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Subject:  Re: momentum screens Date:  4/10/2019  7:31 PM
Author:  FLARAM Number:  273854 of 275333

Momentum isn't dead yet!

Here is the standard RS100 momentum screen from the beginning of 2007.
Run weekly with a minimum 4 week hold and a hold till drop 15 to minimize
CAGR 18.2% with a 0.3% assumed slippage per trade.
MDD of -41%
UI 12.3
AT 11.5 (average > 1 month hold)

GSPC over the same period.
CAGR 5.96%
MDD -56.8
UI 16.5
AT 0%
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