mo wrote: "Can someone post the yearly returns for this strategy or a version like it (by year)? I'm curious if astronomical returns in this wave and prior waves drove all or most of it ... In other words, how consistently does it produce positive returns by year."

41 years of annual returns for {Nas100Momentum} follow a log-normal distribution with fat tails.
The abnormal bad years were: 2008 and 2022.
The abnormal good years were: 1991, 1998, 1999, and 2020.

Total return by year:

  Year    S5T    N1T   N1Mo    SPY    QQQ   myN1Mo
2026ytd                        8.5   14.9     91%
  2025   17.8   23.1   51.0   17.7   20.8     68%
  2024   25.4   32.4   15.3   24.9   25.6     25%
  2023   26.5   54.9   21.0   26.2   54.9     28%
  2022   -18.1  -33.1  -43.5  -18.2  -32.6   -35%
  2021   28.3   28.6   13.1   28.8   27.4     11%
  2020   18.9   50.1   118.9  18.4   48.6
  2019   31.3   40.6   33.2   31.2   39.0
  2018   -4.3   -0.3    0.9   -4.6   -0.1
  2017   22.0   33.1   39.0   21.7   32.7
  2016   11.8    7.3   25.4   12.0    7.1
  2015    1.3    9.9   22.3
  2014   13.7   19.0   38.1
  2013   32.4   37.3   54.7
  2012   16.2   18.7   23.1
  2011    1.7    2.2   -1.5
  2010   15.0   14.1   32.3
  2009   26.2   52.4    9.5
  2008   -36.6  -41.0  -41.8
  2007    5.6   16.0   44.2
  2006   15.8    8.3    5.3
  2005    5.0   -0.7   35.7
  2004   10.9    6.3   25.0
  2003   28.7   46.5   65.6
  2002   -22.0  -35.3  -24.7
  2001   -11.6  -26.0  -19.4
  2000   -9.4   -40.2  -17.4
  1999   20.8   90.0   185.9
  1998   29.2   82.5   104.5
  1997   33.5   22.0   31.8
  1996   23.0   41.0   16.1
  1995   37.6   42.8   31.1
  1994    1.2    1.8   16.0
  1993   10.0   11.1   19.9
  1992    7.7    8.7    7.7
  1991   30.6   66.3   156.6
  1990   -3.3   -7.2    9.2
  1989   31.4   29.6   72.0
  1988   17.1   15.4   42.1
  1987    5.1   13.0   49.5
  1986   18.3    8.6   27.5
  1985   23.2   22.7   39.9

S5T is the GTR1 index (close to SPY).
N1T is the GTR1 index (close to QQQ).
N1Mo is the GTR1 screen {Nas100Momentum} traded monthly, 0.1% friction, depth 5 stocks.
GTR1 results are from 19850201 to 20251128.

SPY and QQQ ETF returns are from M*.
myN1Mo is my backtester results for {Nas100Momentum} (not gtr1).
2026ytd is to Friday June 5th.

http://gtr1.net/2013/?~Nas100Momentum_20191030_rge...

https://gtr1.net/2013/?~N1T:h1::trp%281,1%29ne-999...

https://gtr1.net/2013/?~S5T:s19850201h1::trp%281,1...

Mechanical Investing FAQ

---

Contact Shrewd'm
Contact the developer of these message boards.