Post New

This is a follow-up from a screen posted by musselmant https://www.shrewdm.com/MB?pid=171945077

Variations on 52 wk momentum screen in Nasdaq100

Part 1 of 2

Backtest results can depend heavily on the choice of start date. The
problem with Nasdaq is the dot-com boom from 1999 to 2000 where it
doubled, and then the dot-com crash from 2000 to mid 2001 which was a
75% loss.
A start in 1995 or 2003 or 2023 will show outstanding results. A
start in 2000 or 2022 will show not so good results.

Here are the results from the turn of the century, January 2000.

GTR1 results report has one statistical problem. It reports the
results for every start day in the trading cycle, and the average of
these. But the average can get skewed by one outlier high.
Reporting the median would be better.

When evaluating backtests it is probably safer to assume you will get
the _lowest_ of the cycles rather than the average or median. Better
for surprises to be happy rather than sad.

As reported below, the various slightly different parameters give
these CAGR results:
15.2% Original
14.0% Do not rebalance
14.2% Do not rebalance and do not use BCC timing
13.8% Use RS instead of TR (no timing)
14.4% Add HTD 12 (no timing)
15.5% Change RS to "price in 52 week range" (no timing) HTD 12

8.1% S&P 500 total return with 19.4% Volatility
8.2% QQQ total return with 26.9% Volatility



Original GTR1 screen:
https://gtr1.net/2013/?h21f0.10000::nas100.a:et1:a...

(Step 1: "aprc(1) > 0" means price is greater than zero. Not sure why
this is here. Maybe to filter out data errors?)

Changing the starting date.  2000-01-03 to 2025-11-28
https://gtr1.net/2013/?s20000103h21f0.10000::nas10...
Rows are: CAGR, GSD, AT
Rounded to 1 decimal digit for readability.
The first field is the average, the remaining fields are starting day cycles.
          15.2                14.6      14.3      15.0      15.9      14.9      15.2      14.7      14.6      15.0      15.6      15.2      15.4      15.9      15.4      15.9      16.0      16.2      14.9      14.9      15.0      15.0
          26.8                26.6      26.7      26.8      26.8      26.6      26.6      26.8      26.7      27.0      26.9      27.2      27.1      26.7      27.0      26.9      26.6      27.0      27.0      26.5      26.4      26.8
          4.4                 4.4       4.3       4.4       4.4       4.4       4.4       4.3       4.3       4.4       4.4       4.4       4.5       4.4       4.4       4.4       4.4       4.4       4.4       4.4       4.3       4.4

When evaluating backtests it is probably safer to assume you will get
the _lowest_ of the cycles rather than the average or median.  Better
for surprises to be happy instead of sad.

Reporting median and sorted cycle returns (by CAGR).
          15.0                14.3      14.6      14.6      14.7      14.9      14.9      14.9      15.0      15.0      15.0      15.0      15.2      15.2      15.4      15.4      15.6      15.9      15.9      15.9      16.0      16.2                          
          26.8                26.7      26.6      26.7      26.8      26.5      27.0      26.6      26.8      26.4      27.0      26.8      26.6      27.2      27.1      27.0      26.9      26.8      26.7      26.9      26.6      27.0                          
          4.4                 4.3       4.4                 4.3       4.3       4.4                 4.4       4.4       4.4       4.3       4.4                 4.4       4.4       4.4       4.5       4.4       4.4       4.4       4.4       4.4       4.4       4.4
Note that the CAGRs range from 14.3% to 16.2%.  Quite a jump.  Better
to expect 14% and get 16% than the reverse. </editorial>


Same rules except 0 for never rebalance.
https://gtr1.net/2013/?s20000103h21r0f0.10000::nas...
CAGR, GSD, AT
          14.0                12.9      12.8      13.9      14.7      13.9      13.9      13.5      14.0      15.0      15.5      15.1      14.4      14.1      13.0      13.0      14.1      14.6      14.2      14.0      13.8      13.3
          25.9                26.2      25.9      25.9      26.1      25.9      25.8      25.7      25.7      25.9      25.8      26.0      25.9      25.9      26.2      26.1      26.0      26.1      26.1      25.6      25.8      26.3
          3.0                 3.0       3.0       3.0       3.1       3.1       3.1       2.9       2.9       3.0       2.9       2.9       3.0       2.9       3.0       2.9       3.0       2.9       2.8       2.8       2.8       2.9


