Subject: Re: NDX 100 Momentum Strategy - Code Repository
https://gtr1.net/2013/?~NasBig...
and timing using "go to cash when SPY<SMA325" works on creating the Nasdaq100 from market cap top 100 non-financial firms alone when you don't have the actual Nasdaq100 list to test.

Such 100, then top 10 by 1 year momentum, w/ .1 spread, monthly, getting out of market when SPY<SMA325

monthly v. 3 month hold since QQQ was created
cagr 24.76%  24
gsd  33      32.9
sharpe .79     .77
ldd  17.58   17.67
ui   15.76   15.66
beta   .86     .87
ti   26.95   25.93
at    4.5     3.03
mdd -55.3%  -54.1%