[Backtest] Monte Carlo Dynamic Asset Rotation Lookback/Market Cap Sweep Report

Monte Carlo Dynamic Rotation Lookback/Market Cap Sweep Report

This report evaluates the 5-year performance of a Monte Carlo weight-optimized dynamic asset rotation strategy (investing in K=4 stocks) across various market capitalization size groups (10, 100, 200, 300, 500) and momentum analysis lookback periods (1 to 200 days).
Simulation Period: Jan 4, 2021 ~ Jun 25, 2026 (1,375 Trading Days)

★ Best Performing Parameter Combination

Market Cap Group: TOP 500
Momentum Lookback: 175 Days
Final Portfolio Value: $198,364.74
Compound Annual Growth Rate (CAGR): 72.75%
Maximum Drawdown (MDD): -32.0%

1. Benchmark Market Performance (Buy & Hold)

Strategy & Indicator	Final Assets ($)	CAGR (%)	MDD (%)
SPY (S&P 500 Hold)	$19,891.54	13.41%	-25.36%
QQQ (Nasdaq 100 Hold)	$23,822.06	17.22%	-35.62%

2. Top 10 Best Performing Parameter Combinations

Group	Lookback_Days	Final_Value	CAGR (%)	MDD (%)
TOP 500	175	198364.74	72.75	-32.00
TOP 500	185	174943.55	68.83	-33.42
TOP 500	140	169501.17	67.85	-33.84
TOP 500	180	167387.62	67.47	-40.79
TOP 500	200	158337.46	65.77	-36.22
TOP 500	110	151220.18	64.38	-41.33
TOP 500	170	147988.92	63.73	-44.89
TOP 500	115	138450.95	61.75	-40.32
TOP 200	175	125727.83	58.92	-33.66
TOP 500	145	125111.51	58.78	-38.17

* This post was automatically generated by the MoonShot GPU Backtest System based on large-scale Monte Carlo sweep results.