in oct 1993 forward Norgate data using chatgpt:
Untimed comparison
Metric Top5 12M Mome Top10→Top5 ADV20/ADV700 Difference
CAGR 23.09% 20.39% -2.70%
Max DD -67.86% -51.11% +16.75 percentage points better
Recovery 1190 days 1155 days 35 days better
Sharpe 0.774 0.871 Much better
Ulcer Index 25.39 17.30 Much better

Timed comparison (SPY > 325d SMA)
Metric Top5 12M Momentum Top10→Top5 ADV20/ADV700 Difference
CAGR 23.25% 18.23% -5.02%
Max DD -43.26% -33.06% +10.20 percentage points better
Recovery 1703 days 154 days 1549 days better!
Sharpe 0.819 0.921 Better
Ulcer Index 19.15 11.30 Much better

So if someone cared primarily about:

sleep-at-night factor
drawdown
time spent underwater

the ADV20/ADV700 version is actually impressive.


The most surprising number is not the drawdown; it's the recovery time:

Timed 12M momentum: 1703 days
Timed ADV20/ADV700: 154 days!

That's roughly 4.7 years faster recovery from the worst drawdown.

If I saw these numbers without knowing the strategy, I'd conclude:

ADV20/ADV700 is acting like a quality filter. It is sacrificing some of the explosive winners but avoiding a lot of the catastrophic collapses.

So far people who are willing to sacrifice 5% cagr, to get recovery in 6 months from their worst, drawdown, this is the way to go.

Mechanical Investing FAQ

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