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.
