No. of Recommendations: 7
I'm not a gtr expert, but this seems to be missing one step.
Try this: https://gtr1.net/2013/?s20030103r0::nas100.a:nenul...
But still...not good.Try this, which is with friction, two month holds, what I tested (a different way).
gtr1.net/2013/?s20030103h42r0f.4::nas100.a:et1:ratio%28gprc%283%29,linear%281,hgprc%285,253%29,1,lgprc%285,253%29%29%29tn100
You can't compare aprc to gprc and get a meaningful result.
SPY CAGR in this date range 11.22
Top 100 is more or less a "with friction" version of the Nasdaq 100 equal weight, CAGR in this test period 13.86
Top 15 of the screen comes in at 18.94,
top 10 comes in at 20.2
The ratio of price to H52 is classic momentum.
The ratio of price to L52 is rebound strength off bottoms, a time when classic momentum is generally a poor idea at changes in direction.
Mixing the two gives a mix of the two strategies, so in many screens it slightly increases the fraction of the time that the screen is adding value.
And, as mentioned by others, it likes firms making big moves.
Tests better with one month holds, but I always found those to be too much work : )
At the other extreme, top 3 HTD 6, monthly with friction, tests at CAGR 26.74. Not recommended.
Jim
