Model playground
Pick a start date and an amount to see how each model's backtest would have grown versus SPY. Hypothetical, after 10 bps costs.
Momentum: how many stocks?
| Stocks | Out-of-sample / yr | OOS max DD | Full period / yr | Sharpe |
|---|---|---|---|---|
| Top 10 | +30.6% | -25.1% | +17.9% | 0.70 |
| Top 15 (live) | +26.6% | -24.4% | +17.0% | 0.73 |
| Top 20 | +22.9% | -25.2% | +15.9% | 0.72 |
| Top 30 | +22.0% | -18.5% | +16.8% | 0.80 |
Fewer stocks earned more in the test but with a bumpier ride. Momentum Top 15 is the live balance.
Backtests are hypothetical and don't predict future results. Backtest only counts stocks after they joined the S&P 500; companies later acquired or delisted are still missing (some survivorship bias).
coteau