Nasdaq 100 monthly Momentum Screen.

This is the GTR1 backtest statistics for a simple Momentum Screen. The object was to test a screen that has parameters which are easily and readily available.
Nasdaq 100 stocks, monthly, top 10 by 52 week price gain. 10 HTD 12
Using Total Return instead of Price-only Return did not make any noticible difference. Total return incorporates dividends, but these stocks seem to pay very small or no dividend, so the effect of the dividend is negligible.

These figures are for the lowest CAGR cycle of the 21 cycles. This was done by downloading the "Daily Closing Portfolio Values" into a spreadsheet, reducing it down to monthly, and computing the statistics from that data.

First section below is two long-term periods of interest.
Next are the statistics of 10 year periods, starting every 5 years, for the entire 40 year history of the Nasdaq 100.
No attempt at timing. Statistics with timing are in a following post.

Note that even though the long term returns are exceptional, there is one decade, 2000 to 2010, that had a loss. That the loss was not as bad as the loss of SPY and QQQ would be little consolation.

Another thing to notice is that this screen has huge drawdowns in every 10-year period. This screen is not for the faint of heart.

Twelve months (252 days) seemed to be the optimal lookback period. Lookbacks of 10 months and 13 months had lower returns.

2/1/1985 - 12/1/2025          9/1/2006 - 12/1/2025
CAGR      22.9%               CAGR      19.5%
Stdev     30.2%               Stdev     24.9%
MaxDD(12) -66%                MaxDD(12) -50%
Sortino   1.35                Sortino   1.31

-------------------------------------------------
                                                            
2/1/1985 - 2/1/1995                                          
CAGR      31.0%                                             
Stdev     28.6%                                             
MaxDD(12) -37%                2/1/1990 - 2/1/2000            
Sortino   1.91                CAGR      47.6%               
                              Stdev     33.3%               
                              MaxDD(12) -25%                
2/1/1995 - 2/1/2005           Sortino   2.97                
CAGR      24.0%                                             
Stdev     40.4%                                             
MaxDD(12) -66%                2/1/2000 - 2/1/2010  SPY: -0.81%
Sortino   1.11                CAGR      -1.3%      QQQ: -7.01%
                              Stdev     33.7%               
                              MaxDD(12) -66%                
2/1/2005 - 2/2/2015           Sortino   -0.07               
CAGR      15.9%                                             
Stdev     22.8%                                             
MaxDD(12) -50%                2/1/2010 - 2/3/2020            
Sortino   1.09                CAGR      24.6%               
                              Stdev     20.5%               
                              MaxDD(12) -22%                
2/2/2015 - 12/1/2025          Sortino   2.05                
CAGR      21.4%                                             
Stdev     26.3%                                             
MaxDD(12) -40%                2/3/2020 - 12/1/2025           
Sortino   1.45                CAGR      20.2%               
                              Stdev     30.8%               
                              MaxDD(12) -40%                
                              Sortino   1.17