I did a test by removing one industry at a time to see what industry in total made a drawdown on the portfolio. I can't see that this is an approach I would use in real trading. Way to overoptimized. But still, here are the results:
| Combo | Date Range | Buy1 | Return% | Active% | Annualized% | Sharpe | StdDev | DDown% | Corr | Value | Cash | Winners% |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 11 | 03/05/14 03/05/24 | Industry !=AUTORETAIL | 12,622.58 | 12,528.06 | 62.34 | 1.93 | 26.78 | -53.05 | 0.81 | 12,722,584.23 | 7,119.24 | 59.43 |
| 21 | 03/05/14 03/05/24 | Industry !=DOWNSTREAMENERGY | 12,489.03 | 12,394.50 | 62.17 | 1.93 | 26.82 | -53.05 | 0.81 | 12,589,030.80 | 7,028.61 | 59.57 |
| 30 | 03/05/14 03/05/24 | Industry !=ELECTRONICMFR | 12,381.60 | 12,287.07 | 62.03 | 1.93 | 26.76 | -53.09 | 0.8 | 12,481,601.85 | 6,987.16 | 59.68 |
| 43 | 03/05/14 03/05/24 | Industry !=ENERGYUTIL | 12,280.10 | 12,185.57 | 61.9 | 1.93 | 26.65 | -52.94 | 0.8 | 12,380,096.61 | 6,957.61 | 59.68 |
| 19 | 03/05/14 03/05/24 | Industry !=AGRICULTURE | 12,255.64 | 12,161.11 | 61.87 | 1.93 | 26.76 | -53.05 | 0.81 | 12,355,636.09 | 6,920.60 | 59.68 |
| 17 | 03/05/14 03/05/24 | Industry !=GENMERCH | 12,245.18 | 12,150.65 | 61.85 | 1.94 | 26.58 | -53.02 | 0.81 | 12,345,176.67 | 6,021.27 | 59.7 |
| 39 | 03/05/14 03/05/24 | Industry !=TECHCONSULTSVCE | 12,241.01 | 12,146.48 | 61.85 | 1.93 | 26.64 | -53.05 | 0.8 | 12,341,009.85 | 6,737.91 | 59.42 |
| 8 | 03/05/14 03/05/24 | Industry !=MINERAL | 12,178.11 | 12,083.58 | 61.77 | 1.93 | 26.73 | -52.98 | 0.8 | 12,278,111.61 | 6,865.66 | 59.55 |
| 26 | 03/05/14 03/05/24 | Industry !=HOUSESVCE | 12,170.24 | 12,075.71 | 61.75 | 1.92 | 26.89 | -53.68 | 0.81 | 12,270,239.47 | 7,012.62 | 59.4 |
| 4 | 03/05/14 03/05/24 | Industry !=BIZSUPPORT | 12,149.47 | 12,054.95 | 61.73 | 1.92 | 26.78 | -53.05 | 0.81 | 12,249,474.09 | 6,980.00 | 59.55 |
| 38 | 03/05/14 03/05/24 | Industry !=HCAREMISC | 12,153.31 | 12,058.79 | 61.73 | 1.93 | 26.59 | -53.07 | 0.81 | 12,253,313.42 | 6,823.87 | 59.1 |
| 16 | 03/05/14 03/05/24 | Industry !=ELECTRONICSENTRETAIL | 12,140.04 | 12,045.51 | 61.71 | 1.92 | 26.74 | -53.05 | 0.8 | 12,240,038.26 | 6,627.53 | 59.74 |
| 13 | 03/05/14 03/05/24 | Industry !=HOMEBUILDMANUF | 12,107.01 | 12,012.48 | 61.67 | 1.92 | 26.78 | -53.05 | 0.81 | 12,207,011.27 | 6,952.84 | 59.59 |
