Post #3926 by valu3hunter on the Mechanical Investing board

Investment Strategies / Mechanical Investing ❤

Unthreaded | Threaded | Whole Thread (36)

Post New | Post Reply | Report Post | Recommend It!

No. of Recommendations: 2

I am using the screener in Portfolio123 simply sorting the NASDAQ 100 by Ret1Y%Chg. Top 10 stocks.

Rebalance every 4 weeks, max 10 stocks, and no slippage/carry cost.

From 01/01/2020 to present, I am showing an annualized return of 14.79% versus QQQ at 18.92%.

I can see the first portfolio was:
AMD, LRCX, KLAC, SGEN, ASML, MELI, CPRT, AAPL, LULU, AMAT

When I run the following backtest in GTR, I believe the CAGR/IRR equivalent is 20.33% under Cycle 0.

https://gtr1.net/2013/?!!QlpoMTFBWSZTWaPeelYAAHCfg...

Any ideas of what I am missing or is this level of variance (which seems shockingly high) accepted due to varying measurement approaches, trading parameters, etc....?

Thank you so much -- I'm learning!

Post New | Post Reply | Report Post | Recommend It!

Print the post

Unthreaded | Threaded | Whole Thread (36)

Prev | Next

Announcements

Mechanical Investing FAQ

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

A community forum supporting civilized, and highly helpful, self-educating investors that come together for Shrewdness and merry spirits. These message boards closely follow the look and feel of the old message boards at boards.fool.com prior to the boards redirected to discussion.fool.com. Shrewd'm is not affiliated with the comprehensive and excellent investment website, The Motley Fool (TMF), in any way. The Shrewd commmunity here has owed, and continues to owe, gratitude to The Motley Fool for nurturing a culture of jovial irreverence towards Wall St, and that tradition will continue here.