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A study of the detriments/benefits of the screen where you buy the top 10 or 5 or 1 1-year momentum Nasdaq100 stock(s) and hold for a month, then repeat.
First year and this year are partial; all other years the full year.
Even with a realistic spread you double the Nasdaq100 with the same drawdown risk except for 1 stock (which has a worse maximum drawdown).
I presented each year's results without the assumed spread. As you can see most years' CAGR beats the Nasdaq100's. Not a greater number of losing calendar years than the Nasdaq100 itself had.
The main negative to note is there would be MANY big drawdowns in MANY years but in those same years usually the strategy would make it back by year's end.

	nas100		10 stcks		5		1		10 stk	10 stk	5 stk	5 stk	1 stk	1 stk 
	cagr	mdd	cagr	mdd	cagr	mdd	cagr	mdd	worst	worst	worst	worst 	worst	worst
0% spread	11.5	-80.8	24.6	-71.5	27.8	-73.3	33.4	-89.9	23.96	-77	25.86	-77.8	29.5	
w .2 spread			23.9	-77.3	26.78	-77.5	32	-90.2	23.1	-77	24.1	-26.78	28.1	
feb 5 1985									ann'l cagr	drawdown	annl cagr	drawdown	annl cagr	drawdown
dec 31 85	10.112988	-12.092443	29.26	-15.1	44.1	-21.2	57	-33	17.7	-16.5	34.3	-27.4	24.6	-34.7
1986	5.258567	-3.083178	28.3	-23	40.6	-27.2	-10.4	-49.2	23.4	-27.8	34.8	-29.3	-23.6	-59.6
1987	-0.42071	-15.236847	52	-46	49	-52	99.7	-50.6	43.9	-49.5	34.1	-53.4	57.9	-53.5
1988	20.495609	-0.726449	25.4	-12.6	43.1	-16.2	83.3	-26	11.3	-14.4	30.1	-22.3	5	-41
1989	17.318949	-0.287927	61.9	-14.2	75.2	-18.9	76.8	-38	5.86	-17.2	62.1	-20.5	40.8	-43
1990	-8.810126	-23.355663	15.2	-36.3	10.2	-40.3	-10	-60.3	1	-38.4	-5	-48.7	-19.5	-67
1991	58.053272	-4.941127	144	-14.4	158.8	-16	223.5	-26	128.3	-15.3	131.9	-19.3	138.4	-32
1992	13.774762	-8.219828	9.5	-28	9.8	-32.2	12.7	-45	-4	-31.1	-5.3	-37.7	-13.1	-52.7
1993	13.819582	-10.081452	21.7	-29.4	24.2	-27.3	142.4	-32.3	15.9	-22.4	7	-32.3	85.2	-40.3
1994	-1.637974	-15.152705	5.9	-29	17.5	-32.6	16.6	-51.2	-7	-38.2	-1	-38.8	-5.2	-56.8
1995	35.853176	-1.385607	47	-20.3	36.6	-26.5	55.2	-26.2	37	-22.8	23.3	-31.8	49.7	-27.6
1996	21.931629	-6.936677	28	-22.6	17.9	-28	37	-46	13.1	-24.4	8.7	-34.7	10	-50.4
1997	11.098893	-11.848307	27.7	-25.6	34.3	-34.7	212.4	-30	15.5	-27.4	20.7	-37.7	166	-30
1998	35.369526	-12.863797	77	-25.7	108.4	-25.4	444.9	-25.7	52.9	-30	77.7	-31	328	-32
