Last week we looked at how the M11 model improved Barron's top 10 stocks' performance.
Here's the same portfolio looking back 7 years and traded on weekly bars instead of the M11's usual daily bars. Right away we notice that the daily bars do provide a superior return when looking at the net 1 year returns for the 2 models. (both the daily and weekly models are set to mean reversion mode) The weekly model also uses a top 2 sort in lieu of the daily version's top 4 sort. Then we have to consider the commission costs for daily versus weekly models and the amount of time required to maintain a daily versus weekly rotation..
Nevertheless, there's a couple lessons to be learned here including finding a suitably attractive portfolio to apply the M11 filter and then rotating paradigms accordingly as the market dynamics favor either a momentum or mean reversion based tactical approach.