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Investment Strategies / Mechanical Investing
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Author: rayvt ✧  😊 😞
Number: of 5386 
Subject: Re: "consolidated" screens.
Date: 12/23/25 11:30 AM
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Liquid_consolidators

Why did you backtest this since only 2024? That's much too short of a backtest.

Starting 1/3/2003 & rebalance only new positions gets CAGR 18.8%, GSD 32%, AT 5.7%

Change from S&P to Nas100 gets CAGR 20.7%, GSD 31%, AT 5.0%

Yeah maxDD is terrible; these dates encompass the 2008/2009 & 2022 bear markets.



Doubling the last two fields to get top 10:
S&P: CAGR 15.9%, GSD 27%, AT 5.1%

NAS100: CAGR 16.9%, GSD 25%, AT 4.1

S&P 500 EW at start, no rebalance: CAGR 11.9%, GSD 18%, AT 0.1%
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