Subject: Re: Statistics for Nasdaq 100 monthly Momentum Screen
Looks like gtt yielded a net **cost** relative to pure sma (15 month).
Am I reading that right, much greater draw down?

Basically, yes.

In a way, as Elan pointed out once, MaxDD can be misleading since it only is the ONE-TIME absolute worst datapoint. That could be just a once-time out-of-the-ordinary occurrence which doesn't give a picture of how things behaved overall.
What if the MaxDD was -57% while the next 10 worst were all -20%? Is that worse than a MaxDD of -33% while the next 10 worst were all -30%? Which would you call the better one?

The thing about huge drawdowns in a strategy that has good overall returns is that you might not be able to stand the pain and throw in the towel, and thus miss out for the subsequent huge gains.


I think the Sortino Ratio is a better risk metric, as it measures the combined downside excursions. The Sortino ratio measures the risk-adjusted return. I use 0% as the MAR. A Sortino ratio greater than 1 is generally considered good.

So Sortino of 1.79 vs. 1.52 -- and MaxDD -33% vs. -57% -- with only 0.2% lower CAGR is probably preferable.

Don't forget than there is a lot of false accuracy in these numbers. There is a large variance in the CAGR numbers with only 1 or 2 days difference in start date. So all reported CAGRs from, say, 20% to 24% are functionally the same.
But that's the reason that I used the GTR1 cycle with the lowest CAGR.