Post #825 by rayvt on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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I was able to essentially duplicate the weighted NH-NL signal that came out of the GTR1 spreadsheet. That's the good news.

Computing 3X QQQ from 1/3/2020 to 8/11/2023
The bad news is that with timing, the return isn't anywhere near the 2010 to 2023 return. Better than SPY, though.
Recall that the 2010-2023 of 3X QQQ was 38.27%.

B&H:
SPY: 6.78% CAGR
QQQ: 5.89%
3X: -5.40%

A few timing schemes:
150 day lookback Relative Strength---
QQQ: 8.02%
3X: 13.98%
But changing the number of days by 5's had wildly differing returns.

225 day SMA ---
QQQ 6.98%
3X: 12.12%
Very short SMA periods were worse.

QTR1 weighted Nasdaq NH-NL ---
QQQ: 6.02%
3X: 10.14%

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