I took a closer look at things and saw something embarrassing.
QQQ in the same period is CAGR 14.78%...

A bigger issue with the rotation strategy is that the trading costs are pretty significant, depending on the mix of indexes among which you'd be switching. If you have a strategy that beats the broad index by 1.5%/year over a very long period, you're beating the vast majority of professional money managers. But not if your trading costs are over 1%/year.

I personally wouldn't own QQQ. It seems a pointless concoction to me. It is so amazingly concentrated in just a few firms that it makes no sense. 4 stocks are 28% of the fund. (and top 7 are 42%). If you have a strong idea about the future prospects of those specific few firms, buy them or short them as the case may be. If you don't have a strong and well-informed idea about their prospects you have no business investing in something so concentrated in them. As a side effect, it doesn't trend well and doesn't work very well in this type of momentum system...there is no "macro" moving the prices, mainly just the idiosyncratic moves of a few stocks.

Jim

Mechanical Investing FAQ

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