Subject: Re: NDX 100 Momentum Strategy - Code Repository
More trials on GTR1

10 months not much different than 12 month. More trading.
9 months _is_ better. 8 months not so good.

19990104 to 20251128 10HTD12 RS 252 (1 yr) 0.25% friction
https://gtr1.net/2013/?~Nasdaq...

I don't include bespoke timing; I would plan to go with my standard GTT timing for all screens.

CAGR
GSD(126)
AT

17.560192
35.628338
1.817837

RRS 210 (10 months)
17.636408
37.035995
2.176364

RRS 189 (9 months)
19.092081
37.258610
2.430941

RRS 168 (8 months)
17.069510
37.914265
2.754720

=====================================
Different date range 20100104 to 20251128

12 months
21.607655
28.880072
1.716184

10 months
22.244135
27.400618
2.047472

9 months
22.336863
27.766546
2.323382

8 months
20.890139
26.101719
2.656677