Post #1962 by musselmant on the Mechanical Investing board

Investment Strategies / Mechanical Investing ❤

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No. of Recommendations: 6

two steps:
Nasdaq100 stocks
lowest 5 by ratio of 1 week/1 year return

19850201 to 20240605
trade every 60 days
assume .2% friction

cagr 23.9%
sharpe .69
beta 1.4

You can improve drawdown with the timing screen often used here.

The data is all free at sites online that list the 101 stocks (Google is in the list twice) and the 1 week and 1 year return.
200 days instead of 253 works also.

https://gtr1.net/2013/?h60f0.20000::nas100.a:nenul...

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