Same rules except 0 for never rebalance, and eliminate the BCC step.
https://gtr1.net/2013/?s20000103h21r0f0.10000::nas...
          14.2                13.5      12.6      13.6      13.9      14.7      13.8      13.2      14.8      14.6      14.8      14.6      13.7      14.7      13.2      14.5      14.8      16.2      14.4      13.1      15.5      14.1
          34.4                34.1      34.9      35.3      35.0      34.2      34.3      34.8      34.1      34.4      34.8      34.4      35.2      33.8      34.6      33.9      34.3      34.1      34.3      34.4      33.9      34.4
          3.1                 3.1       3.0       3.0       3.1       3.1       3.1       3.0       3.0       3.0       3.0       3.0       3.1       3.1       3.1       3.1       3.1       3.1       3.0       3.1       3.0       3.1

(Slightly better CAGR and much worse stdev.)


Change from tr (total return) to rrs (relative strength).  Because rs
is readily available in databases but tr is harder to find.

https://gtr1.net/2013/?s20000103h21r0f0.10000::nas...
          13.8                13.6      13.3      13.1      13.1      14.0      13.9      13.1      13.5      14.1      14.2      14.5      14.5      14.5      13.8      13.5      13.5      13.9      13.8      14.0      13.1      14.6
          34.6                34.4      35.0      34.8      34.8      34.9      34.7      34.7      35.1      35.0      34.8      34.8      34.9      34.4      34.7      34.2      34.1      34.3      34.4      34.0      34.1      34.3
          2.1                 2.1       2.1       2.1       2.1       2.1       2.1       2.1       2.1       2.1       2.1       2.1       2.1       2.1       2.1       2.1       2.1       2.1       2.0       2.1       2.1       2.1
 
Adding "HTD 12"
https://gtr1.net/2013/?s20000103h21r0f0.10000::nas...
          14.4                13.4      13.7      13.6      14.4      15.4      13.5      13.1      13.5      13.9      15.1      15.8      15.7      15.5      15.6      13.9      13.4      14.8      15.2      15.2      14.7      13.9
          35.0                34.9      35.0      35.5      35.7      35.5      35.2      35.2      35.6      35.1      35.4      35.4      35.3      35.1      35.3      34.4      33.9      33.8      33.9      34.4      34.5      35.1
          1.8                 1.9       1.8       1.8       1.8       1.7       1.8       1.8       1.8       1.8       1.8       1.8       1.8       1.8       1.8       1.8       1.8       1.7       1.7       1.8       1.8       1.9

-------------------------------------------------
A Jim idea, ranked by current price vs. 52 week range.  Also HTD 12.

https://gtr1.net/2013/?s20000103h21r0f0.10000::nas...

          15.5                17.3      15.7      14.0      15.4      13.8      14.6      15.0      14.6      16.3      14.3      14.4      13.2      14.4      14.0      14.3      16.4      16.7      17.8      16.7      18.2      18.3
          31.8                31.8      31.6      31.4      31.4      32.0      31.5      31.7      31.7      32.3      32.4      32.0      32.8      31.6      31.8      31.8      32.2      31.6      31.5      32.0      31.4      31.4
          3.4                 3.5       3.4       3.5       3.4       3.4       3.4       3.4       3.4       3.5       3.3       3.4       3.4       3.4       3.4       3.4       3.4       3.4       3.4       3.4       3.4       3.5
 
(HTD 15 has about the same CAGR & GSD but lower turnover.)

Part 2 of 2

This is the same as the previous set of backtests, but a date range
that does not have a boom nor a bust.
This is arguably the results you should expect to get.

