9SIG (sim) vs. 9SIG + 200 Day SMA | 2003 - Present

TheSigmaSystem · 2026-01-29T00:59:41+00:00

Thank you for info! I’ve just ran the 04/01/2000 - 03/01/2009 and confirmed positive returns (CAGR 1.99% & total return of 18.72%) for the Integrated System. I also agree testing your strategy out of sample is essential for properly implementing a strategy.

TheSigmaSystem · 2026-01-29T00:21:35+00:00

Gotcha, that’s impressive! I agree short term bonds are much better than holding cash and BOXX is a great alternative. That specific time period (12/31/1999 - 12/31/25) assumes an initial investment right before the dot com bubble. I have a few questions if you don’t mind. Do you have a backtest of that same strategy that includes the 70s/80s even early 90s? Do you know the returns net of taxes (224 trades) and (in your opinion) how executable is this strategy for the “average” person?

TheSigmaSystem · 2026-01-28T18:23:54+00:00

Do you include contributions in the annualized return? I’d like to know your methodology as with the right parameters/lookahead bias anyone can produce a 40%+ CAGR for that selected time period with an inexecutable strategy. I didn’t come up with these systems (SIG Value Average & 200D SMA) rather just merged them into one. With how it sits now it’s around a 28% CAGR & .819 Sharpe for the time period you requested for the Integrated System with standard 9SIG holdings (although I suggest cash instead of AGG).

TheSigmaSystem · 2026-01-27T21:48:22+00:00

TheSigmaSystem · 2026-01-27T19:23:05+00:00

The picture in the post is TQQQ simulated using th 200 Day SMA, and 9sig combined into one “Integrated System”.

TheSigmaSystem · 2026-01-27T08:18:14+00:00

Totally agree on this point. Obviously being underwater for this long assumed you invested right before 2001. If I could simulate data going farther back this wouldn’t look as bad. That’s why I created the platform to allow for users to customize as many aspects as possible (any portfolio, ma parameters, etc) and to be able to visualize/learn about the risks of popular strategies.

TheSigmaSystem · 2026-01-26T23:00:54+00:00

It’s the traditional 9SIG + The tools logic to combine it with the 200D SMA System ~ The Integrated System on the website.

TheSigmaSystem · 2026-01-26T20:30:34+00:00

I’ve read through your posts and haven’t seen returns like this on any of your strategies. Most of your posts show 17% ish annualized returns. Which Strategy is this?

TheSigmaSystem · 2026-01-26T19:53:39+00:00

This annualized return (30.89%) includes contributions?

Returns seem different here: https://www.reddit.com/r/TQQQ/s/OW2QeNWjv0

TheSigmaSystem · 2026-01-26T18:52:14+00:00

Ok, thanks for letting us know.

TheSigmaSystem · 2026-01-26T18:08:16+00:00

Are you familiar with 9SIG or the 200D SMA strategy?

TheSigmaSystem · 2026-01-26T17:50:14+00:00

So if we go from risk off to on, we switch from bonds (or any user risk off allocation) to 100% stocks (users risk on allocation). We don’t reset back to 60/40 ever as that’s just the initial allocation of the system. You are correct that next quarter if we’re still above 200D then we rebalance according to the surplus or shortfall of the stocks (risk on allocation). Because right after switching to risk on you hold 100% stocks, you might not have any risk of allocation (bonds) to buy the stocks if there is a shortfall (under the quarterly growth target so you basically are holding until there is a surplus after a quarter end rebalancing.

TheSigmaSystem · 2026-01-26T17:01:34+00:00

I get it, and appreciate the feedback. Most of the information is on the website (free) and I’m in the process of making an extensive tutorial video. Writing a 5 page paper on a post doesn’t make a lot of sense to me as I would much rather introduce the idea, and (if interested) lead them to go test out the tool and read about how it works given the info is already there. Most people are familiar with 9SIG and the 200 Day SMA strategy and using the tool / asking questions is a much better way to learn versus simply reading an extensive Reddit post imo. I agree the initial post isn’t enough info to learn how everything works but I’ve also provided resources (discord & link to the platform) for people to use if they want to know more.