| 14 | 03/05/14 03/05/24 | Industry !=VEHICLE | 12,041.92 | 11,947.39 | 61.58 | 1.92 | 26.79 | -53.09 | 0.8 | 12,141,920.32 | 6,792.87 | 59.13 |
| 1 | 03/05/14 03/05/24 | MedianDailyTot(91)>( 150* 1000) // and LoopMedi... | 12,019.40 | 11,924.87 | 61.55 | 1.92 | 26.79 | -53.05 | 0.81 | 12,119,400.69 | 6,774.99 | 59.55 |
| 23 | 03/05/14 03/05/24 | Industry !=OILGASINTEG | 12,019.40 | 11,924.87 | 61.55 | 1.92 | 26.79 | -53.05 | 0.81 | 12,119,400.69 | 6,774.99 | 59.55 |
| 24 | 03/05/14 03/05/24 | Industry !=BANKSINTL | 12,019.40 | 11,924.87 | 61.55 | 1.92 | 26.79 | -53.05 | 0.81 | 12,119,400.69 | 6,774.99 | 59.55 |
| 46 | 03/05/14 03/05/24 | Industry !=TRANSPORTEQUIP | 11,977.63 | 11,883.11 | 61.5 | 1.91 | 26.87 | -53.07 | 0.81 | 12,077,634.13 | 5,729.33 | 59.46 |
| 4 | 03/05/14 03/05/24 | Industry !=CHEMMIX | 11,969.80 | 11,875.27 | 61.49 | 1.92 | 26.78 | -53.05 | 0.81 | 12,069,797.66 | 6,755.63 | 59.5 |
| 36 | 03/05/14 03/05/24 | Industry !=TECHDISTRIB | 11,953.55 | 11,859.02 | 61.47 | 1.92 | 26.74 | -53.17 | 0.81 | 12,053,549.64 | 6,750.42 | 59.76 |
| 18 | 03/05/14 03/05/24 | Industry !=COAL | 11,941.18 | 11,846.66 | 61.45 | 1.92 | 26.78 | -53.05 | 0.81 | 12,041,183.70 | 6,778.45 | 59.51 |
| 6 | 03/05/14 03/05/24 | Industry !=PLASTIC | 11,893.77 | 11,799.25 | 61.39 | 1.91 | 26.75 | -53.05 | 0.81 | 11,993,773.97 | 6,709.35 | 59.29 |
| 29 | 03/05/14 03/05/24 | Industry !=REALESTATESVCE | 11,890.14 | 11,795.61 | 61.38 | 1.91 | 26.77 | -53.05 | 0.81 | 11,990,140.84 | 6,710.15 | 59.61 |
| 44 | 03/05/14 03/05/24 | Industry !=WATER | 11,878.53 | 11,784.00 | 61.37 | 1.91 | 26.79 | -53.11 | 0.81 | 11,978,525.40 | 6,709.10 | 59.72 |
| 9 | 03/05/14 03/05/24 | Industry !=MIXMETALMINERAL | 11,788.94 | 11,694.42 | 61.24 | 1.91 | 26.77 | -53.05 | 0.8 | 11,888,942.94 | 6,660.60 | 59.66 |
| 11 | 03/05/14 03/05/24 | Industry !=MININGOTHER | 11,784.81 | 11,690.28 | 61.24 | 1.91 | 26.77 | -53.05 | 0.8 | 11,884,811.05 | 6,656.72 | 59.66 |
| 18 | 03/05/14 03/05/24 | Industry !=PERSONALCARERETAIL | 11,788.94 | 11,694.42 | 61.24 | 1.91 | 26.77 | -53.05 | 0.8 | 11,888,942.94 | 6,660.60 | 59.66 |
| 21 | 03/05/14 03/05/24 | Industry !=TOBACCO | 11,788.94 | 11,694.42 | 61.24 | 1.91 | 26.77 | -53.05 | 0.8 | 11,888,942.94 | 6,660.60 | 59.66 |
| 22 | 03/05/14 03/05/24 | Industry !=CANNABIS | 11,788.94 | 11,694.42 | 61.24 | 1.91 | 26.77 | -53.05 | 0.8 | 11,888,942.94 | 6,660.60 | 59.66 |
