No. of Recommendations: 19
Summary: 3 Nas100 momentum screens
Three different momentum screens on the Nasdaq 100. No timing.
RS-52: One year momentum (relative strength)
PHL-52: Current price within the 52 week high and low.
sum-of-ranks: The sum of the RS-52 & PHL-52 rankings.
The purpose here is to see what results can realistically be expected from an investable real-world portfolio, and not to tweak the numbers in order to show a high CAGR that is unlikely to happen.
Statistics are calculated from 2006-01-03 to 2025-11-28. 19 years and 11 months.
The start date was purposely chosen to avoid the dot-com boom and subsequent bust.
----- 10 HTD 12 -------
sum-of-ranks
Avg Min Max SD Median
CAGR: 18.305534 16.451609 20.132017 1.024859 18.34%
RS-52
CAGR: 18.050526 16.344536 20.275816 1.111370 17.79%
PHL-52
CAGR: 18.121185 15.936824 20.296041 1.218456 18.36%
Summary:
CAGR average ~18% range 16% - 20% For all three 10HTD12 screens.
----- 5 HTD 12 -------
sum-of-ranks
Avg Min Max SD Median
CAGR: 19.142849 15.624128 24.005079 2.154090 18.95%
RS-52
CAGR: 19.988823 16.003820 22.826933 1.696767 21.06%
PHL-52
CAGR: 21.022074 17.910322 23.717667 1.613267 21.03%
Summary:
CAGR average ~20% range 16% - 23% For all three 5HTD12 screens.
----- Index funds (same timefreame) -------
QQQ: 15.43%
S&P500: 10.79%
----------- backtest links ---------------
sum-of-ranks
gtr1.net: GTR1 Backtester - Nas100_Mom9_PHL252_SumRanks-10HTD12RS-52
gtr1.net: GTR1 Backtester - Nasdaq100 top 5 htd 12PHL-52
gtr1.net: GTR1 Backtester - Nasdaq highest in 52wk range 5 HTD 12----- Bonus --- Overlaps -------
Common top stocks in both RS-52 and PHL-52
Top 5 in order of both in top 3, then both in top 6, then combined rankings.
Avg Min Max SD Median
CAGR: 21.571293 17.894806 23.913795 1.582328 22.33%
gtr1.net: GTR1 Backtester - Nas100_Common_RS52_PHL252_top5 