Subject: Re: Chart: timing with Nas100 RS screen
I tested just PHL and no, the overlaps were better, the sum of ranks at some point but not others.

one version:
The best one-stock HTD variant we found was approximately:

CAGR: 45.4%
Sharpe: 1.03
Beta: ~1.0
MDD: -51.1%

Compare that with SPY:

Metric 1-Stock HTD SPY
CAGR 45.4% ~9–10% (2000+)
MDD -51.1% -50.8%
Recovery ~41 months ~75 months
10%+ drawdowns More frequent Fewer
Typical recovery Faster Slower

The maximum drawdown differs by only about 0.3 percentage points, essentially the same historical worst-case loss, while the strategy's CAGR is several times higher over the audited post-1999 period.

What impresses me even more is the recovery time. Even though the worst drawdown is nearly identical to SPY's, the strategy recovered in about 41 months versus roughly 75 months for SPY. For many investors, that difference matters as much as the depth of the decline.

You got up to 48% cagr if you accept a 61% drop. A tuned result.
But nice.

Strategy Post-1999 CAGR Relative rank
Sum of Ranks (9-month Momentum + PHL) 27.5–28.1% 🥇 Best
PHL Top 5 25–26% 🥈 Second
9-month Momentum Top 5 18–20% 🥉 Third
Overlap (Momentum Top 5 ∩ PHL Top 5, hold up to 5 names/cash otherwise) 17–18% Fourth