Subject: Re: Variations on 52 wk momentum screen in Nasdaq100
Part 2 of 2
This is the same as the previous set of backtests, but a date range
that does not have a boom nor a bust.
This is arguably the results you should expect to get.
From 2002-01-03 to 2020-01-03
As reported below, the various slightly different parameters give
these CAGR results:
15.7% Original
14.8% Do not rebalance
17.6% Do not rebalance and do not use BCC timing
16.0% Use RS instead of TR (no timing)
16.6% Add HTD 12 (no timing)
18.6% Change RS to "price in 52 week range" (no timing) HTD 12
7.9% S&P 500 total return with 18.5% Volatility
10.3% QQQ total return with 21.9% Volatility
Original screen
https://gtr1.net/2013/?s200201...
15.7 15.3 14.9 15.4 16.6 15.0 14.9 15.5 15.0 15.8 15.7 16.5 15.8 16.7 15.5 16.2 16.1 16.0 15.7 14.5 15.5 16.2
20.8 20.7 21.0 21.0 20.9 20.8 20.9 20.5 20.2 20.6 20.9 20.9 21.1 20.9 21.1 20.7 20.7 20.7 20.6 20.8 20.9 21.0
4.5 4.6 4.5 4.5 4.5 4.6 4.6 4.5 4.5 4.5 4.5 4.6 4.6 4.5 4.5 4.5 4.5 4.5 4.5 4.5 4.5 4.5
Never rebalance
https://gtr1.net/2013/?s200201...
14.8 12.7 12.4 13.4 14.6 13.4 14.1 15.0 14.3 15.5 15.9 16.7 15.7 16.7 15.7 15.0 15.6 15.3 15.2 14.2 14.5 13.7
20.6 20.6 20.6 20.8 20.8 20.8 21.0 20.3 20.2 20.4 20.6 20.6 20.7 20.6 20.8 20.2 20.4 20.3 20.1 20.4 20.6 20.8
3.1 3.2 3.2 3.2 3.3 3.3 3.3 3.1 3.1 3.2 3.1 3.2 3.2 3.0 3.0 3.0 3.1 3.0 2.9 3.0 2.9 3.0
No rebalance and no BCC
https://gtr1.net/2013/?s200201...
17.6 16.5 16.8 17.7 18.2 17.3 17.3 18.0 18.5 18.1 17.5 18.8 17.5 18.2 16.7 17.5 18.1 18.3 18.0 16.2 17.4 17.4
26.1 26.1 26.5 27.1 27.0 26.3 26.0 25.8 25.5 25.9 25.8 25.5 26.2 25.9 26.7 25.6 26.2 26.1 25.7 26.2 26.1 26.4
3.0 3.0 3.0 3.0 3.0 3.1 3.0 3.0 3.0 3.0 3.0 3.0 3.0 3.0 2.9 3.0 3.0 3.0 3.0 3.0 3.0 3.0
Change from TR to RRS
https://gtr1.net/2013/?s200201...
16.0 15.2 15.3 15.2 15.7 15.8 16.0 15.7 15.2 15.5 15.8 16.7 17.1 16.8 16.3 15.7 16.0 16.5 16.6 16.5 16.3 17.0
26.8 26.4 26.8 26.8 26.7 26.6 26.4 26.9 27.4 27.5 27.1 27.4 27.4 27.0 26.8 26.7 26.2 26.2 26.5 26.4 26.6 26.3
2.1 2.1 2.1 2.1 2.0 2.0 2.0 2.0 2.1 2.0 2.1 2.1 2.1 2.1 2.1 2.1 2.1 2.0 2.0 2.0 2.0 2.0
Adding "HTD 12"
https://gtr1.net/2013/?s200201...
16.6 15.8 17.1 16.7 17.9 17.8 15.3 15.2 15.1 15.0 15.6 16.9 16.3 16.4 16.4 16.0 15.7 18.6 18.0 17.9 17.8 17.0
26.7 26.8 27.1 26.9 27.1 26.5 26.3 26.0 26.6 26.4 26.6 26.8 26.9 26.6 27.3 27.0 26.5 26.3 26.6 26.7 26.9 27.0
1.8 1.8 1.8 1.7 1.7 1.7 1.7 1.7 1.7 1.8 1.8 1.8 1.8 1.8 1.8 1.8 1.8 1.7 1.7 1.8 1.8 1.8
Ranked by current price vs. 52 week range. Also HTD 12
https://gtr1.net/2013/?s200201...
18.6 21.2 19.6 19.4 18.6 16.9 17.5 18.8 18.2 18.7 18.4 17.4 17.1 17.0 16.6 17.2 18.6 19.3 19.7 19.1 20.4 20.4
25.1 25.3 25.2 25.5 25.0 25.6 25.4 25.4 25.4 25.5 25.3 25.4 25.3 24.7 24.4 24.4 24.6 24.2 24.7 25.3 25.4 25.5
3.2 3.2 3.3 3.3 3.3 3.2 3.3 3.2 3.2 3.3 3.1 3.2 3.2 3.2 3.3 3.3 3.2 3.2 3.3 3.2 3.2 3.3
For this last screen, the daily closing price data was put into an Excel
spreadsheet and weekly timing statistics were run. The timing sell
signal was whenever QQQ was -2% below the 43 week SMA. Buy was when
QQQ was at or above the SMA.
AVG is the average of the 21 cycles, LOW is the cycle with the lowest CAGR
1/3/2002 to 1/3/2020
Untimed Timed
avg low avg low
18.9% 17.8% <-CAGR -> 22.4% 21.5%
26% 26% <-STDEV-> 22% 22%