For those few of you doing weekly trading this is a weekly-traded strategy to buy 5 stocks from the Nasdaq100 with
a CAGR over twice the Nasdaq100's 11.5% and S&P's 12.5%,
with a better beta than both (.8 v. 1.2 for the Nasdaq100 and 1 for the S&P)
and a sharpe of 1 (.975 v. .57 for the Nasdaq100 and .44 for the S&P).
-51% max drawdown is also better than both Nasdaq100's -80.7% and S&P 59.7%.

You take the Nasdaq100's stocks
Narrow to 1 year top 15 momentum.
Narrow by requiring two day rsi under 50.
Narrow by requiring one week return under 1%.
Then keep 5 by lowest ratio of 1 week/1 year return.

 			Cycle:	0	1	2	3	4
Bottom Positions Held	Variant	Avg	1st Trades:	19850201	19850204	19850205	19850206	19850207
 
5	0	27.254822		27.962633	28.401411	27.590551	26.103434	26.216082       cagr
 		28.186230		26.731035	28.413044	27.865431	28.399183	29.522448       gsd
 		0.975264		1.038504	1.005030	0.991735	0.934993	0.906058        sharpe
 		15.842601		15.148137	15.700482	15.547487	16.144173	16.672726       ldd
 		11.254422		9.788255	10.057002	13.682628	10.784611	11.959613       ui
 		0.802961		0.821991	0.780715	0.826275	0.776602	0.809222        beta
 		30.174393		29.798952	32.243382	29.559303	30.034771	29.235546       TR
 		23.835537		23.560780	23.507339	24.242435	23.966789	23.900339       AT
 

https://gtr1.net/2013/?h5f0.10000::nas100.a:nenull...

I took the old ones I already reported on and was curious if we could get the beta down below the S&P, and did, and still have a good sharpe, drawdown (relatively speaking of course), and excellent CAGR.

Mechanical Investing FAQ

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