Thanks for posting another interesting screen with suggestions (weekly trading, short-term momentum reversal). The OP screen looks for stocks:

Large Cap Growth (Nasdaq 100)
high 1-year momentum
low 1-week momentum (short-term momentum reversal)
weekly trading

The short-term momentum reversal steps (steps 2 and 3) reduce CAGR, Beta, drawdown, and depth, while more than doubling the number of trades (AT). (Depth is the average count of stocks passing the final step.)

Results from 19850201 to 20251128 (longest backtest):

    Screen      CAGR  SAWR  GSD  DIGSD  LDD  LDDD3  MDD  UI  Sharpe  Beta  TI  AT  Depth
  OP_screen      27    12   28     32   16     8    -51  11   0.98   0.8   30  24   2.9
   no_step2      28    12   33     37   19     11   -55  16   0.91   1.0   26  27   3.8
   no_step3      31    13   34     37   18     11   -60  17   0.97   1.0   27  27   3.9
no_step2_step3   30    12   42     46   23     15   -74  22   0.84   1.4   21  9    5.0

Results from 20151127 to 20251128 (most recent 10 years):

    Screen      CAGR  SAWR  GSD  DIGSD  LDD  LDDD3  MDD  UI  Sharpe  Beta  TI  AT  Depth
  OP_screen      14     9   25     29   16     10   -39  12   0.60   0.8   17  22   2.8
   no_step2      12     7   30     35   19     14   -51  21   0.49   1.0   13  26   3.7
   no_step3      17    10   31     35   19     13   -47  17   0.66   1.1   17  26   3.8
no_step2_step3   23    11   40     45   23     15   -50  22   0.73   1.5   17  9    5.0

I prefer the version with higher CAGR and less trading. Low Beta would help when blending with other screens, but this screen's CAGR is so high that I prefer to just evaluate it on its own.

Mechanical Investing FAQ

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