Subject: Re: Statistics for Nasdaq 100 monthly Momentum Screen
A few timing methods were applied to the backtest data in the spreadsheet.
As is typical, timing lowered the overall CAGR while moderating the huge drawdowns.
It seemed sensible to use QQQ as the underlying base. Particularly the "no new 99 day high in the last 99 days" rule. This wasn't all that great.
The best method turned out to be GTT timing, which is the 10 month SMA of the S&P500, gated by two FRED economic indexes.
The CAGR in most of these 10 year periods is slightly lower than the untimed version, but the decade 2000-2010 is now a positive return instead of a loss.
Nontheless there are still very large drawdowns in all the periods. The primary benefit of using timing at all with this screen is to avoid what happened in that period.
2/1/1985 - 12/1/2025 9/1/2006 - 12/1/2025
CAGR 22.4% CAGR 20.4%
Stdev 27.5% Stdev 22.2%
MaxDD(12) -52% MaxDD(12) -36%
Sortino 1.47 Sortino 1.59
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2/1/1985 - 2/1/1995
CAGR 21.5%
Stdev 25.2%
MaxDD(12) -36% 2/1/1990 - 2/1/2000
Sortino 1.42 CAGR 39.0%
Stdev 32.1%
MaxDD(12) -25%
2/1/1995 - 2/1/2005 Sortino 2.50
CAGR 29.2%
Stdev 37.8%
MaxDD(12) -52% 2/1/2000 - 2/1/2010
Sortino 1.51 CAGR 7.3%
Stdev 28.5%
MaxDD(12) -52%
2/1/2005 - 2/2/2015 Sortino 0.44
CAGR 20.9%
Stdev 19.6%
MaxDD(12) -22% 2/1/2010 - 2/3/2020
Sortino 1.73 CAGR 23.2%
Stdev 20.4%
MaxDD(12) -22%
2/2/2015 - 12/1/2025 Sortino 1.95
CAGR 18.5%
Stdev 24.4%
MaxDD(12) -36% 2/3/2020 - 12/1/2025
Sortino 1.36 CAGR 17.0%
Stdev 27.8%
MaxDD(12) -36%
Sortino 1.11