Post #1713 by rayvt on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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No. of Recommendations: 9

There's another one (I think a mention in passing from Jim) that looks good.

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

# of months for each:
34 IWF
65 PRF
104 QQQ
16 SPY

Interestingly, since 1/4/2021 this has almost the same gain as the 25HTD30 above.
Backtested CAGR 13.90%
25HTD30 actual CAGR 13.76%
Backtested QQQ 11.97%

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