1999	79.495712	-2.733082	156.9	-27.8	210.6	-41	152.5	-58	138	-33	178.5	-45	62.6	-63
2000	-17.485722	-22.998171	-10.3	-53	-23.6	-55.3	-61	-75.6	-17.4	-57	-35.5	-61	-84	-85.9
2001	-29.017441	-54.014	-22.5	-46.1	-21	-47.2	-13	-50	-36	-51	-29.8	-58	-49	-50
2002	-42.008621	-57.816963	-22	-37	-22.5	-41.4	-45.5	-60.2	-28.4	-39.4	-28.1	-45.5	-57	-63
2003	59.112804	-3.871403	52.1	-12.6	66.5	-17.3	92.2	-29.1	23.8	-15.3	56.3	-21.5	41	-32.2
2004	12.960567	-12.1085	23.3	-24	26.5	-26	138.2	-25.3	9.5	-28	14.5	-30	115	25.5
2005	4.328349	-12.351278	11.9	-15.4	38	-13.3	27	-27.4	8	-19	26.9	-15.5	7.4	-30
2006	11.450953	-8.713487	4.6	-27	6.7	-32.4	6.2	-45	-5	-30	-7.3	-39	-41	-62.3
2007	9.737581	-1.645146	47.7	-17	45.9	-18.5	89.5	-25.3	40.3	-17.4	31.7	-20	43.3	-32.3
2008	-43.259415	-54.386059	-40	-46.6	-40.3	-49	-56.6	-65.8	-46	-51	-49.3	-55	-42.574627	-55
2009	62.469513	-14.155418	25.4	-15.4	9.5	-18	-19	-42.4	17.9	-18.1	1	-21.6	-48.1	-56.4
2010	22.28372	-5.683468	41.4	-19	34	-20.3	-11	-41.4	37	-19.7	27.7	-23.5	-34.2	-54
2011	-2.389229	-11.340731	2.4	-20.4	-1	-26	1	-59	-5	-22.6	-6.6	-32.8	-7	-64
2012	15.475595	0	21	-12	24.7	-12	31.2	-26	14.1	-12.9	14.4	-14	10.7	-31.9
2013	40.953392	0	72	-8.5	61.5	-12	22.4	-28	62	-9	50.6	-13.3	3	-40
2014	19.58008	-4.02692	34.1	-19	40	-20.2	47.1	-30	19.5	-20.1	20	-21.2	29	-29.9
2015	3.059628	-7.685346	14.5	-14	22	-4.75	-10	-39.2	9.9	-15.2	14.7	-21	-44.5	-50
2016	7.315393	-15.412898	16.9	8.9	-21.5	-25.3	138.6	-32	12.3	-22.7	19.5	-27.2	98.5	-35.1
2017	26.355804	0	5	-26	3.4	-28.3	-1	-49	26.7	-13.4	31.4	-16.1	59.1	-23.3
2018	-4.763682	-10.592468	5	-26	3.4	-28.3	1	-49	-2	-26	-4.1	-31.8	-26.5	-53.4
2019	35.890022	-2.292423	30.1	-15.5	37.2	-16.6	48.9	-26.7	24.7	-16.8	27.8	-21.5	32.6	-34.9
2020	38.137611	-25.386816	91.1	-36.5	125	-40.3	223.6	-60.8	79.7	-38.6	93.5	-43.5	66.2	-63.7
2021	19.313095	-2.334875	14.7	-28.9	14.2	-31.5	-1.3	-54	6.2	-31.1	1.4	34.2	-25.2	-59.2
2022	-23.313957	-29.951931	-32.6	-36.4	-35.8	-40.3	-52.4	-64	-38.7	-42	-43	-45.1	-65.4	-68.1
2023	35.80962	-0.403389	25.4	-13	20.5	-15.4	-3	-37.4	14.2	-16	9.7	-18.8	-13.2	-49.1
2024	7.662571	-2.914234	23.3	-28.2	12.9	-37.1	148.8	-30	9.6	30.3	0	-41.6	60.8	-46.2
2025	15.841774	-14.123734	42	-32	58.4	-37	41.2	-56.5	20.2	-35.5	19.6	-41.1	48.8	-59.2
														
