Hi, Shrewd!        Login  
Shrewd'm.com 
A merry & shrewd investing community
 Best Of MI | Best Of | Favourites & Replies | All Boards | Post of the Week! | How To Invest
Search MI
Shrewd'm.com Merry shrewd investors
Best Of MI | Best Of | Favourites & Replies | All Boards | Post of the Week! | How To Invest
Search MI

Investment Strategies / Mechanical Investing
Unthreaded | Threaded | Whole Thread (7) |
Author: musselmant ✭  😊 😞
Number: of 5384 
Subject: Re: warning about using AI in MI
Date: 03/31/26 7:19 AM
Post New | Post Reply | Report Post | Recommend It!
No. of Recommendations: 6
Yes, I'm using AI but to do calculations. The "top 1, 5, 10 1-year momentum stocks in the Nasdaq100 traded monthly, with a .1% spread" that I analyzed using Robbie's tester I am testing now. I'll have an extra year and more data later. Initially:
Average results across all 21 start dates to 1994; "timing" means out of the market when SPY is below SMA325:
Strategy	CAGR	Beta 	Sharpe	Sortino	Max DD	Max DD recovery	std dev	turnover Treynor
Untimed Top 1	32.7%	1.40	0.79	1.13	-80.1%	529 days	55.3%	9.26x	0.312
Untimed Top 5	22.0%	1.26	0.74	1.03	-77.1%	3826 days	35.1%	7.78x	0.208
Untimed Top 10	22.0%	1.21	0.80	1.10	-62.3%	1192 days	31.0%	6.66x	0.204
Timed Top 1	30.4%	0.91	0.79	1.02	-71.5%	385 days	48.3%	7.54x	0.418
Timed Top 5	22.4%	0.85	0.81	1.00	-53.2%	1868 days	30.9%	6.61x	0.295
Timed Top 10	21.3%	0.81	0.85	1.04	-42.5%	1867 days	27.1%	5.87x	0.285

Nasdaq100 had a 14 year period to reach a new high so timed strategy was 1/2 that with better MDD.

More later.

So yes I'm not saying AI is a waste of time, just you need to use it wisely.
Post New | Post Reply | Report Post | Recommend It!
Print the post
Unthreaded | Threaded | Whole Thread (7) |


Announcements
Mechanical Investing FAQ
Contact Shrewd'm
Contact the developer of these message boards.

Ticker or Board Name Author

Best Of MI | Best Of | Favourites & Replies | All Boards | Followed Shrewds