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 (14) |
Author: musselmant ✭  😊 😞
Number: of 5384 
Subject: Re: study of top 10 52wk mom stocks in Nasdaq100
Date: 02/23/26 8:06 PM
Post New | Post Reply | Report Post | Recommend It!
No. of Recommendations: 5
There may be a simple, ideal timing rule that maximizes CAGR and gets you less volatility
than an index fund. Doubling indices with higher sharpe and less beta than the S&P with smaller drawdown than the S&P.

19850201-20251128 monthly trading, .1 spread

S&P500  v. strategy v. strategy timed  v. nasdaq100  v. timing using 1 rule SPY>SMA325days
cagr 12.5   24.2        25.18              11.46           22.98
gsd  20     35.2        31.77              27.34           28.85
ldd  13     20.1        18.05              17.27           15.75
mdd -59.7  -73.88      -60.18             -80.85          -48.67
ui   10     23.48       17.5               27.39           11.8
shp   .57     .77         .84                .44             .81
beta  1.0    1.29        1.00               1.29             .81
ti   9.5    17.9        23.04               8.17           25.7
at    .87    7.9         4.15                .68            4.22
https://gtr1.net/2013/?h21f0.10000::nas100.a:et1:a...
Post New | Post Reply | Report Post | Recommend It!
Print the post
Unthreaded | Threaded | Whole Thread (14) |


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