From 2002-01-03 to 2020-01-03

As reported below, the various slightly different parameters give
these CAGR results:
15.7% Original
14.8% Do not rebalance
17.6% Do not rebalance and do not use BCC timing
16.0% Use RS instead of TR (no timing)
16.6% Add HTD 12 (no timing)
18.6% Change RS to "price in 52 week range" (no timing) HTD 12

7.9% S&P 500 total return with 18.5% Volatility
10.3% QQQ total return with 21.9% Volatility

Original screen
https://gtr1.net/2013/?s20020103e20200103h21f0.100...
          15.7                15.3      14.9      15.4      16.6      15.0      14.9      15.5      15.0      15.8      15.7      16.5      15.8      16.7      15.5      16.2      16.1      16.0      15.7      14.5      15.5      16.2
          20.8                20.7      21.0      21.0      20.9      20.8      20.9      20.5      20.2      20.6      20.9      20.9      21.1      20.9      21.1      20.7      20.7      20.7      20.6      20.8      20.9      21.0
          4.5                 4.6       4.5       4.5       4.5       4.6       4.6       4.5       4.5       4.5       4.5       4.6       4.6       4.5       4.5       4.5       4.5       4.5       4.5       4.5       4.5       4.5

Never rebalance
https://gtr1.net/2013/?s20020103e20200103h21r0f0.1...
          14.8                12.7      12.4      13.4      14.6      13.4      14.1      15.0      14.3      15.5      15.9      16.7      15.7      16.7      15.7      15.0      15.6      15.3      15.2      14.2      14.5      13.7
          20.6                20.6      20.6      20.8      20.8      20.8      21.0      20.3      20.2      20.4      20.6      20.6      20.7      20.6      20.8      20.2      20.4      20.3      20.1      20.4      20.6      20.8
          3.1                 3.2       3.2       3.2       3.3       3.3       3.3       3.1       3.1       3.2       3.1       3.2       3.2       3.0       3.0       3.0       3.1       3.0       2.9       3.0       2.9       3.0


No rebalance and no BCC
https://gtr1.net/2013/?s20020103e20200103h21r0f0.1...
          17.6                16.5      16.8      17.7      18.2      17.3      17.3      18.0      18.5      18.1      17.5      18.8      17.5      18.2      16.7      17.5      18.1      18.3      18.0      16.2      17.4      17.4
          26.1                26.1      26.5      27.1      27.0      26.3      26.0      25.8      25.5      25.9      25.8      25.5      26.2      25.9      26.7      25.6      26.2      26.1      25.7      26.2      26.1      26.4
          3.0                 3.0       3.0       3.0       3.0       3.1       3.0       3.0       3.0       3.0       3.0       3.0       3.0       3.0       2.9       3.0       3.0       3.0       3.0       3.0       3.0       3.0

Change from TR to RRS
https://gtr1.net/2013/?s20020103e20200103h21r0f0.1...
          16.0                15.2      15.3      15.2      15.7      15.8      16.0      15.7      15.2      15.5      15.8      16.7      17.1      16.8      16.3      15.7      16.0      16.5      16.6      16.5      16.3      17.0
          26.8                26.4      26.8      26.8      26.7      26.6      26.4      26.9      27.4      27.5      27.1      27.4      27.4      27.0      26.8      26.7      26.2      26.2      26.5      26.4      26.6      26.3
          2.1                 2.1       2.1       2.1       2.0       2.0       2.0       2.0       2.1       2.0       2.1       2.1       2.1       2.1       2.1       2.1       2.1       2.0       2.0       2.0       2.0       2.0
 

Adding "HTD 12"
https://gtr1.net/2013/?s20020103e20200103h21r0f0.1...
          16.6                15.8      17.1      16.7      17.9      17.8      15.3      15.2      15.1      15.0      15.6      16.9      16.3      16.4      16.4      16.0      15.7      18.6      18.0      17.9      17.8      17.0
          26.7                26.8      27.1      26.9      27.1      26.5      26.3      26.0      26.6      26.4      26.6      26.8      26.9      26.6      27.3      27.0      26.5      26.3      26.6      26.7      26.9      27.0
          1.8                 1.8       1.8       1.7       1.7       1.7       1.7       1.7       1.7       1.8       1.8       1.8       1.8       1.8       1.8       1.8       1.8       1.7       1.7       1.8       1.8       1.8
 



