Post #1963 by rayvt on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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

What is the reasoning behind this? Is it written about anywhere?

Some comments:
60 market days is more than 2 months. When the parameters are changed to 42 market days and the period of 20000103 to 20240530 the CAGR is 12.5% with MDD -79.9%.
21 market days (1 month) is CAGR 13.6%

SPY is CAGR 7.3%, MDD -55.2%
QQQ is CAGR 7.3%, MDD -83%

Interesting that SPY and QQQ are so close.

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