| 23 | 03/05/14 03/05/24 | Industry !=APPLIANCESTOOLS | 11,788.94 | 11,694.42 | 61.24 | 1.91 | 26.77 | -53.05 | 0.8 | 11,888,942.94 | 6,660.60 | 59.66 |
| 25 | 03/05/14 03/05/24 | Industry !=PERSONALCAREPRODUCT | 11,788.94 | 11,694.42 | 61.24 | 1.91 | 26.77 | -53.05 | 0.8 | 11,888,942.94 | 6,660.60 | 59.66 |
| 40 | 03/05/14 03/05/24 | Industry !=SOFTWDISTRIB | 11,788.94 | 11,694.42 | 61.24 | 1.91 | 26.77 | -53.05 | 0.8 | 11,888,942.94 | 6,660.60 | 59.66 |
| 2 | 03/05/14 03/05/24 | Industry !=PASSENGERTRANS | 11,773.31 | 11,678.78 | 61.22 | 1.91 | 26.7 | -53.04 | 0.8 | 11,873,305.65 | 6,637.79 | 59.57 |
| 42 | 03/05/14 03/05/24 | Industry !=MEDDEVICESOTHER | 11,722.69 | 11,628.16 | 61.15 | 1.92 | 26.58 | -53.42 | 0.8 | 11,822,687.40 | 6,034.12 | 59.27 |
| 15 | 03/05/14 03/05/24 | Industry !=MATOTHER | 11,715.29 | 11,620.76 | 61.14 | 1.91 | 26.78 | -53.05 | 0.8 | 11,815,290.07 | 6,616.36 | 59.66 |
| 28 | 03/05/14 03/05/24 | Industry !=INVESTSVCE | 11,713.93 | 11,619.40 | 61.14 | 1.9 | 26.99 | -53.71 | 0.81 | 11,813,926.83 | 6,797.48 | 59.26 |
| 1 | 03/05/14 03/05/24 | MedianDailyTot(91)>( 150* 1000) // and LoopMedi... | 11,702.46 | 11,607.94 | 61.13 | 1.91 | 26.75 | -53.05 | 0.81 | 11,802,464.78 | 6,603.06 | 59.51 |
| 34 | 03/05/14 03/05/24 | Industry !=BIOPHARMAOTHER | 11,633.87 | 11,539.34 | 61.03 | 1.92 | 26.59 | -53.05 | 0.8 | 11,733,868.34 | 6,291.69 | 59.1 |
| 5 | 03/05/14 03/05/24 | Industry !=WASTEMGMT | 11,625.01 | 11,530.49 | 61.02 | 1.9 | 26.82 | -53.07 | 0.8 | 11,725,012.64 | 6,560.92 | 59.14 |
| 14 | 03/05/14 03/05/24 | Industry !=PACKAGING | 11,612.67 | 11,518.14 | 61 | 1.9 | 26.83 | -53.05 | 0.81 | 11,712,666.03 | 6,562.24 | 59.4 |
| 39 | 03/05/14 03/05/24 | Industry !=HCAREOUTSOURCE | 11,582.07 | 11,487.54 | 60.96 | 1.9 | 26.84 | -53.33 | 0.8 | 11,682,069.75 | 6,526.84 | 59.76 |
| 9 | 03/05/14 03/05/24 | Industry !=LEISURE | 11,534.49 | 11,439.96 | 60.9 | 1.9 | 26.74 | -53.05 | 0.8 | 11,634,488.24 | 6,824.66 | 59.55 |
| 28 | 03/05/14 03/05/24 | Industry !=ELECTRONICEQUIP | 11,512.94 | 11,418.41 | 60.87 | 1.92 | 26.5 | -52.84 | 0.81 | 11,612,939.03 | 6,539.90 | 59.44 |
| 41 | 03/05/14 03/05/24 | Industry !=TELECOMOTHER | 11,507.93 | 11,413.40 | 60.86 | 1.91 | 26.67 | -53.05 | 0.81 | 11,607,927.78 | 6,504.17 | 59.44 |
