Subject: Re: GTR1: rrs vs. rsi
Rayvt:” Actually, and interestingly, 1 year lookback backtests for Nasdaq100 using rrs, rsi, trm, and price-only (aprc) all show similar backtest results.”

One year lookback on a test with only 100 stocks isn’t a very robust evaluation. The noise in using just two single total returns at the start and end of a period is significant.

I just ran a test with selecting 1 to 50 stocks out of >7000 stocks over 26+ years and:
rrs over all the tests had an average of 22% better CAGR with a 15% lower annual turnover than trp.

But it obviously requires more computations.