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Investment Strategies / Mechanical Investing
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Author: musselmant ✧  😊 😞
Number: of 5823 
Subject: Re: Chart: timing with Nas100 RS screen
Date: 05/28/26 7:44 PM
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No. of Recommendations: 5
Strategy	CAGR	Beta	Sharpe	Sortino	Ulcer	Max DD	MDD recovery	Longest other recovery
Timed Top 1	16.5%	0.88	0.54	0.63	45.7	-73.6%	4,945 days	1,596 days
Timed Top 5	23.8%	0.84	0.78	0.92	20.5	-55.1%	  176 days	1,782 days
Timed Top 10	19.2%	0.79	0.73	0.85	18.2	-50.9%	  175 days	1,532 days
QQQ	        10.2%	1.19	0.50	0.66	43.7	-83.0%	5,446 days	  716 days
SPY	         8.2%	1.00	0.51	0.65	16.0	-55.2%	1,773 days	2,407 days

So 5 stocks bought the last day of the month and held 1 month, paying .1% spreads, and on your next trade date exiting the market if SPY<325day SMA, is the best of the tested #1, or #1-5, or #1-10 9 month momentum stocks in the Nasdaq100 as it changed over time, within the database I have (gtr goes back further).

You would have doubled the indices with lower beta, higher Sharpe ratio, smaller max drawdown, and faster recovery from the max drawdown.
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