| 20 | 03/05/14 03/05/24 | Industry !=OILGASSUPPORT | 11,495.76 | 11,401.24 | 60.84 | 1.9 | 26.76 | -52.91 | 0.81 | 11,595,764.10 | 6,199.60 | 58.99 |
| 37 | 03/05/14 03/05/24 | Industry !=PATIENTCARE | 11,487.98 | 11,393.45 | 60.83 | 1.89 | 27.02 | -52.97 | 0.81 | 11,587,975.01 | 6,528.29 | 59.07 |
| 12 | 03/05/14 03/05/24 | Industry !=MATCONSTR | 11,447.51 | 11,352.98 | 60.78 | 1.9 | 26.74 | -52.41 | 0.8 | 11,547,507.74 | 6,432.94 | 59.53 |
| 48 | 03/05/14 03/05/24 | Industry !=DELIVERY | 11,446.58 | 11,352.05 | 60.77 | 1.9 | 26.74 | -53.01 | 0.8 | 11,546,580.83 | 6,312.52 | 59.17 |
| 22 | 03/05/14 03/05/24 | Industry !=MIDSTREAMENERGY | 11,398.43 | 11,303.91 | 60.71 | 1.91 | 26.65 | -53.05 | 0.8 | 11,498,434.93 | 6,101.99 | 59.63 |
| 25 | 03/05/14 03/05/24 | Industry !=BANKSMORTG | 11,392.90 | 11,298.37 | 60.7 | 1.91 | 26.5 | -53.66 | 0.81 | 11,492,900.98 | 6,428.60 | 59.51 |
| 26 | 03/05/14 03/05/24 | Industry !=BANKSUSA | 11,356.57 | 11,262.04 | 60.65 | 1.92 | 26.46 | -53.82 | 0.81 | 11,456,570.50 | 6,747.60 | 59.31 |
| 2 | 03/05/14 03/05/24 | Industry !=MKTINGPRINTING | 11,329.22 | 11,234.70 | 60.61 | 1.88 | 26.99 | -53.27 | 0.81 | 11,429,223.77 | 6,487.52 | 59.87 |
| 20 | 03/05/14 03/05/24 | Industry !=FOODDRINKMFR | 11,321.17 | 11,226.64 | 60.6 | 1.89 | 26.8 | -53.07 | 0.81 | 11,421,168.47 | 6,418.43 | 59.42 |
| 16 | 03/05/14 03/05/24 | Industry !=FOODDRINKRETAIL | 11,315.64 | 11,221.11 | 60.59 | 1.89 | 26.8 | -53.05 | 0.8 | 11,415,641.13 | 6,396.48 | 59.63 |
| 31 | 03/05/14 03/05/24 | Industry !=FINSPECIAL | 11,313.59 | 11,219.06 | 60.59 | 1.92 | 26.38 | -52.62 | 0.8 | 11,413,591.46 | 5,788.63 | 59.18 |
| 10 | 03/05/14 03/05/24 | Industry !=APPLIANCESFURN | 11,310.91 | 11,216.39 | 60.58 | 1.89 | 26.8 | -53.05 | 0.8 | 11,410,913.67 | 6,447.31 | 59.55 |
| 42 | 03/05/14 03/05/24 | Industry !=TELECOMWIRE | 11,284.84 | 11,190.31 | 60.55 | 1.89 | 26.81 | -53.14 | 0.81 | 11,384,837.40 | 6,254.74 | 59.52 |
| 32 | 03/05/14 03/05/24 | Industry !=FINSOFTW | 11,207.22 | 11,112.69 | 60.44 | 1.89 | 26.76 | -53.05 | 0.8 | 11,307,219.99 | 6,413.51 | 59.18 |
| 49 | 03/05/14 03/05/24 | Industry !=INDLDIST | 11,142.10 | 11,047.57 | 60.35 | 1.91 | 26.41 | -53.42 | 0.81 | 11,242,100.44 | 6,346.25 | 59.42 |
| 35 | 03/05/14 03/05/24 | Industry !=CONSUMERELECTRONICS | 11,126.00 | 11,031.47 | 60.32 | 1.91 | 26.39 | -53.06 | 0.81 | 11,225,998.03 | 6,286.70 | 59.7 |
