Hi, Shrewd!        Login  
Shrewd'm.com 
A merry & shrewd investing community
Best Of MIBest OfAll BoardsThe Shrewd’m Weekly ¤Learn to InvestHow to Become Shrewd
Search
Shrewd'm.com Merry shrewd investors
Search
Best Of MIBest OfAll BoardsThe Shrewd’m Weekly ¤Learn to InvestHow to Become Shrewd


The week's question
In December 2024, in the thread "Re: BRK: Why Not XOM?", sykesix asked the members: "What do you do if you arrive early at movie besides go to the snack bar?" This week it is put to everyone again. The button below opens the small thread re-asking it - read what others have said so far, then give your own answer as an ordinary reply.
Answer this questionContinue to Shrewd'mThis note won't appear again
Investment Strategies / Mechanical Investing
Unthreaded | Threaded | Whole Thread (72) |
Author: musselmant ✧☼  😊 😞
Number: of 6374 
Subject: Re: NDX 100 Momentum Strategy - Code Repository
Date: 04/20/26 5:53 PM
Post New | Post Reply | Report Post | Recommend It!
No. of Recommendations: 6
1. Core continuous results table (MOST important)

Key rows to show:

Strategy CAGR Sharpe Max DD
Mom 1 33.7% 0.780 -81%
Mom 1 timed 37.0% 0.855 -76%
Mom 5 23.8% 0.742 -69%
Mom 5 timed 23.6% 0.790 -50%
Mom 10 21.2% 0.735 -71%
Mom 10 timed 21.8% 0.813 -48%
SPY 10.5% 0.626 -55%
QQQ 10.0% 0.488 -83%

2. Worst rolling returns

Strategy Worst 1Y Worst 3Y Worst 5Y Worst 10Y
Mom 10 timed -25.5% -4.8% 1.8% 5.1%
SPY -43.3% -14.5% -2.3% 1.2%
QQQ -67.6% -25.0% -9.4% 0.7%

worst-case 5-year and 10-year outcomes beat the market

3. Start-date sensitivity test

“first trading day of any month” test is excellent.

Strategy Avg Start CAGR Worst
Mom 1 timed 28.0% 3.8%
Mom 5 timed 18.2% 6.4%
Mom 10 timed 16.9% 7.1%
SPY 11.3% 4.1%

4. Lookback sweep (short version)

Just summarize:

Top-1 best: ~18 month momentum
Top-10 best: ~9 month momentum
1-month holding period best

5. Profit concentration

Top winners contribution:

Strategy Top 1% Top 5% Top 10%
Mom 10 9.4% 27.0% 39.3%

The strategy is not dependent on one giant winner.
This statistic helps credibility.

6. Drawdown improvement from timing filter

Strategy Max DD
Mom 10 -71.6%
Mom 10 timed -48.0%

That’s a massive improvement.

But importantly:

timing did not always improve CAGR

Worst 10-year return still beats SPY
Post New | Post Reply | Report Post | Recommend It!
Print the post
Members reply directly to musselmant here — and replies get answered. Reading is free; so is joining the conversation. Join Shrewd'm »
This community has written 6,354 posts about Mechanical Investing. The article-length ones it recommended most:
Dividend investing · 52 recs · 2025
Non-Mag7 screen · 34 recs · 2025
OT - Div yields and returns · 32 recs · 2024
Using AI to generate backtesting programs · 30 recs · 2025
Rankings for 19Dec2022 · 29 recs · 2022
Unthreaded | Threaded | Whole Thread (72) |


Announcements
Mechanical Investing FAQ
Contact Shrewd'm
Contact the developer of these message boards.

Best Of MI | Best Of | Favourites & Replies | All Boards | Followed Shrewds | Open Questions | Moving a community | Privacy