
| Jun 21, 2021 | IN | C$13.13 | Sep 2, 2021 | +3.7% | ✓ right |
| Jun 1, 2021 | OUT | C$12.68 | Jun 21, 2021 | +3.5% | ✕ wrong |
| May 14, 2021 | IN | C$12.43 | Jun 1, 2021 | +2.0% | ✓ right |
| Dec 22, 2020 | OUT | C$10.27 | May 14, 2021 | +21.1% | ✕ wrong |
| Dec 10, 2020 | IN | C$10.51 | Dec 22, 2020 | −2.3% | ✕ wrong |
| Aug 23, 2019 | OUT | C$10.28 | Dec 10, 2020 | +2.3% | ✕ wrong |
| Aug 7, 2019 | IN | C$10.48 | Aug 23, 2019 | −1.9% | ✕ wrong |
| Jun 20, 2019 | OUT | C$10.27 | Aug 7, 2019 | +2.0% | ✕ wrong |
| Jun 5, 2019 | IN | C$9.96 | Jun 20, 2019 | +3.1% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 12 of 45 calls shown.
How the play works
- In when, within 5 days of a pullback day, a close tops that day's high while ADX (14) is still above 30. A pullback day has ADX above 30, +DI above −DI, and a low at or below the 20-day EMA.
- Out on a close below the pullback day's low (the stop), or at or above the highest high of the 20 days before the pullback (the target).
ADX measures trend strength, and +DI above −DI says the trend is up. Descriptions of the setup ask for ADX above 30 with rising prices; reading that as +DI above −DI is Be The Puck's choice.
The 5-day entry window and the 20-day high used as the target are Be The Puck's choices. Neither number is published.
A 20-day exponential average, as most descriptions of Street Smarts use. Some write-ups use a simple one.
Raschke enters on a buy-stop during the day. Be The Puck waits for a close above the pullback day's high; that close may come on a day that also dips to the average. A close already at the target counts as no trade.
Be The Puck sells the whole position at the target.
Where the rules come from
The case against
Valeriy Zakamulin tested moving-average timing on up to 155 years of U.S. stock data and found no statistically significant edge in the second half of that record. The rules earned their keep in a few severe bear markets and lagged buy and hold for long stretches in between.