| 3 | 03/05/14 03/05/24 | Industry !=CHEMCOMMOD | 11,108.65 | 11,014.12 | 60.3 | 1.9 | 26.53 | -53.05 | 0.81 | 11,208,647.00 | 6,271.70 | 59.4 |
| 5 | 03/05/14 03/05/24 | Industry !=CHEMSPECIAL | 11,053.65 | 10,959.13 | 60.22 | 1.9 | 26.51 | -53.04 | 0.81 | 11,153,652.86 | 6,079.32 | 59.72 |
| 44 | 03/05/14 03/05/24 | Industry !=ELECTREQUIP | 11,048.10 | 10,953.57 | 60.21 | 1.89 | 26.65 | -53.44 | 0.81 | 11,148,098.76 | 6,216.56 | 59.13 |
| 34 | 03/05/14 03/05/24 | Industry !=COMPUTER | 11,039.01 | 10,944.49 | 60.2 | 1.91 | 26.4 | -53.05 | 0.81 | 11,139,011.94 | 5,937.28 | 59.29 |
| 17 | 03/05/14 03/05/24 | Industry !=HOMEIMPROVE | 11,011.71 | 10,917.19 | 60.16 | 1.88 | 26.82 | -53.07 | 0.81 | 11,111,712.07 | 6,218.34 | 59.33 |
| 12 | 03/05/14 03/05/24 | Industry !=RETAILOTHER | 11,005.99 | 10,911.46 | 60.15 | 1.91 | 26.41 | -53.05 | 0.81 | 11,105,991.73 | 6,216.92 | 59.53 |
| 24 | 03/05/14 03/05/24 | Industry !=PRODHOUSEIND | 10,984.95 | 10,890.42 | 60.12 | 1.89 | 26.7 | -53.04 | 0.81 | 11,084,945.89 | 5,590.06 | 59.57 |
| 19 | 03/05/14 03/05/24 | Industry !=FOSSILFUEL | 10,971.55 | 10,877.02 | 60.1 | 1.89 | 26.63 | -52.99 | 0.8 | 11,071,551.07 | 6,070.32 | 59.52 |
| 7 | 03/05/14 03/05/24 | Industry !=MEDIAPUB | 10,952.66 | 10,858.13 | 60.07 | 1.88 | 26.75 | -53.45 | 0.81 | 11,052,658.32 | 6,161.19 | 59.09 |
| 37 | 03/05/14 03/05/24 | Industry !=INTERNET | 10,929.08 | 10,834.55 | 60.04 | 1.9 | 26.47 | -53.42 | 0.81 | 11,029,076.83 | 6,041.75 | 59.58 |
| 15 | 03/05/14 03/05/24 | Industry !=APPARELRETAIL | 10,888.15 | 10,793.63 | 59.98 | 1.91 | 26.34 | -53.05 | 0.81 | 10,988,152.56 | 6,148.22 | 59.48 |
| 32 | 03/05/14 03/05/24 | Industry !=COMMERCIALELECTRONICS | 10,821.56 | 10,727.03 | 59.88 | 1.9 | 26.44 | -53.28 | 0.81 | 10,921,558.86 | 6,355.62 | 59.51 |
| 36 | 03/05/14 03/05/24 | Industry !=HCARESUPPORT | 10,614.76 | 10,520.24 | 59.58 | 1.86 | 26.85 | -53.19 | 0.82 | 10,714,764.90 | 5,958.23 | 59.46 |
| 43 | 03/05/14 03/05/24 | Industry !=AERODEF | 10,615.40 | 10,520.87 | 59.58 | 1.88 | 26.69 | -53.05 | 0.8 | 10,715,398.62 | 5,923.41 | 59.37 |
| 50 | 03/05/14 03/05/24 | Industry !=FACIL | 10,545.04 | 10,450.51 | 59.47 | 1.87 | 26.8 | -53.28 | 0.81 | 10,645,040.26 | 5,068.81 | 59.04 |
| 45 | 03/05/14 03/05/24 | Industry !=MACHINE | 10,429.03 | 10,334.51 | 59.3 | 1.89 | 26.23 | -52.91 | 0.81 | 10,529,034.19 | 5,863.86 | 59.09 |
