No. of Recommendations: 8
Monthly 1 month relative strength rotation between SPY PRF IWF QQQ.
Backtest Feb 2006 to Mar 2024:
CAGR 14.31% vs. 11.79% equal-weight vs. 10.12% SPY
I took a closer look at things and saw something embarrassing.
QQQ in the same period is CAGR 14.78%.
Slightly worst stdev, slightly worse Sortino Ratio.
We are constrained by PRF starting in 2006. Dropping PRF and using the same dates gives CAGR 12.78%.
Same dates with IWD instead of PRF, CAGR is 12.79%.
Replace IWB & IWF with IWB: 13.09%
Going back as far as possible, June 2000, the best is
SPY IWD IWF QQQ with 8.11% vs 7.50% for QQQ
So basically, it looks like this momentum model doesn't have much different results than just holding QQQ. Depending on the period, sometimes one is slightly better and sometimes the other is.
The momentum screen just has a slightly better stdev, maxdd, and Sortino.
All these backtests were run on PORTFOLIO VISUALIZER.
