No. of Recommendations: 6
gtr1.net: GTR1 Backtester - Liquid_consolidators "Liquid consolidators"
60% better CAGR than the index with higher sharpe and same beta. Worse drawdown -69% v. -60% (i.e. both bad).
gtr1.net: GTR1 Backtesteror "nasdaq consolidators" 150% better CAGR than its index, with marginally better drawdown (still horrible), better sharpe, marginally worse beta.
I.e. the point of this board isn't to buy an index fund.
Or you can simply do the following:
Nasdaq100 (101 stocks at the moment with GOOG and GOOGL both in it)
a. buy the top 10 price change performers in the last year:
b. same but use 10 months=200 trading days instead, backwards from when you invest
c. 10 month top 5 momentum
d. 12 month top 5 momentum
e. top 5 by ratio 1 year return/5 day return
f. top 5 by ratio 10 month return/5 day return
g. if you prefer starting with S&P500 stocks: those 500, then 5dayreturn/200day return bottom 10, then MarketCap/float bottom 5
h. "nasdaq consolidators"
i. "liquid consolidators"
So you couls have beaten my 2 consolidator screens with simpler criteria had you used them and would have killed it this year. As I said before MU is up 68% since I got it. In down markets you get creamed but then so do the major indices.
a.1985 forward nasdaq100 S&P500 b. c. d. e. f. g. h. i. i is from 19970902
cagr 24.8 11.5 12.2 24.6 27.8 27.8 28.4 27.76 17.6 23.4 17.6
sharpe .789 .44 .5 .78 .78 .78 .79 .78 .62 .73 1.6
beta 1.29 1.29 1.0 1.27 1.38 1.4 1.4 1.38 1.0 1.23 .62
worst
drwdwn-71.5 -80.7 -60.3 -74.6 -74.2 -73.3 -73.7 -74 -68.9 -74.8 -68.9
2025 return 58 64 61 39 61
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So just buying the top 5 by their 1 year momentum from the Nasdaq100 list every month has much more than doubled the Nasdaq100 itself with higher Sharpe and lower maximum draw-down.
https://www.slickcharts.com/nasdaq100
Yahoo Finance: NASDAQ-100 (^NDX) Components
you can use 120 day return instead of 200 and screen for free at:
finviz.com: Stock Screener - Overview ndx perf26w
