New algo !

Hello everyone,

I took advantage of some free time over the past few weekends to improve a few things in the algorithm being used. In particular, I was able to reduce the number of monthly changes (now down to 18–20% instead of 25%).
Moreover, the algorithm now exits the market completely when conditions are poor — for example, during most of 2008 and also in March–April 2020. It’s not perfect, as performance tends to be better when staying invested, but this significantly reduces volatility and drawdowns, and gives the flexibility to reinvest (or not) in response to good news — like the announcement of a COVID vaccine, for instance.

I will still provide the allocations, even if the algorithm suggests staying out of the market — everyone can make their own choice. However, performance will be calculated assuming a disinvested position, to remain as close as possible to the backtest results.

Here’s a chart for Europe, S&P 500, and World from before:

And here's a chart afterwards — you can see that the main improvement is in reduced volatility!

I've updated the various explanation pages — the previous versions are available here if you'd like to compare.

Feel free to share this newsletter!

Have a great day !

Samuel