Post #4823 by musselmant on the Mechanical Investing board

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No. of Recommendations: 6

You can triple the Nasdaq100 by using Zacks Ranked #1 stocks and trade weekly and get a beta of 1 and double the sharpe of the Nasdaq100. 199912 forward, 5 stocks weekly with .2 spread/trade:
z rank=1
ratio(adv(1,5),adv(1,20)) top 10
ratio(tr(1,5),tr(1,253)) bottom 5

https://gtr1.net/2013/?h5f0.20000::rank.z:et1:rati...

 nasdaq100 v. strategy  v. S&P500
cagr  7.8       v.  23.5        10.4
sharpe .35           .78          .52
beta  1.3            .98         1.09
mdd -80.4          -59.0       -59.7
2025                38% thru 11/28, robbie's test max

So you can double the S&P and triple the Nasdaq100 with less risk assuming the backtest repeats of course going forward.

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