Quant Investing

I believe this will be very true with my investing temperament. Even though I have individual stocks upto 40% down in my current portfolio, it will be difficult to digest and stay put when the whole portfolio is down >40%. And to keep executing the churns thrown out by the strategy for 5-10 quarters, will require loads of conviction. That is why I believe I should have a defined and practical drawdown management strategy, something non-discretionary, before investing using this strategy.

Regarding the two periods in the backtesting – please note Period 1 includes GFC of 2008 but excludes the 2020-21 bullrun, and Period 2 excludes at least one quarter of the 2008 GFC. (I think Trendlyne excludes a quarter if start date doesnot align with a month end). And the variations in benchmark returns vs portfolio return across the two periods suggests that this strategy can be highly successful in bull markets, but not so much when markets are low or stay flat. I agree it generally is above the index, but is it a practical strategy is my apprehension.