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Subject:  Re: x-post: MOMO Date:  11/25/2020  5:33 PM
Author:  musselmant Number:  279571 of 281128

http://gtr1.net/2013/?nas100.a:et1:tr%281,200%29tn15:ratio%2...

I forgot to post the link for the screen.

cagr 33.4
sharpe 1.3
beta 1.0
20081211 to present, 20 day hold

nas100.a = 1
tr(1,200) top 15
ratio(tr(1,5),tr(1,253)) bottom 10
ratio(AA,aprc(1)) top 5

where AA=ratio(sq2sd.s,qssd.s)
[SI Qtrly Surprise-Prior Qtr-Std. Dev.; lag=1 days] /
[SI Quarterly Surprise-Std. Dev.; lag=1 days]
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