Subject: Re: NDX 100 Momentum Strategy - Code Repository
and the top 5% generated about 84.3%.
... the top 5% of positions generated about 90.9% of total profits.

I suspect that this doesn't mean the first N of the picks in order, but that x% of the 5 or 10 stocks had most of the profits.
Too bad GTR1 won't give a list of the stocks.

Here is the recent returns of the stocks in a similar MOM screen, in rank order, all bought on the same date:

 5.0%
12.6%
 7.6%
18.9%
 3.8%
-7.5%
 8.1%
13.2%
10.8%
 4.1%

In a different but similar screen, but longer running portfolio, 6 of the 10 had by far the bulk of the gains.

In another, 5 of the 10.

One thing that I have observed is that rebalancing existing holdings is a bad idea. Rebalance the new picks, yes. But leave the holdovers alone. Let your winners run.

Another thing that I have noticed is the stocks picked tend to be high priced. Many are several hundred dollars, some are over $1000. Makes it difficult to run a low-dollar portfolio.