Ranked by current price vs. 52 week range.  Also HTD 12
https://gtr1.net/2013/?s20020103e20200103h21r0f0.1...
          18.6                21.2      19.6      19.4      18.6      16.9      17.5      18.8      18.2      18.7      18.4      17.4      17.1      17.0      16.6      17.2      18.6      19.3      19.7      19.1      20.4      20.4
          25.1                25.3      25.2      25.5      25.0      25.6      25.4      25.4      25.4      25.5      25.3      25.4      25.3      24.7      24.4      24.4      24.6      24.2      24.7      25.3      25.4      25.5
          3.2                 3.2       3.3       3.3       3.3       3.2       3.3       3.2       3.2       3.3       3.1       3.2       3.2       3.2       3.3       3.3       3.2       3.2       3.3       3.2       3.2       3.3
 


For this last screen, the daily closing price data was put into an Excel
spreadsheet and weekly timing statistics were run.  The timing sell
signal was whenever QQQ was -2% below the 43 week SMA.  Buy was when
QQQ was at or above the SMA.
AVG is the average of the 21 cycles, LOW is the cycle with the lowest CAGR

1/3/2002 to 1/3/2020                                        
Untimed                      Timed
avg     low                avg     low
18.9%   17.8%   <-CAGR ->  22.4%   21.5%
26%     26%     <-STDEV->  22%     22%

This step should be added:

dspo(1) > 253

This doesn't change this screen's results by much, but is considered good practice to ensure tr(1,253) is meaningful. See for example:

https://gtr1.net/2013/?~Nas100Momentum_20191030_rg...

Part 3 of 2

For comparison, just the equal weight Nasdaq 100 over the same periods.

Basically:
7.5% for 2000-01-03 to 2025-11-28 vs. QQQ at 8.2%
9.5% for 2002-01-03 to 2020-01-03 vs. QQQ at 10.3%

From 2000-01-03 to 2025-11-28 
Top 100 by RS, do not time, rebalance monthly
https://gtr1.net/2013/?s20000103h21f0.10000::nas10...
	7.4		7.1	7.3	7.3	7.4	7.5	7.5	7.3	7.3	7.4	7.5	7.7	7.8	7.6	7.6	7.5	7.5	7.3	7.3	7.2	7.2	7.1
	28.4		28.2	28.2	28.2	28.3	28.3	28.2	28.5	28.4	28.4	28.5	28.6	28.5	28.4	28.4	28.4	28.4	28.4	28.3	28.4	28.4	28.3
	0.7		0.7	0.7	0.7	0.7	0.7	0.7	0.7	0.7	0.7	0.7	0.7	0.7	0.7	0.7	0.7	0.7	0.7	0.7	0.7	0.7	0.7

Rebalance quarterly
https://gtr1.net/2013/?s20000103h21r3f0.10000::nas...
	7.0		7.0	7.0	7.0	7.0	7.0	7.1	7.0	7.0	7.0	6.9	7.0	7.0	7.0	7.1	7.1	7.2	7.1	7.1	7.1	7.1	6.9
	27.7		27.6	27.6	27.6	27.6	27.6	27.6	27.8	27.7	27.6	27.6	27.6	27.7	27.7	27.8	27.8	27.8	27.8	27.8	27.9	27.8	27.8
	0.5		0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5

Rebalance annually
https://gtr1.net/2013/?s20000103h21r12f0.10000::na...
	7.5		7.4	7.4	7.4	7.5	7.6	7.5	7.4	7.5	7.6	7.5	7.6	7.6	7.5	7.5	7.6	7.7	7.6	7.7	7.7	7.6	7.5
	26.4		26.1	26.1	26.2	26.1	26.1	26.1	26.3	26.3	26.3	26.3	26.4	26.4	26.4	26.5	26.6	26.6	26.6	26.7	26.7	26.6	26.6
	0.3		0.4	0.3	0.3	0.3	0.3	0.3	0.3	0.3	0.3	0.3	0.3	0.3	0.3	0.3	0.3	0.3	0.3	0.4	0.4	0.4	0.4


