Claude wrote:
"1. Four years are the strategy. Take lizgdal's annual table (post 5611). 1991 (+156.6%), 1998 (+104.5%), 1999 (+185.9%) and 2020 (+118.9%) compound to 32.8x by themselves. Back those out of a 41-year record at ~23% CAGR and the remaining 37 years run at roughly 13-15%, against ~11-12% for the S&P over the same span. So the honest description is: a 2-3 point gross annual edge, plus four Nasdaq melt-ups."

Claude's math doesn't match mine. I trust my math unless someone can explain how Claude arrived at the "23% CAGR", and the "roughly 13-15%, against ~11-12% for the S&P". My results for CAGR from 1985 to 2024, and with the 4 top N1Mo years dropped:

        S5T  N1T  N1Mo
41yrs:  12%  15%  26%
37yrs:  10%  10%  17%

Claude wrote:
"6. The benchmark, and the right way to frame the whole thing.
A 35%-vol strategy shouldn't be compared to unlevered SPY. The honest hurdle is vol-matched: roughly 2x QQQ with the same trend filter, financed. Against that, most of the Sharpe advantage disappears."

N1TL2 is the GTR1 index for 2x QQQ, but that has a lower long-term Sharpe than the S&P 500.

GTR1 results from 19850201 to 20251128 without timing:

    Screen      CAGR  SAWR  GSD   LDDD3  Sharpe  CAGR/LDDD3
      S5T       11.8  5.7   17.4  10.2    0.59      1.15
Nas100Momentum  24.4  11.7  35.1  14.9    0.78      1.64
     N1TL2      17.9  1.4   61.4  35.9    0.53      0.50
      N1T       14.6  4.8   26.3  15.7    0.57      0.93

A linear regression using the 41 annual returns is:
N1Mo = 1.23 * N1T + 9.48 + error