Subject: Re: A similar screen
by buying the overlaps (averaging 2.4 stocks) only between the 9 month momentum top 5, and the top 5 of price/ (high price in last 9 months + low price in last 9 months), both using my suggested SPY>325 day SMA rule, you would have recovered from the worst crash since 1999 in 130 market days (-56%) and had a CAGR of
Post-1999 summary:
Series CAGR MDD Sharpe Beta vs SPY UI mDD recovery delay
Overlap-only 28.4% -57.0% 0.87 0.82 15.6 130days
Timing rule would have kept you out of the market in 2000 and 2001, and drawdown in 2008 was -20% and it would have taken 736 market days to recover compared to 888 for SPY.