*****************************************

From  2002-01-03 to 2020-01-03
Top 100 by RS, do not time, rebalance monthly
https://gtr1.net/2013/?s20020103e20200103h21f0.100...
	9.2		9.1	9.2	9.2	9.2	9.3	9.3	9.1	9.2	9.2	9.3	9.5	9.4	9.4	9.3	9.2	9.3	9.1	9.1	9.1	9.1	9.1
	23.8		23.8	23.7	23.7	23.7	23.7	23.7	23.9	23.9	23.9	23.9	23.9	24.0	23.9	23.9	23.9	23.8	23.9	23.9	24.0	23.9	23.9
	0.6		0.6	0.6	0.6	0.6	0.6	0.6	0.6	0.6	0.6	0.6	0.6	0.6	0.6	0.6	0.6	0.6	0.6	0.6	0.6	0.6	0.6

Rebalance quarterly
https://gtr1.net/2013/?s20020103e20200103h21r3f0.1...
	9.0		8.9	9.0	9.0	8.9	9.0	9.0	8.9	8.9	8.9	8.9	9.1	9.1	9.1	9.1	9.1	9.2	9.0	9.2	9.2	9.2	9.1
	23.6		23.6	23.4	23.4	23.4	23.5	23.4	23.6	23.6	23.5	23.6	23.6	23.6	23.6	23.7	23.6	23.6	23.6	23.6	23.6	23.5	23.6
	0.5		0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5	0.5

Rebalance annually
https://gtr1.net/2013/?s20020103e20200103h21r12f0....
	9.5		9.3	9.4	9.4	9.4	9.4	9.5	9.4	9.5	9.5	9.5	9.6	9.6	9.5	9.5	9.5	9.7	9.6	9.8	9.8	9.6	9.7
	22.6		22.5	22.4	22.5	22.5	22.4	22.5	22.6	22.6	22.6	22.6	22.6	22.6	22.6	22.6	22.7	22.6	22.7	22.8	22.8	22.8	22.9
	0.3		0.4	0.3	0.3	0.3	0.3	0.3	0.3	0.4	0.3	0.4	0.4	0.3	0.3	0.3	0.3	0.3	0.4	0.4	0.4	0.4	0.4

check out this 5 stock version of one you posted with a change in the timing rule.
Twice the Nasdaq100 since end of 1999, with same mdd and beta.
cagr 21.6 since end of 1999

https://gtr1.net/2013/?s20020103h21r0f0.10000::nas...

Keeps the 5 ratio(gprc(1),linear(1,hgprc(1,253),1,lgprc(1,253))) top, using the same measure but in the top 10.

and 31% CAGR since 19850206, almost 3x Nasdaq100 with slightly better mdd

and thanks for the analysis; it can feel mighty quiet in here sometimes.

You also can get 31.8% CAGR since 19850206 using ratio(tr(1,200),tr(1,5)) top 15 for the timer, with 19.75 for post-1999.

I have been funding my world travel with variants of this screen for the last 6 months so I am on the hunt for the ideal variant to extend my travels.

To me it seems safest to go by the 20020103 to 20200103 period backtest because it doesn't have any booms or crashes, so it more likely to be close to the results that you'd most likely get. That's 18 years long, so good enough in duration.

For 5 it's CAGR 19.3% GSD 29% AT 4.7

For 5 HTD 10 it's CAGR 20.4% GSD 30% AT 2.7
For 10 HTD 15 is CAGR 18.5% GSD 25.2% AT 2.6

5 HTD 10 the clear winner.

All are clearly better than 100 stocks at 9.5% 22.6% and 0.3
And top 50 with annual rebalance at 11.0% 20.0% and 1.9

GSD is volatility, and they all are pretty high.



"Bulls make money, bears make money, pigs get slaughtered"
The thing that concerns me with a 5 stock portfolio is that high volatility.
Running a decent sized portfolio, say 6 digits, with only 5 stocks could be too much to bear.

FWIW, I've run a 10HTD15 portfolio since 6/30/2025 which is up 37.4% vs. SPY 12.5% & QQQ 17.0%.

Has anyone spoken to Robbie? Is he OK?

Post New

Mechanical Investing FAQ

---

Contact Shrewd'm
Contact the developer of these message boards.