Subject: Re: Statistics for Nasdaq 100 monthly Momentum Screen
My chatgpt testing showed 9 month lock-back was best.
Also my SPY>325daySMA as timing rule helped on most metrics.
Hold til drop did not help (except if you only bought the #1 stock, in which case holding as long as it was in the top 5 helped).
Well, you gave me something to do on a lazy afternoon. ;-)
Good thing I have a spreadsheet all set up.
Dates 2/1/1985 to 11/28/2025
Top 10, no HTD, no timing
Stats for cycle 0 (not necesssarily the worst cycle)
189 day (9 month) lookback
CAGR 22.5%
Stdev 29.5%
MaxDD(12) -56%
Sortino 1.38
252 day (12 month) lookback
CAGR 24.3%
Stdev 30.6%
MaxDD(12) -63%
Sortino 1.44
------------------
Okay, the lowest cycle. For each.
189 day (9 month) lookback
CAGR 21.8%
Stdev 29.7%
MaxDD(12) -57%
Sortino 1.33
252 day (12 month) lookback
CAGR 23.2%
Stdev 30.7%
MaxDD(12) -69%
Sortino 1.37
====================================================
with TIMING
252 day (12 month) lookback, WITH various SMA lengths of the S&P500
lowest cycle
Note, this timing was done in the spreadsheet of the daily values
given by GTR1, and not in GTR1 itself.
The timing is applied at the end of each month, for the upcoming month.
43 week (10 month, 215 days) SMA
CAGR 20.0%
Stdev 23.9%
MaxDD(12) -38%
Sortino 1.61
52 week (12 month, 252 days) SMA
CAGR 22.8%
Stdev 26.1%
MaxDD(12) -33%
Sortino 1.79
65 week (15 month, 325 days) SMA
CAGR 23.3%
Stdev 26.7%
MaxDD(12) -33%
Sortino 1.70
-- and --
GTT timing (using 43 wk SMA)
CAGR 22.8%
Stdev 28.0%
MaxDD(12) -57%
Sortino 1.50
GTT timing (using 52 wk SMA)
CAGR 23.0%
Stdev 28.1%
MaxDD(12) -57%
Sortino 1.52
GTT timing (using 65 wk SMA)
CAGR 23.5%
Stdev 28.2%
MaxDD(12) -57%
Sortino 1.53
The way GTT timing works is by ignoring the SMA sell signal as long as
the two FRED indexes show the economy is doing okay.
But this might not be optimal for a very high volatility Momentum screen
such as this. A -33% drawdown is not as bad as a -57% drawdown.
==========================================================
About HTD ...
no HTD
CAGR 24.625883
GSD 37.881401
AT 3.075992
HTD12
CAGR 24.519554
GSD 38.160969
AT 2.464888
HTD13
CAGR 24.165035
GSD 37.885078
AT 2.258616
HTD15
CAGR 23.485237
GSD 37.780560
AT 1.968801
A small HTD reduces the turnover with little effect on the return.