Bogle vs. Buffet vs. Dalio - Long-Term Investment Strategies Backtested over the last 20 Years

Hello Stock-pickers :)

I finally had the time to do something I wanted to do for a while: backtest and compare the most common long-term investment strategies with real market data.

The title is a bit of a joke, a bit true :) In fact I tested:

* 100% stock approach: just buy the market (Bogle's mantra)
* 80% stock + 20% bond as insurance (often associated with Warren Buffett’s advice for general investors)
* Ray Dalio's all-weather portfolio: stocks, bonds, commodities, gold (static)
* Ray Dalio's all-weather portfolio: stocks, bonds, commodities, gold *(actively rebalanced on trend switch using EMA-50)*

I think the results are kinda interesting:

* the 100% stock still wins in absolute terms of returns, but exposes the investors to 55% drawdowns and very long recovery periods
* the actively rebalanced all-weather porfolio (stocks/bonds/gold) looks more attractive if we consider the risk-adjusted returns, but most importantly offers more manageable drawdowns and faster recovery times

Here is a summarized table of the results:

|Strategy|Allocation|CAGR|$10K became|Volatility|Sharpe|Max DD|Recovery|
|:-|:-|:-|:-|:-|:-|:-|:-|
|100% SPY|SPY only|\+11.2%|$83,600|19.3%|0.58|\-55.2%|1,256d|
|80/20 + TLT|80% SPY / 20% TLT|\+10.1%|$68,500|14.2%|0.71|\-42.5%|694d|
|Diversified|50% SPY / 25% TLT / 15% DBC / 10% GLD|\+8.6%|$52,100|10.5%|0.82|\-32.0%|575d|
|Equal Weight|25% SPY / 25% TLT / 25% DBC / 25% GLD|\+7.7%|$44,100|10.1%|0.76|\-27.4%|685d|
|EMA-50 filter|Trend-switched|\+9.9%|$66,100|10.7%|**0.93**|\-31.2%|680d|

\*please note I used ETFs for gold, bonds and commodities, for simplicity \*dividend, taxes and fees are not accounted for

And here a detailed blog post if you wanna dig deeper into the methodology, the findings and the considerations about the rebalancing management: \[asking mods first\]

Thoughts? Should I test larger/different timeframes?