times beat			27 of 44	2 of 44	27 of 44	2 of 44	23 of 44	0 of 44	23 of 44	0 of 44	24 of 44	0 of 44	21 of 44	0 of 44
nasdaq100			61%		61%		52%		50%		54%		47%	
														
														
														
														

<pre/>  

I cannot read this table, nothing lines up.
Could you post it again enclosed in '<pre'> and untabified?

FWIW, I use "notepad2" on Windows to do my table formatting, but others would probably work.

I think the first few lines should read:

                nas100          10 stcks        5               1                       10 stk  10 stk  5 stk   5 stk   1 stk   1 stk 
                cagr    mdd     cagr    mdd     cagr    mdd     cagr    mdd             worst   worst   worst   worst   worst   worst
0% spread       11.5    -80.8   24.6    -71.5   27.8    -73.3   33.4    -89.9           23.96   -77     25.86   -77.8   29.5    ???
w .2 spread                     23.9    -77.3   26.78   -77.5   32      -90.2           23.1    -77     24.1    -26.78  28.1    ???

Mr. Mussell wrote: A study of the detriments/benefits of the screen where you buy the top 10 or 5 or 1 1-year momentum Nasdaq100 stock(s) and hold for a month, then repeat.

Interesting study. Simple momentum!

I attempted to validate the results in my own software and this is what I came up with. It is easier on the eyes to just see it in color.

https://www.zeelotes.org/NDX100_Momentum.PNG

I'm curious about your NDX100 returns and max drawdown. The return in 2025 is 22.05%. The max drop in the year was from 2/19/2025 to 4/7/2025 with a drop of -25.56%. So where do you come up with 15.84% and -14.12%?

              Index    Hold 1   Hold 5   Hold 10
CAGR %        9.45%    44.51%   30.36%   24.98%
DDD3                   15.39%   11.89%   9.91%
Fall Mths     17       21       29       18
Recover Mths  48       28       41       50
Turnover               40.65%   26.91%   22.14%
Max DD        -53.78%  -84.03%  -72.40%  -64.76%
GSD           19.5     80.78    42.77    36.18
Sharpe        0.39     0.85     0.82     0.76
Years         ROI      ROI      ROI      ROI
1985          23.61%   213.20%  37.91%   22.33%
1986          6.89%    -18.57%  23.79%   17.29%
1987          10.50%   134.80%  75.27%   33.97%
1988          13.54%   92.23%   1.66%    22.49%
1989          26.17%   64.38%   52.55%   45.17%
1990          -10.41%  -10.48%  40.25%   21.65%
1991          64.99%   210.90%  104.43%  99.55%
1992          8.86%    32.67%   60.64%   32.51%
1993          10.58%   179.55%  88.44%   53.24%
1994          1.50%    2.80%    -11.25%  -10.97%
1995          42.54%   65.91%   19.66%   51.41%
1996          42.54%   89.34%   40.30%   35.13%
1997          20.63%   161.47%  43.06%   25.48%
1998          85.30%   579.04%  59.00%   52.83%
1999          101.95%  424.36%  297.41%  190.95%
2000          -36.84%  -30.78%  -24.46%  -5.03%
2001          -32.65%  21.58%   -15.04%  -12.88%
2002          -37.58%  -22.86%  -18.98%  -11.66%
2003          49.12%   37.32%   85.87%   60.26%
2004          10.44%   142.19%  33.86%   42.65%
2005          1.49%    -12.02%  15.74%   -0.15%
2006          6.79%    4.13%    24.47%   27.69%
2007          18.67%   63.96%   52.02%   41.54%
2008          -41.89%  -60.60%  -46.48%  -43.08%
2009          53.54%   8.48%    20.93%   31.16%
2010          19.22%   -5.01%   52.85%   33.31%
2011          2.70%    30.01%   3.68%    -1.89%
2012          16.82%   22.80%   15.78%   19.97%
2013          34.99%   -5.55%   74.79%   58.06%
2014          17.94%   46.14%   54.76%   31.28%
2015          8.43%    -29.88%  23.13%   11.44%
2016          5.89%    86.34%   32.35%   20.24%
2017          31.52%   82.06%   39.26%   34.83%
2018          -1.04%   9.50%    -3.77%   2.66%
2019          37.96%   63.04%   32.47%   32.18%
2020          47.58%   190.98%  125.24%  87.03%
2021          26.63%   26.84%   16.57%   13.61%
2022          -32.97%  -53.88%  -36.88%  -31.33%
2023          53.81%   -21.95%  17.62%   19.27%
2024          24.88%   166.22%  18.75%   23.00%
2025          22.05%   39.46%   58.24%   41.09%
% Best Year   7.32%    58.54%   24.39%   9.76%
Avg Rank      3.1      2.1      2.3      2.6

Ray wrote: I cannot read this table, nothing lines up.

This is what I came up with putting it into Excel.


https://www.zeelotes.org/NDX100_Momentum_mussell.P...

Worst for 10, 5, or 1 means "if by chance you had invested that entire year using the worst start week; in the case of the entire run it means what gtr means.
As far as 2025 goes I was using gtr testing year-by-year and that is what the worst drawdown was as reported there; I didn't look up NDQ on yahoo.

