Subject: Re: NDX 100 Momentum Strategy - Code Repository
I don't know why, but I had a hard time finding Nasdaq 100 constituent stocks going back before 2014.
I pull them in in an automated way, tried with a couple packages. If someone can find them and post them,
I can get the data going back to 2000 exactly correct.

The 2000 - 2015 I can't verify ... at all.

2016 to eom Jan 2025:

.venv/bin/python nasdaq100_momentum_backtest.py --top 1 2 3 4 5 6 7 8 9 10 --htd 10 --start 2016-01-04 --end 2025-01-31 --no-plot 2>&1

▸ Top 1 / HTD 10...
CAGR: 28.6% | Vol: 54.6% | MaxDD: -83.5% | Trades: 27
▸ Top 2 / HTD 10...
CAGR: 31.5% | Vol: 43.0% | MaxDD: -71.2% | Trades: 68
▸ Top 3 / HTD 10...
CAGR: 31.8% | Vol: 38.3% | MaxDD: -63.8% | Trades: 101
▸ Top 4 / HTD 10...
CAGR: 28.4% | Vol: 35.9% | MaxDD: -58.8% | Trades: 146
▸ Top 5 / HTD 10...
CAGR: 24.5% | Vol: 34.8% | MaxDD: -61.6% | Trades: 187
▸ Top 6 / HTD 10...
CAGR: 21.3% | Vol: 34.1% | MaxDD: -65.7% | Trades: 246
▸ Top 7 / HTD 10...
CAGR: 22.2% | Vol: 33.3% | MaxDD: -57.6% | Trades: 315
▸ Top 8 / HTD 10...
CAGR: 22.9% | Vol: 32.3% | MaxDD: -53.7% | Trades: 396
▸ Top 9 / HTD 10...
CAGR: 19.8% | Vol: 31.9% | MaxDD: -53.4% | Trades: 507
▸ Top 10 / HTD 10...
CAGR: 21.9% | Vol: 31.1% | MaxDD: -49.1% | Trades: 627

==========================================================================================
BACKTEST RESULTS SUMMARY
==========================================================================================
Strategy CAGR Vol MaxDD Sharpe QQQ SPY
------------------------------------------------------------------------------------------
Top 1 / HTD 10 28.6% 54.6% -83.5% 0.73 18.8% 14.1%
Top 2 / HTD 10 31.5% 43.0% -71.2% 0.85 18.8% 14.1%
Top 3 / HTD 10 31.8% 38.3% -63.8% 0.92 18.8% 14.1%
Top 4 / HTD 10 28.4% 35.9% -58.8% 0.88 18.8% 14.1%
Top 5 / HTD 10 24.5% 34.8% -61.6% 0.81 18.8% 14.1%
Top 6 / HTD 10 21.3% 34.1% -65.7% 0.74 18.8% 14.1%
Top 7 / HTD 10 22.2% 33.3% -57.6% 0.77 18.8% 14.1%
Top 8 / HTD 10 22.9% 32.3% -53.7% 0.80 18.8% 14.1%
Top 9 / HTD 10 19.8% 31.9% -53.4% 0.73 18.8% 14.1%
Top 10 / HTD 10 21.9% 31.1% -49.1% 0.79 18.8% 14.1%
------------------------------------------------------------------------------------------
Period: 2015-12-01 to 2025-01-31
Initial capital: $100,000
Best strategy: Top 3 / HTD 10 @ 31.8% CAGR
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