Subject: Re: study of top 10 52wk mom stocks in Nasdaq100
10 stock top 52-week momentum of Nasdaq100 stocks with timing increases the CAGR, reduces the beta, increases the sharpe. You end up with over twice the S&P return with the S&P's beta and better Sharpe than the S&P with MDD less than .5% worse than the S&P's MDD. And likewise v. the Nasdaq100 more than twice the CAGR with less risk than QQQ.
19850201-20251128 monthly trading, .1 spread
S&P500 v. strategy v. strategy timed v. nasdaq100
cagr 12.5 24.2 25.18 11.46
gsd 20 35.2 31.77 27.34
ldd 13 20.1 18.05 17.27
mdd -59.7 -73.88 -60.18 -80.85
ui 10 23.48 17.5 27.39
shp .57 .77 .84 .44
beta 1.0 1.29 1.00 1.29
ti 9.5 17.9 23.04 8.17
at .87 7.9 4.15 .68
timing version one with 2 timing criteria:
https://gtr1.net/2013/?h21f0.1...
timing version 2 with 1 timing criteria:
https://gtr1.net/2013/?h21f0.1...