No. of Recommendations: 8
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.Asking for a firehose to take a sip of water from. ;-)
Here is what you really want to see. The rolling N-year CAGR returns beginning every month and not just January. For a few numbers of years. There are a lot of bad 1-year periods but fewer bad 3-year periods. And the bad years are
really bad.
No timing, 52 week momentum Nasdaq 100 stocks, top 10 HTD 12, 21 day hold, worst cycle. Data from GTR1.
**** 1985 - 2026 ****
# Yrs --> 1 2 3 5 10 15
# >0 387 406 406 416 361 312
# <0 93 62 50 16 11 0
Win % 81% 87% 89% 96% 97% 100%
Yrs --> 1 2 3 5 10 15
Avg 28.9% 25.2% 23.4% 22.9% 21.8% 20.2%
Med 25.7% 23.5% 22.6% 23.6% 20.8% 18.8%
Min -63.1% -48.5% -32.5% -15.8% -4.6% 4.2%
Max 230.9% 142.9% 114.5% 78.1% 53.2% 46.0%
2/3 range 10.6% 15.5% 16.5% 15.5% 18.1% 16.8% <<--- 2/3 are better.
95% range -30.9% -16.5% -5.1% 0.8% 3.7% 10.4% <<--- 95% are better.
--------------
**** 2006 - 2026 ****
# Yrs --> 1 2 3 5 10 15
# >0 188 179 182 181 121 61
# <0 41 38 23 0 0 0
Win % 82% 82% 89% 100% 100% 100%
Yrs --> 1 2 3 5 10 15
Avg 22.2% 19.7% 18.6% 20.6% 21.7% 20.4%
Med 21.7% 21.5% 22.2% 20.8% 21.0% 21.2%
Min -49.6% -22.3% -10.1% 4.1% 13.6% 15.6%
Max 117.5% 55.8% 38.2% 38.8% 30.5% 24.4%
2/3 range 9.6% 13.8% 14.9% 15.5% 19.6% 19.7% <<--- 2/3 are better.
95% range -33.6% -15.9% -4.5% 8.1% 15.2% 16.2% <<--- 95% are better.
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With a simple & reasonable timing scheme
**** 1985 - 2026 ****
# Yrs --> 1 2 3 5 10 15
# >0 375 421 437 428 372 312
# <0 90 47 19 4 0 0
Win % 81% 90% 96% 99% 100% 100%
Yrs --> 1 2 3 5 10 15
Avg 27.4% 24.9% 23.5% 23.4% 23.6% 23.5%
Med 20.2% 21.9% 21.8% 21.5% 22.1% 22.9%
Min -32.6% -19.2% -8.2% -2.7% 6.0% 12.3%
Max 230.9% 142.9% 114.5% 78.1% 47.6% 41.6%
2/3 range 10.1% 14.0% 14.9% 17.0% 19.2% 19.3% <<--- 2/3 are better.
95% range -15.7% -7.5% 0.4% 4.0% 11.7% 14.8% <<--- 95% are better.
--------------
**** 2006 - 2026 ****
# Yrs --> 1 2 3 5 10 15
# >0 176 190 197 180 121 61
# <0 46 27 8 1 0 0
Win % 79% 88% 96% 99% 100% 100%
Yrs --> 1 2 3 5 10 15
Avg 19.7% 18.2% 17.3% 18.3% 18.7% 18.1%
Med 17.8% 18.7% 18.2% 18.7% 19.5% 18.2%
Min -32.6% -19.2% -2.6% -1.1% 11.2% 14.8%
Max 66.3% 49.6% 32.4% 32.2% 25.9% 22.0%
2/3 range 9.2% 13.5% 12.5% 16.2% 15.8% 17.1% <<--- 2/3 are better.
95% range -17.1% -9.7% 2.2% 2.6% 12.8% 15.6% <<--- 95% are better.
