Though I can't do that with NYSE stocks, for the 1700 covered by Value Line that strategy returns around 9.5%/year, assuming .4% cost per trade (obviously not more than once per year).Average of all 252 possible sets of trade dates Jan 1986 to date.The return for that whole set of stocks in the same interval is 10.6%/year.I used stockscreen123 for the NYSE stocks.Using backtest.org, I get 12% per year versus 2% for the S&P using "peta top 5" for 1999-2011. It's possible it was a disaster before 1999, don't know. Sounds like it from your 1986 test.
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