No. of Recommendations: 4
Do I read it right? They list 716 Nasdaq-100 strategies? 339 momentum strategies?
Wow.
Although I guess there is some overlap.
Can you decode some of the terminology for us?
For example, the highest of the Nasdaq ones, "Nasdaq-100 Eom Momentum No-Gate"
algo-catalog.com - Ndx eom momentum nogateLooks pretty easy to run if we know all the definitions.
Parameters:
TopN: 8
Win: 126
Data:
Rotate: EndOfMonth
dret: C / C[1] - 1
zmidr: ((H + L) / 2 - (H[1] + L[1]) / 2) / Max(C[1], 0.0001)
zvoln: V / Max(Avg(V, Win), 1)
zeom: zmidr / Max(zvoln, 0.1)
fscore: Avg(zeom, Win)
trendUp: C > Avg(C, 200)
rankS: #Rank IF(InNDX and trendUp, fscore, NaN)
My guesses:
C is current price
C[1] is previous price 1 [day?] [month?] ago
H = hi
L = lo
H[1], L[1] is High & Low 1 unit ago. day? month?
Would that be month? Since this trades monthly.
So H is the high price of the just finished month and H[1] is the high of the month before that?
V = Volume [of this month?] [of the current day?]
Avg(V, Win) = Average volume of the last 126 days.
Avg(C, 200) = 200 day SMA
Avg(zeom, Win) = Average zeom of the last 126 days.
dret = Daily return. Today close vs. yesterday close. So "[n]" means "n days ago"?
zmidr = something something of the month? day?
It seems odd to trade monthly based on the prices & volume of just one day.