Author: borisnand

Subject: Re: The GTR1 Hacktester

Date: 11/7/2021

Recommendations: 6

Nas100Momentum, as defined in the sample data, refers to a simple screen that buys the top 5 NASDAQ 100 stocks by one-year total return and holds for 252 market days. was posted about 2 years ago in the OP. This screen wasn`t originally posted as anything special, but the screen`s extremely high returns in 2020 might make it useful as a benchmark for other Large Growth Momentum screens. Screen: Buy 5 Nasdaq-100 stocks with the highest 1-year total return. Monthly trading improves results significantly in a backtest from 1985 to 2021. 37-year backtest from 19850201 to 20211105 Screen CAGR GSD MDD Sharpe Beta AT Nas100Momentum 17 45 -91 0.54 1.5 0.9 annual Nas100Momentum 29 42 -74 0.81 1.4 4.2 monthly SP1500EqualWeight 13 22 -60 0.57 1.1 0.4 15-year backtest from 20061106 to 20211105 Screen CAGR GSD MDD Sharpe Beta AT Nas100Momentum 19 36 -68 0.69 1.3 0.9 annual Nas100Momentum 24 34 -54 0.87 1.1 4.0 monthly SP1500EqualWeight 11 26 -60 0.56 1.2 0.3 {Nas100Momentum} had a blowout year in 2020, outperforming the benchmark by over 100%, but is trailing in 2021. year Nas100Mo SP1500ew excessR 1985 40 31 9 1986 28 18 10 1987 49 5 45 1988 42 20 22 1989 72 26 46 1990 9 -12 21 1991 157 35 121 1992 8 15 -8 1993 20 15 5 1994 16 1 15 1995 31 28 3 1996 16 21 -4 1997 32 27 4 1998 104 6 99 1999 186 11 175 2000 -17 14 -31 2001 -19 10 -29 2002 -25 -15 -10 2003 66 44 21 2004 25 19 6 2005 36 8 28 2006 5 16 -11 2007 44 -1 45 2008 -42 -36 -6 2009 10 46 -36 2010 32 26 6 2011 -2 -1 0 2012 23 18 5 2013 55 39 16 2014 38 9 29 2015 22 -5 27 2016 25 24 2 2017 39 14 25 2018 1 -10 11 2019 33 25 9 2020 119 14 105 2021 23 33 -10 http://gtr1.net/2013/?~Nas100Momentum_20191030_rgearyiii:h21... The worst 5-year excess return was February 2000 to 2005, with Nas100Mo -6% CAGR and SP1500ew 14% CAGR. This underperformance was rare though. In the backtest, 89% of 5-year excess returns for {Nas100Momentum} were positive. The extremely high returns in 1999 make the use of rolling returns useless for timing when to stop using the screen. BCC timing (to get out) combined with rolling returns (to get in) might work. There`s a new ETF using a similar idea. ProShares Nasdaq-100 Dorsey Wright Momentum ETF ($QQQA) picks 21 Nasdaq-100 stocks based on a proprietary momentum signal (based on historical point and figure technical analysis), rebalances to equal weight every quarter, and uses htd to reduce turnover. I don`t think I would use this screen, but it`s a good benchmark for other Large Growth Momentum screens. I don`t want to compete directly against an ETF, and the idea is simple enough that there are probably other competitors out there tweaking their momentum measures. I`ll fish where I see fewer fishermen.