No. of Recommendations: 6
mo wrote: "Can someone post the yearly returns for this strategy or a version like it (by year)? I'm curious if astronomical returns in this wave and prior waves drove all or most of it ... In other words, how consistently does it produce positive returns by year."
41 years of annual returns for {Nas100Momentum} follow a log-normal distribution with fat tails.
The abnormal bad years were: 2008 and 2022.
The abnormal good years were: 1991, 1998, 1999, and 2020.
Total return by year:
Year S5T N1T N1Mo SPY QQQ myN1Mo
2026ytd 8.5 14.9 91%
2025 17.8 23.1 51.0 17.7 20.8 68%
2024 25.4 32.4 15.3 24.9 25.6 25%
2023 26.5 54.9 21.0 26.2 54.9 28%
2022 -18.1 -33.1 -43.5 -18.2 -32.6 -35%
2021 28.3 28.6 13.1 28.8 27.4 11%
2020 18.9 50.1 118.9 18.4 48.6
2019 31.3 40.6 33.2 31.2 39.0
2018 -4.3 -0.3 0.9 -4.6 -0.1
2017 22.0 33.1 39.0 21.7 32.7
2016 11.8 7.3 25.4 12.0 7.1
2015 1.3 9.9 22.3
2014 13.7 19.0 38.1
2013 32.4 37.3 54.7
2012 16.2 18.7 23.1
2011 1.7 2.2 -1.5
2010 15.0 14.1 32.3
2009 26.2 52.4 9.5
2008 -36.6 -41.0 -41.8
2007 5.6 16.0 44.2
2006 15.8 8.3 5.3
2005 5.0 -0.7 35.7
2004 10.9 6.3 25.0
2003 28.7 46.5 65.6
2002 -22.0 -35.3 -24.7
2001 -11.6 -26.0 -19.4
2000 -9.4 -40.2 -17.4
1999 20.8 90.0 185.9
1998 29.2 82.5 104.5
1997 33.5 22.0 31.8
1996 23.0 41.0 16.1
1995 37.6 42.8 31.1
1994 1.2 1.8 16.0
1993 10.0 11.1 19.9
1992 7.7 8.7 7.7
1991 30.6 66.3 156.6
1990 -3.3 -7.2 9.2
1989 31.4 29.6 72.0
1988 17.1 15.4 42.1
1987 5.1 13.0 49.5
1986 18.3 8.6 27.5
1985 23.2 22.7 39.9
S5T is the GTR1 index (close to SPY).
N1T is the GTR1 index (close to QQQ).
N1Mo is the GTR1 screen {Nas100Momentum} traded monthly, 0.1% friction, depth 5 stocks.
GTR1 results are from 19850201 to 20251128.
SPY and QQQ ETF returns are from M*.
myN1Mo is my backtester results for {Nas100Momentum} (not gtr1).
2026ytd is to Friday June 5th.
gtr1.net: GTR1 Backtester - Nas100Momentum_20191030_rgearyiiigtr1.net: GTR1 Backtester - N1Tgtr1.net: GTR1 Backtester - S5T 