More testing

Further testing with the reduced universe and recession filter shows similar results to the previous post: Annual returns 25-30% including cash periods, Sharpe ~ 2 and low drawdown. The equity curve scale has been changed to log from linear.

Momentum selection metric is 12 month ROC.

One possibility is combining 2 entry methods to smooth returns e.g. 50% of capital when percent stocks down 25% in a month >1% and the remaining 50% when a breadth thrust occurs, say 4% of stocks up 4% in a figs


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