| 3 | 03/05/14 03/05/24 | Industry !=PROSVCE | 10,271.64 | 10,177.11 | 59.06 | 1.83 | 27.21 | -53.87 | 0.82 | 10,371,635.50 | 5,786.58 | 59.3 |
| 6 | 03/05/14 03/05/24 | Industry !=HOSPITALITY | 10,236.13 | 10,141.61 | 59 | 1.88 | 26.39 | -53.08 | 0.82 | 10,336,133.68 | 1,782.26 | 58.91 |
| 29 | 03/05/14 03/05/24 | Industry !=SEMIMFR | 10,226.49 | 10,131.96 | 58.99 | 1.87 | 26.58 | -53.54 | 0.81 | 10,326,489.78 | 5,112.73 | 58.86 |
| 33 | 03/05/14 03/05/24 | Industry !=COMMEQUIP | 10,166.76 | 10,072.23 | 58.9 | 1.87 | 26.38 | -53.29 | 0.81 | 10,266,757.70 | 5,913.17 | 59.43 |
| 31 | 03/05/14 03/05/24 | Industry !=SEMIEQUIPSVCE | 10,104.24 | 10,009.71 | 58.8 | 1.86 | 26.63 | -53.3 | 0.83 | 10,204,236.95 | 5,833.96 | 59.25 |
| 10 | 03/05/14 03/05/24 | Industry !=ORE | 10,059.82 | 9,965.29 | 58.73 | 1.88 | 26.2 | -53.5 | 0.82 | 10,159,815.77 | 5,702.06 | 59.34 |
| 33 | 03/05/14 03/05/24 | Industry !=BIOPHARMANONSYS | 10,016.83 | 9,922.30 | 58.66 | 1.88 | 26.28 | -53.63 | 0.81 | 10,116,828.10 | 5,606.34 | 59.57 |
| 41 | 03/05/14 03/05/24 | Industry !=MEDDEVICESGEN | 9,891.14 | 9,796.61 | 58.47 | 1.85 | 26.78 | -53.43 | 0.81 | 9,991,140.81 | 4,989.21 | 59.41 |
| 13 | 03/05/14 03/05/24 | Industry !=WOODPAPER | 9,887.23 | 9,792.70 | 58.46 | 1.85 | 26.71 | -53.07 | 0.8 | 9,987,227.57 | 5,596.87 | 58.74 |
| 27 | 03/05/14 03/05/24 | Industry !=INSURANCE | 9,802.96 | 9,708.44 | 58.32 | 1.88 | 26.11 | -52.98 | 0.81 | 9,902,962.87 | 5,161.92 | 59.39 |
| 40 | 03/05/14 03/05/24 | Industry !=HCAREDIAGNOSTICS | 9,772.22 | 9,677.69 | 58.28 | 1.9 | 25.79 | -53.76 | 0.82 | 9,872,218.24 | 5,524.65 | 59.36 |
| 47 | 03/05/14 03/05/24 | Industry !=TRAINTRUCK | 9,742.91 | 9,648.39 | 58.23 | 1.85 | 26.48 | -53.16 | 0.8 | 9,842,912.90 | 5,908.88 | 59.1 |
| 35 | 03/05/14 03/05/24 | Industry !=BIOPHARMASYS | 9,497.53 | 9,403.00 | 57.83 | 1.83 | 26.74 | -53.39 | 0.81 | 9,597,529.63 | 5,568.43 | 59.26 |
| 27 | 03/05/14 03/05/24 | Industry !=COMPONENTS | 9,244.87 | 9,150.34 | 57.41 | 1.8 | 27.1 | -54.16 | 0.8 | 9,344,870.78 | 4,664.13 | 59.15 |
| 8 | 03/05/14 03/05/24 | Industry !=APPARELPRODUCTS | 9,227.06 | 9,132.54 | 57.38 | 1.84 | 26.32 | -53.14 | 0.81 | 9,327,063.18 | 5,145.80 | 59.15 |
| 38 | 03/05/14 03/05/24 | Industry !=SOFTW | 8,198.82 | 8,104.30 | 55.55 | 1.84 | 25.62 | -52.18 | 0.83 | 8,298,824.54 | 4,749.83 | 58.81 |