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2004issue C061-5

Rank rotation after a path split, then Robustness testing

Archive screens first split each path into up-draw and down-draw segments, then asked whether one-rank rotation helped the down-draw. Yearly switching, drawdown, and persistence were the later Robustness testing filters.

  • After a conventional 10 percent zigzag split, one-rank rotation mainly improved the down-draw segment rather than the already-strong up-draw segment across an eight-fund comparison.
  • A very small zigzag confirmation threshold can remove peak-and-trough delay, but a one-day action lag collapses the zero-lag path result toward the one-rank result on the same fund and decade.
  • In the eight-fund screen, one-rank rotation improved buy-and-hold on six funds with yearly switching below 63 and failed on two names above 63, with the same split in maximum-drawdown improvement.
  • Of 166 later specialty-firm funds screened for one-rank use, only five were judged good, and year-by-year diagnostics showed declining persistence in the later years of the sample.
Entries in this reading3 entries
Current trackMean reversion43 readingsRobustness testing58 readingsRank rotation76 readings

Split the path before judging rotation

A conventional 10 percent zigzag split divided each fund path into up-draw and down-draw segments. Across an eight-fund comparison, one-rank rotation mainly improved the down-draw segment rather than the already-strong up-draw segment.

A very small zigzag confirmation threshold can remove peak-and-trough delay, but adding a one-day action lag collapses the zero-lag path result toward the one-rank result on the same fund and decade.

Editorial: TradersWeek reads that down-draw focus as the Mean reversion question inside the same procedure, not as a hunt for extra upside on the up-draw.

One-rank versus zigzag on the down-draw

After a 10 percent zigzag path split, one-rank rotation lifts the down-draw annual return on every fund in the 1993–2003 FastTrack set, which is the first screen before yearly-switching and drawdown filters. Values are the DD Rtn% columns from the article’s eight-fund comparison table.
After a 10 percent zigzag path split, one-rank rotation lifts the down-draw annual return on every fund in the 1993–2003 FastTrack set, which is the first screen before yearly-switching and drawdown filters. Values are the DD Rtn% columns from the article’s eight-fund comparison table.FSPTX, FSRBX, FSPHX, FBIOX, RUT-I, DFSCX, OGEAX, DJ-30 · 1993–2003 · 1993-01-01T00:00:00.000Z to 2003-12-31T00:00:00.000Z

Zigzag filter fixed at 10 percent. One-rank is applied only on the isolated down-draw segment. OGEAX is the poor-switching contrast case.

Yearly switching and drawdown

In that eight-fund screen, one-rank rotation improved buy-and-hold on six funds whose yearly switching rate was below 63, and failed on the two names whose switching rate exceeded 63.

The same six funds also showed a large maximum-drawdown improvement, while the two high-switching names were nearly unaffected or worse on drawdown.

A 200-fund, 10-year one-rank screen found that maximum drawdown stayed low when yearly switching stayed low, with value names generally showing lower drawdown than growth names at a given switching rate.

Across that value-versus-growth comparison, value names offered the better one-rank tradeoff of drawdown against return, while growth names combined higher annualized return with higher volatility.

Editorial: Robustness testing in this workflow is that switching, drawdown, and persistence screen, not a search for more upside.

Separate regions, later screens, and persistence

Applying one-rank separately to up-draw and down-draw regions raised buy-and-hold annualized return and Ulcer Performance Index while reducing down-draws and maximum drawdown.

Of 166 later specialty-firm funds screened for one-rank use, only five were judged good, and just two combined strong annualized return with strong drawdown control.

Year-by-year one-rank diagnostics on a sector fund and the Dow industrials showed declining persistence, making viable rotation candidates harder to find in the later years of the sample.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
11 of 36 in the Mean reversion track
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All readings on this track · 36 readings
  1. 1986A futures fade as one range, order, and secrecy procedure
  2. 1992Constructing the mass-index range-reversal procedure
  3. 1993Switch trend following and mean reversion with an equity-curve filter
  4. 1994Evaluating weekly trend-following and mean-reversion timing rules
  5. 1996Dual-horizon bands for a precious-metals cash switch
  6. 1997Constructing a moving regression oscillator
  7. 1997Regime-dependent long and short rules in mechanical systems
  8. 2002A same-session pair book with a morning-fixed volatility envelope
  9. 2004Combining noncorrelated trend and reversion systems
  10. 2004Failed-breakout overlays on trending markets
  11. 2004Rank rotation after a path split, then Robustness testing
  12. 2004Range-bound tape as a filter for trend and oscillator rules
  13. 2005A moving-average short pullback that is only in scope in a decline
  14. 2006Constructing an adaptive price zone from a double-smoothed range
  15. 2007Two-period relative strength index versus a one-week universe baseline
  16. 2008Building ETF mean-reversion entries with a two-bar washout
  17. 2008Rebuild a short-period stochastic as a premier stochastic oscillator
  18. 2008A three-market regime map for equity bounces and dollar cycles
  19. 2009Option trade adjustment as one testable procedure
  20. 2010Implied volatility as a May 2010 market-regime lab for the S&P 500
  21. 2011Treat a large one-day move as a classified event
  22. 2011Long-call exits, volatility regimes, and spread assignment
  23. 2011Pairing same-horizon oscillators with a walk filter
  24. 2012Two-bar band extreme entries with trailing stops
  25. 2012An eight-month average as a monthly gate for high-yield bonds
  26. 2014Complete the checklist before the trade
  27. 2014Coded rules should face one test, not a kinder sample
  28. 2015Build a mean-reversion basket from one correlation path
  29. 2015Index dip reversion is horizon and regime dependent
  30. 2016Treat the end of a trend as a handoff, not a broken system
  31. 2017A testable half-swing pullback for trend continuation
  32. 2017Evaluating four swing detection rules for mean reversion
  33. 2018Intraday breakout and mean reversion as one rule set
  34. 2018Evaluating rare consecutive-close mean-reversion entries
  35. 2020Moving-average baselines, price vetoes, and mean reversion
  36. 2020Two-dimensional FX scaling for trend and reversal systems
By fieldTrend and mean reversion93 readingsBy year2004107 readings
All 43 readings tagged Mean reversion
Also on Mean reversion5 readings
1986A futures fade as one range, order, and secrecy procedure1992Constructing the mass-index range-reversal procedure1993Switch trend following and mean reversion with an equity-curve filter1994Evaluating weekly trend-following and mean-reversion timing rules1996Dual-horizon bands for a precious-metals cash switch