No. of Recommendations: 2
AVE 3.1 stocks
uses SPY>325SMA as timing rule
cagr 32.2 since nasdaq100 started
beta .88
sharpe .88
mdd -57.7
2 losing years:
-02.3% 2008
-22.5% 2022
I used Chatgpt to add back stocks from the 2 overlapped screens to test how to reach 5 stocks every month but don't know how to do that in gtr so the above is just overlaps with timing rule.
In chat gpt using hold-til-drop up to ran 15 of price/(high in last 1 year + low in last 1 year) screen (1 of the 2 in the overlap) was best overall way to reduce turnover but maintain stats on performance.
gtr1.net: GTR1 Backtester - Nas100_Mom9_PHL252_OverlapTestUsing 200 days for the timing rule reduces cagr to 27.19, sharpe to .788, beta to .83, mdd -58.4%.
You can stick in what days you want into the screen.
