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Investment Strategies / Mechanical Investing
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Author: musselmant   😊 😞
Number: of 5384 
Subject: Re: NDX 100 Momentum Strategy - Code Repository
Date: 03/04/26 1:58 PM
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And using 300 to 350 days instead of 200 to time the market worked better in Robbie's tester:
e.g. this screen with that timing had a sharpe of .9 and a beta of 1.1 with a CAGR of 31% holding 5 stocks:

https://gtr1.net/2013/?h21f0.10000::nas100.a:et1:a...

Also here are some dates to check on for any screen to see how it did during market'a bad periods and to see how recovery times compared to the market:
1️⃣ 1987 Crash Peak: 1987-08-25
Trough: 1987-10-19
Recovery: 1989-07-26
2️⃣ 1990 Recession Peak: 1990-07-16
Trough: 1990-10-11
Recovery: 1991-02-19
3️⃣ Dot-Com Bust (S&P)
Peak: 2000-03-26
Trough: 2002-10-09
Recovery: 2007-05-30
4️⃣ Global Financial Crisis Peak: 2007-10-09
Trough: 2009-03-09
Recovery: 2013-03-28
5️⃣ 2011 Euro Crisis Peak: 2011-04-29
Trough: 2011-10-03
Recovery: 2012-03-26
6️⃣ Q4 2018 Crash Peak: 2018-09-21
Trough: 2018-12-24
Recovery: 2019-04-23
7️⃣ COVID Crash Peak: 2020-02-19
Trough: 2020-03-23
Recovery: 2020-08-18
8️⃣ 2022 Growth Bear Peak: 2022-01-03
Trough: 2022-10-12
Recovery: 2023-12-14
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