No. of Recommendations: 6
Yes, I'm using AI but to do calculations. The "top 1, 5, 10 1-year momentum stocks in the Nasdaq100 traded monthly, with a .1% spread" that I analyzed using Robbie's tester I am testing now. I'll have an extra year and more data later. Initially:
Average results across all 21 start dates to 1994; "timing" means out of the market when SPY is below SMA325:
Strategy CAGR Beta Sharpe Sortino Max DD Max DD recovery std dev turnover Treynor
Untimed Top 1 32.7% 1.40 0.79 1.13 -80.1% 529 days 55.3% 9.26x 0.312
Untimed Top 5 22.0% 1.26 0.74 1.03 -77.1% 3826 days 35.1% 7.78x 0.208
Untimed Top 10 22.0% 1.21 0.80 1.10 -62.3% 1192 days 31.0% 6.66x 0.204
Timed Top 1 30.4% 0.91 0.79 1.02 -71.5% 385 days 48.3% 7.54x 0.418
Timed Top 5 22.4% 0.85 0.81 1.00 -53.2% 1868 days 30.9% 6.61x 0.295
Timed Top 10 21.3% 0.81 0.85 1.04 -42.5% 1867 days 27.1% 5.87x 0.285
Nasdaq100 had a 14 year period to reach a new high so timed strategy was 1/2 that with better MDD.
More later.
So yes I'm not saying AI is a waste of time, just you need to use it wisely.
