22% cagr since 9/2/97, 1.2 beta, .7 sharpe, -79% worst drawdown vs. for Nasdaq100:
11% cagr since 9/2/97, 1.3 beta, .4 sharpe, -80% worst drawdown
start with Nasdaq100 then from those stocks (101 companies at present) use the following to reduce to 10 companies:
ratio 5 day return excluding today/200 day return excluding today, bottom 10;
then reduce further as follows:
ratio(price,MktCap) bottom 7;
then reduce to 5 stocks further:
ratio(5 day return excluding today/float) bottom 5

Trade monthly
CAGR 21.4% if .2 friction assumption, trade monthly
CAGR 21.8% if trade every 2 months
CAGR 22.3% if trade every 3 months, 1.3 beta, .7 sharpe i.e. better risk/reward with same volatility and drawdown, and twice the return. And its worse start week out-performs the Nas100's best start week with a 16% CAGR v. 11%

https://gtr1.net/2013/?s20081231::nas100.a:nenull:...

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