Customized Momentum Strategy Back Testing with last 5 years

看班上討論， 自己建了一個簡單策略。打字快些，換了英文。這個策略很簡陋，可以再改進。就作為拋磚引玉。。。

Inspired by the SPMO, I build a customized momentum strategy, back tested with last 5 years data (9/2020 ~ 9/2025).

Stragegy: from Mag7 pick the top 5 stocks based on previous 9 months stock price performance, and buy equally weights. then rebalance every 3 months.

The momentum strategy significantly outperformed all benchmarks, capturing AI/tech surges (e.g., heavy NVDA weighting in 2023–2025) while rotating out of laggards.

Summary Performance:

Metric	Momentum Strategy	No Balance (7 Stocks)	SPY (Buy & Hold)	VGT (Buy & Hold)
Final Portfolio Value	$14.28	$10.85	$2.12	$4.56
Total Return	+1,328%	+985%	+112%	+356%
Annualized Return	~88%	~72%	~16%	~34%
Max Drawdown	-32% (Q2 2022)	-36% (Q2 2022)	-25% (Q2 2022)	-33% (Q2 2022)
Volatility (Std Dev)	26%	28%	15%	22%

The strategy's edge comes from dynamic selection, e.g., favoring NVDA/TSLA during rallies and avoiding META/AMZN in 2022 downturns. VGT (tech-focused) outperformed SPY but trailed the strategy due to fixed weighting.

Risks: Higher volatility from concentration in growth stocks