Recommended settings with point-in-time NASDAQ 100 composition (no survivorship bias). Each window runs for exactly 10 years, starting the first trading day (Jan 3) of the given year. Walk-forward, no look-ahead bias. Initial capital $100,000. Highlighted rows = strategy beat QQQ.
| Window (10 years) | Total Return | CAGR | QQQ Return | QQQ CAGR | Alpha | Max DD | QQQ Max DD | Final $ | Sharpe | Win Rate | Avg Win | Avg Loss | Trades |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006-01-03 → 2016-01-03 | +238.8% | +13.3% | +195.3% | +11.7% | +43.5% | -62.5% | -53.4% | $338,763 | 0.56 | 53.9% | +11.1% | -8.3% | 228 |
| 2007-01-03 → 2017-01-03 | +418.2% | +17.9% | +202.8% | +11.7% | +215.4% | -62.5% | -53.4% | $518,162 | 0.70 | 54.4% | +12.2% | -8.0% | 228 |
| 2008-01-03 → 2018-01-03 | +435.9% | +18.3% | +248.4% | +13.3% | +187.5% | -62.1% | -49.4% | $535,885 | 0.73 | 55.7% | +11.7% | -7.9% | 230 |
| 2009-01-03 → 2019-01-03 | +1025.1% | +27.4% | +434.8% | +18.3% | +590.2% | -32.2% | -22.8% | $1,125,063 | 1.01 | 60.2% | +11.6% | -6.9% | 216 |
| 2010-01-03 → 2020-01-03 | +924.6% | +26.2% | +412.3% | +17.8% | +512.3% | -32.2% | -22.8% | $1,024,608 | 1.01 | 60.2% | +11.7% | -7.0% | 206 |
| 2011-01-03 → 2021-01-03 | +1401.8% | +31.1% | +527.6% | +20.2% | +874.2% | -32.2% | -28.6% | $1,501,823 | 1.09 | 58.7% | +14.0% | -7.4% | 201 |
| 2012-01-03 → 2022-01-03 | +2022.3% | +35.7% | +677.5% | +22.8% | +1344.8% | -32.7% | -28.6% | $2,122,337 | 1.20 | 59.9% | +15.9% | -7.9% | 182 |
| 2013-01-03 → 2023-01-03 | +1782.0% | +34.1% | +333.6% | +15.8% | +1448.5% | -32.7% | -35.1% | $1,882,016 | 1.17 | 60.7% | +16.0% | -8.7% | 178 |
| 2014-01-03 → 2024-01-03 | +978.5% | +26.9% | +401.4% | +17.5% | +577.1% | -32.7% | -35.1% | $1,078,548 | 0.98 | 57.3% | +16.1% | -8.9% | 171 |
| 2015-01-03 → 2025-01-03 | +830.2% | +25.0% | +452.5% | +18.6% | +377.8% | -34.3% | -35.1% | $930,207 | 0.92 | 54.5% | +17.2% | -8.8% | 165 |
| 2016-01-03 → 2026-01-03 | +810.3% | +24.7% | +502.0% | +19.7% | +308.3% | -34.3% | -35.1% | $910,273 | 0.90 | 54.3% | +17.4% | -9.0% | 164 |
2012-01-03 → 2022-01-03
CAGR: +35.7%
2006-01-03 → 2016-01-03
CAGR: +13.3%