No. of Recommendations: 5
Has anyone looked at using the 99-day method?
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I haven't. First, it's a lot of extra data to look at 99 daily prices to detect a 99 day high, and then counting those to see if one occurred in the last 99 days. Then you've got the problem of aligning that with the once-a-month trade date.
Understood that it is more work.
Mungofitch found that ... increased the CAGR by a couple of percentage points.
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We're already looking at beating the S&P500 by 15 points, with or without timing.
Yes, but there are two separate facets. One is stock picking, the momentum part. Clearly these Naz screamers are going to outperform the S&P500 index. The other facet is timing, the topic of this thread. It is well recognized that it is hard to get a higher CAGR with any timing. Mungo's 99-day rule is the only method that comes to mind that improves return in addition to reducing volatility.
I could be wrong, but it seems that a method the improves CAGR with an index would be likely to improve the performance after being applied to a momentum screen.
DB2