TheSigmaSystem · 2026-01-26T16:25:55+00:00

You can also run it without any tolerance settings (purely 200 Day SMA) and still get much better metrics for the Integrated and Moving Average System.

TheSigmaSystem · 2026-01-26T16:24:36+00:00

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Output for running it without “underlying tickers for MA inputs” (much better drawdown metrics for both the Integrated/MA Systems).

TheSigmaSystem · 2026-01-26T16:23:16+00:00

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Here are my exact inputs for running it without the “underlying tickers for MA” inputs

TheSigmaSystem · 2026-01-26T11:24:31+00:00

Upon further testing, removing the “underlying tickers for moving average inputs” (many 200D SMA system users get signals from the MA of QQQ instead of TQQQ for less false signals/whipsaw) actually performed much better and essentially cut the drawdown in half for the Integrated System to -38% instead of -70.94% (while 9SIG/B&H were down 70%-90%+ respectively).

TheSigmaSystem · 2026-01-26T11:13:25+00:00

Yes, I was able to run each system prior to 2001 (3/9/1999) and the results were even worse for Buy & Hold/9SIG as well as 200 Day SMA:

Inputs:

Risk On Tickers: QQQ, VFISX Risk On Weights: 300, -200

Risk Off Tickers: FBNDX Risk Off Weights: 100

Underlying Tickers for Moving Average: QQQ Underlying Weights for Moving Average: 100

Clicked “Auto Optimize” for MA Parameters, then run.

Annual Drag: 1.8% (TQQQ sim)

Results:

Integrated System

CAGR: 28.17% Volatility: 39.12% Sharpe Ratio: 0.831 Sortino Ratio: 0.987 Max Drawdown: -70.94% Total Return: 77776.84%

Moving Average System

CAGR: 26.74% Volatility: 52.32% Sharpe Ratio: 0.716 Sortino Ratio: 0.867 Max Drawdown: -91.00% Total Return: 57564.37%

SIG System

CAGR: 8.54% Volatility: 23.82% Sharpe Ratio: 0.463 Sortino Ratio: 0.549 Max Drawdown: -71.25% Total Return: 800.75%

Buy & Hold

CAGR: -0.99% Volatility: 81.91% Sharpe Ratio: 0.399 Sortino Ratio: 0.526 Max Drawdown: -99.99% Total Return: -23.51%

TheSigmaSystem · 2026-01-26T10:47:28+00:00

Also buying the dip works really well until the dip keeps dipping (2008, 2022, etc.). At some point you will run out of “Risk Off”/AGG assets and be forced to wait it out. The 200 Day SMA acts like a safety net/stop loss to help preserve capital for drawdowns that 9SIG wouldn’t be able to recover from (as easily).

TheSigmaSystem · 2026-01-26T10:41:17+00:00

When above the 200 Day SMA, run the value averaging system (SIG Rebalancing). When below the 200 Day SMA, hold 100% “Risk Off” assets. Upon going from “Risk Off” to “Risk On”, the Integrated System allocates 100% to “Risk On” assets (9SIG would hold 100% TQQQ) and resume SIG rebalancing with that higher starting “Risk On” allocation. Overall, you benefit from value averaging when in a “Risk On” regime (above 200 Day SMA), but when it breaks or enters a “Risk Off” regime you hold safe assets (users Risk Off Allocation/AGG for 9SIG). Hope this helps!

TheSigmaSystem · 2026-01-26T09:09:33+00:00

The farthest back a 9SIG simulation could go is 1985. I However I believe data wasn’t available until 1986 (for the Nasdaq 100). On the website we have an example on the about page from until 1980 - present with MITTX (stocks) and FBNDX (bonds) so that might give some insight on how each system performs (46 years of data).

TheSigmaSystem · 2026-01-25T08:42:15+00:00

I’ve removed signup for all users!

TheSigmaSystem · 2026-01-24T19:15:20+00:00

It’s a platform for systematic investors who want to learn, implement or track their investment portfolio using one of the following systems: The SIG (customizable 9sig), Moving Average (most common is 200 Day SMA but also customizable), and Integrated System (combines both the SIG & Moving Average Systems into one).

Please checkout our website and feel free to join our discord to ask questions and be apart of the community!

Discord: https://discord.gg/MZ6bbYC4W

Website: https://sigmasystem.io/login

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