First of all, Sharpe Ratio (SR) is meant to assess the uncertainty surrounding the expected returns of your PnL. In short: you divide by the standard deviation of the returns because you trust less a time series of PnL with a large standard deviation than with a small one.
Nevertheless it is in fact not the best indicator; the best one is the t-test, that ...
"What is the reason? Was that style of trading just a fad"
Doesn't seem surprising that day trading was more popular during a bull than a bear market. I'd guess you'd see the same effect cross-country (e.g. China 2014/2015). Also worth noting that volumes in NDX had peaked in 1Q01 and declined consistently until ~2004.
Thanks to @user42108 and @amdopt for yours answers!
I solved in this way:
I've finding functions momentum and ROC of TTR package. In that package there are a lot of function to implement momentum strategies.
I've downloaded time series with tseries and I've calculated momentum on adjusted prices.
Then I putted the vector of momentum values and the 'zoo' ...
There are a number of resources online for momentum strategies in R, e.g. https://rviews.rstudio.com/2019/05/29/momentum-investing-with-r/ or https://alphaarchitect.com/2019/07/11/momentum-quality-and-r-code/. I'd guess R Bloggers probably covered this, too. You might want to start with those and see if they answer your question(s).