"Asking Claude to Compete (in Limited Fashion) with SACEMs" asks Claude to form a strategy using the asset universe of the Simple Asset Class ETF Momentum Strategy (SACEMS), while considering both simplicity and avoidance of overfitting. What happens if we relax those considerations? To investigate, we augment the original prompt by following up with:
Does your response change if I relax considerations for simplicity and avoidance of overfitting?
Instructions to start portfolios at the end of February 2007 and stop them at the end of September 2026 still hold, along with focus on compound annual growth rate (CAGR), annual Sharpe ratio and maximum drawdown (MaxDD) as key performance metrics.
Using the SACEMS dividend-adjusted asset class ETF price dataset and Claude's response to this additional prompt, we find that:
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