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In reading the "results" below, please note the format:

result-love-fXX-hYY[-hutZZ].txt

Where fXX denotes the rebalancing frequency (typically f28 for 28
days), hYY the number of stocks to hold (typically h5 or h10 for
holding top 5 or top 10) and hutZZ for "hold-til-drop" (where ZZ
varies from 15 to 30).

The simulation was run using monthly data and holding period from
1997-08-31 until 2004-12-31.

First, the "hold 5" category, with "hold-til-drop" 15,20,25,30:

As far as I can see, hold-til-drop does not improve performance;

result-love-f28-h5.txt:
CAGR 61
GSD 36
Cycles 90
Ups/downs 66
Turnover 69

result-love-f28-h5-hut15.txt:
CAGR 50
GSD 36
Cycles 90
Ups/downs 64
Turnover 58

result-love-f28-h5-hut20.txt:
CAGR 49
GSD 35
Cycles 90
Ups/downs 64
Turnover 57

result-love-f28-h5-hut25.txt:
CAGR 51
GSD 35
Cycles 90
Ups/downs 64
Turnover 56

result-love-f28-h5-hut30.txt:
CAGR 49
GSD 35
Cycles 90
Ups/downs 64
Turnover 56

Let's try the same for the "hold 10" category, with "hold-til-drop":

Does not seem to improve performance either

result-love-f28-h10.txt:
CAGR 55
GSD 27
Cycles 90
Ups/downs 72
Turnover 65

result-love-f28-h10-hut15.txt:
CAGR 52
GSD 27
Cycles 90
Ups/downs 71
Turnover 60

result-love-f28-h10-hut20.txt:
CAGR 53
GSD 27
Cycles 90
Ups/downs 71
Turnover 58

result-love-f28-h10-hut30.txt:
CAGR 50
GSD 27
Cycles 90
Ups/downs 69
Turnover 56