                                                                                        cagr    drwdwn  cagr   drwdwn   cagr
       nas100	                    10 stocks	         5 stocks        1 stock      10 stock	        5 stock        1 stock	 
	cagr	         mdd	       cagr	mdd	cagr	mdd	cagr	mdd	worst	worst	worst	worst   worst	
0% sprd	11.5	       -80.8	        24.6	-71.5	27.8	-73.3	33.4	-89.9	23.96	-77	25.86  -77.8	29.5	
.2 sprd	23.9	       -77.3	        26.78	-77.5	32	-90.2	23.1	-77	24.1	-26.78	28.1	

2/5/85-                                                                 cagr   drawdown cagr  drawdown	cagr  drawdown
12/31   10.1           -12.0	        29.26	-15.1	44.1	-21.2	57	-33	17.7	-16.5	34.3	-27.4	24.6	-34.7
1986	5.258567	-3.083178	28.3	-23	40.6	-27.2	-10.4	-49.2	23.4	-27.8	34.8	-29.3	-23.6	-59.6
1987	-0.42071	-15.236847	52	-46	49	-52	99.7	-50.6	43.9	-49.5	34.1	-53.4	57.9	-53.5
1988	20.495609	-0.726449	25.4	-12.6	43.1	-16.2	83.3	-26	11.3	-14.4	30.1	-22.3	5	-41
1989	17.318949	-0.287927	61.9	-14.2	75.2	-18.9	76.8	-38	5.86	-17.2	62.1	-20.5	40.8	-43
1990	-8.810126	-23.355663	15.2	-36.3	10.2	-40.3	-10	-60.3	1	-38.4	-5	-48.7	-19.5	-67
1991	58.053272	-4.941127	144	-14.4	158.8	-16	223.5	-26	128.3	-15.3	131.9	-19.3	138.4	-32
1992	13.774762	-8.219828	9.5	-28	9.8	-32.2	12.7	-45	-4	-31.1	-5.3	-37.7	-13.1	-52.7
1993	13.819582	-10.081452	21.7	-29.4	24.2	-27.3	142.4	-32.3	15.9	-22.4	7	-32.3	85.2	-40.3
1994	-1.637974	-15.152705	5.9	-29	17.5	-32.6	16.6	-51.2	-7	-38.2	-1	-38.8	-5.2	-56.8
1995	35.853176	-1.385607	47	-20.3	36.6	-26.5	55.2	-26.2	37	-22.8	23.3	-31.8	49.7	-27.6
1996	21.931629	-6.936677	28	-22.6	17.9	-28	37	-46	13.1	-24.4	8.7	-34.7	10	-50.4
1997	11.098893	-11.848307	27.7	-25.6	34.3	-34.7	212.4	-30	15.5	-27.4	20.7	-37.7	166	-30
1998	35.369526	-12.863797	77	-25.7	108.4	-25.4	444.9	-25.7	52.9	-30	77.7	-31	328	-32
1999	79.495712	-2.733082	156.9	-27.8	210.6	-41	152.5	-58	138	-33	178.5	-45	62.6	-63
2000	-17.485722	-22.998171	-10.3	-53	-23.6	-55.3	-61	-75.6	-17.4	-57	-35.5	-61	-84	-85.9
2001	-29.017441	-54.014	-22.5	-46.1	-21	-47.2	-13	-50	-36	-51	-29.8	-58	-49	-50
2002	-42.008621	-57.816963	-22	-37	-22.5	-41.4	-45.5	-60.2	-28.4	-39.4	-28.1	-45.5	-57	-63
2003	59.112804	-3.871403	52.1	-12.6	66.5	-17.3	92.2	-29.1	23.8	-15.3	56.3	-21.5	41	-32.2
2004	12.960567	-12.1085	23.3	-24	26.5	-26	138.2	-25.3	9.5	-28	14.5	-30	115	25.5
2005	4.328349	-12.351278	11.9	-15.4	38	-13.3	27	-27.4	8	-19	26.9	-15.5	7.4	-30
2006	11.450953	-8.713487	4.6	-27	6.7	-32.4	6.2	-45	-5	-30	-7.3	-39	-41	-62.3
2007	9.737581	-1.645146	47.7	-17	45.9	-18.5	89.5	-25.3	40.3	-17.4	31.7	-20	43.3	-32.3
2008	-43.259415	-54.386059	-40	-46.6	-40.3	-49	-56.6	-65.8	-46	-51	-49.3	-55	-42.5   -55
2009	62.469513	-14.155418	25.4	-15.4	9.5	-18	-19	-42.4	17.9	-18.1	1	-21.6	-48.1	-56.4
2010	22.28372	-5.683468	41.4	-19	34	-20.3	-11	-41.4	37	-19.7	27.7	-23.5	-34.2	-54
2011	-2.389229	-11.340731	2.4	-20.4	-1	-26	1	-59	-5	-22.6	-6.6	-32.8	-7	-64
2012	15.475595	  0	       21	-12	24.7	-12	31.2	-26	14.1	-12.9	14.4	-14	10.7	-31.9
2013	40.953392	  0	       72	-8.5	61.5	-12	22.4	-28	62	-9	50.6	-13.3	3	-40
2014	19.58008	-4.02692	34.1	-19	40	-20.2	47.1	-30	19.5	-20.1	20	-21.2	29	-29.9
2015	3.059628	-7.685346	14.5	-14	22	-4.75	-10	-39.2	9.9	-15.2	14.7	-21	-44.5	-50
2016	7.315393	-15.412898	16.9	8.9	-21.5	-25.3	138.6	-32	12.3	-22.7	19.5	-27.2	98.5	-35.1
2017	26.355804	0	5	-26	3.4	-28.3	-1	-49	26.7	-13.4	31.4	-16.1	59.1	-23.3
2018	-4.763682	-10.592468	5	-26	3.4	-28.3	1	-49	-2	-26	-4.1	-31.8	-26.5	-53.4
2019	35.890022	-2.292423	30.1	-15.5	37.2	-16.6	48.9	-26.7	24.7	-16.8	27.8	-21.5	32.6	-34.9
2020	38.137611	-25.386816	91.1	-36.5	125	-40.3	223.6	-60.8	79.7	-38.6	93.5	-43.5	66.2	-63.7
2021	19.313095	-2.334875	14.7	-28.9	14.2	-31.5	-1.3	-54	6.2	-31.1	1.4	34.2	-25.2	-59.2
2022	-23.313957	-29.951931	-32.6	-36.4	-35.8	-40.3	-52.4	-64	-38.7	-42	-43	-45.1	-65.4	-68.1
2023	35.80962	-0.403389	25.4	-13	20.5	-15.4	-3	-37.4	14.2	-16	9.7	-18.8	-13.2	-49.1
2024	7.662571	-2.914234	23.3	-28.2	12.9	-37.1	148.8	-30	9.6	30.3	0	-41.6	60.8	-46.2
2025	15.841774	-14.123734	42	-32	58.4	-37	41.2	-56.5	20.2	-35.5	19.6	-41.1	48.8	-59.2
														
