Hi, Shrewd!        Login  
Shrewd'm.com 
A merry & shrewd investing community
Best Of MIBest OfAll BoardsThe Shrewd’m WeeklyLearn to InvestHow to Become Shrewd
Search
Shrewd'm.com Merry shrewd investors
Search
Best Of MIBest OfAll BoardsThe Shrewd’m WeeklyLearn to InvestHow to Become Shrewd


The week's question
In March 2025, in the thread "Re: OT, out", Umm asked the members: "Do you think it is because America is made up of magical soil that makes businesses based in America magically profitable?" This week it is put to everyone again. The button below opens the small thread re-asking it - read what others have said so far, then give your own answer as an ordinary reply.
Answer this questionContinue to Shrewd'mThis note won't appear again
Investment Strategies / Mechanical Investing
Unthreaded | Threaded | Whole Thread (29) |
Author: rayvt ✧☼🐝🐝  😊 😞
Number: of 6243 
Subject: Re: Statistics for Nasdaq 100 monthly Momentum Screen
Date: 05/14/26 8:51 PM
Post New | Post Reply | Report Post | Recommend It!
No. of Recommendations: 3
Yes I ran NH/NL and other timing strategies but a simple SPY>325daySMA won

And the funny thing is, the seemingly natural index to use would be QQQ (or ^IXIC on yahoo), since that is the Nasdaq 100.

But SPY (^GSPC) as the SMA index works better.

But...
the primary benefit of a good timing scheme does in this screen is to move you out of the market in the 2000-2005 period. In all the other 5 year periods, timing is kind of a meh. Most had slightly worse results.
Of course, the thing is, you don't know ahead of time when the bottom might drop out.

For the eight 5-year periods starting in 1985:
Untimed    Timed
24.6% 24.8% << -- average
24.6% 16.6% << -- median


There is another thing. Look at a chart for the Nasdaq 100 for 1995 to 2005. It was a huge ramp up and then a crash. The crash basically reversed the ramp up.

For this screen (GTR1 backtest, untimed):
2/1995 - 2/2000: CAGR 67.8%
2/2000 - 2/2005: CAGR -8.4%

2/1995 - 2/2005: CAGR 24.0%

Value on 1/2/1995: $149
Value on 2/1/2005: $1281
Peak value, 9/1/2000: $3251

Not too shabby overall. Almost 10X your money. Minus what you spent on Tums & sleeping pills.


Okay, with timing:
Value on 1/2/1995: $76
Value on 2/1/2005: $1997
Peak value, 9/1/2000: $2095

But look what the timing did for you from 1985 to 1995. Not so good.

Hmmm, maybe it would be better overall to have a looser sell signal.
Post New | Post Reply | Report Post | Recommend It!
Print the post
Members reply directly to rayvt here — and replies get answered. Reading is free; so is joining the conversation. Join Shrewd'm »
This community has written 6,227 posts about Mechanical Investing. The article-length ones it recommended most:
Dividend investing · 52 recs · 2025
Non-Mag7 screen · 34 recs · 2025
OT - Div yields and returns · 32 recs · 2024
Using AI to generate backtesting programs · 30 recs · 2025
Rankings for 19Dec2022 · 29 recs · 2022
Unthreaded | Threaded | Whole Thread (29) |


Announcements
Mechanical Investing FAQ
Contact Shrewd'm
Contact the developer of these message boards.

Best Of MI | Best Of | Favourites & Replies | All Boards | Followed Shrewds | Open Questions | Moving a community