No. of Recommendations: 8
I get a lower CAGR for 5 stocks: S&P500 Top 80 by (6m price change % + (0.5 × 12m price change %)) then → SMA30/180 Top 50 then→ ADV200 Top 5
{S5Technical2026a} results from 19991231 to 20251128: 11 CAGR
Define {S5Technical2026a}
step0: [S&P 500 Member; lag=1 days] == 1
step1: [Mkt Days Since Security Opened; lag=1 days] >= 252
step2: [2*[Total Return % over 126 days; lag=1 days] + 1*[Total Return % over 252 days; lag=1 days]] Top 80
step3: [[Simple Moving Avg of closing g-prices over 30 days; lag=1 days]/[Simple Moving Avg of closing g-prices over 180 days; lag=1 days]] Top 50
step4: [Average dollar-volume over 200 days; lag=1 days] Top 5; Cash When Fewer
Holding period = 19 mkt days
Frictional loss of 0% applied to all sales (closing long/opening short)
Equally weight new positions, fully rebalancing all liquid positions to equal weight every 1 holding periods
All trades at market close.
gtr1.net: GTR1 Backtester - S5Technical2026a 