times beat		             27 of 44    2      27        2     23       0      23        0      24       0      21       0 
nasdaq100		61%		61%	52%	50%	 54%	47%	
<pre/>  

What measure of momentum are you using?

Thanks.

What measure of momentum are you using?

Most likely annualized return

yes 52-week return; I showed non-detailed results for 200 days in an earlier post and it was also good

10 stock top 52-week momentum of Nasdaq100 stocks with timing increases the CAGR, reduces the beta, increases the sharpe. You end up with over twice the S&P return with the S&P's beta and better Sharpe than the S&P with MDD less than .5% worse than the S&P's MDD. And likewise v. the Nasdaq100 more than twice the CAGR with less risk than QQQ.

19850201-20251128 monthly trading, .1 spread

S&P500  v. strategy v. strategy timed  v. nasdaq100
cagr 12.5   24.2        25.18              11.46
gsd  20     35.2        31.77              27.34
ldd  13     20.1        18.05              17.27
mdd -59.7  -73.88      -60.18             -80.85
ui   10     23.48       17.5               27.39
shp   .57     .77         .84                .44
beta  1.0    1.29        1.00               1.29
ti   9.5    17.9        23.04               8.17
at    .87    7.9         4.15                .68     

timing version one with 2 timing criteria:
https://gtr1.net/2013/?h21f0.10000::nas100.a:et1:r...

timing version 2 with 1 timing criteria:
https://gtr1.net/2013/?h21f0.10000::nas100.a:et1:a...

musselmant...

You've probably already said, but you are using data that has been cleaned up to account for survivorship bias?

So Robbie says.
Which is another reason I am trying to put together my own historical constituent list and historical price/volume data
to run independent tests. I already had a friend Claude Sonnet 4.5, which accesses Tiingo stock price data, whom verified it back to Feb. 2008 with ; I want to use ChatGPT and back to 1985 or as far as I can get the data. He says Claude is superior; I don't have AI expertise to compare all the competition out there, and they keep changing.

I want to use ChatGPT and back to 1985

Does ChatGPT go back that far? I am ignorant of what the subscription AI tools can really do, but I now have a need to become more familiar with them, and was going to subscribe to either Claude or ChatGPT. My primary interest wouldn't necessarily be investing, but if that is a particular strength of one or the other, that would be interesting.

Baltasar

none of the AIs so far has historical data; you have to locate it and bring it to them to use. I am working on getting that data now.

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...

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