No. of Recommendations: 7
Part 2 of 3
Russell 1000 Risk Adjusted Momentum
algo-catalog.com - R1k riskadj momentumClaimed backtest:
2020-01-01 to present -- CAGR: 25.4% Max DD: -33%
1990-01-02 to 2026-06-25 CAGR: 17.5% Max DD: -59%
FYI:
2020-01-02 - 2026-06-25
QQQ CAGR 21.05%
SPY CAGR 14.96%
1990-01-02 - 2026-06-23
QQQSIM CAGR 12.62%
SPY CAGR 10.15%
This combines high momentum and low short-term volatility.
Traded monthly
Steps:
Universe: Russell 1000
For each stock:
Compute MOM: 1 year relative strength (current price / year ago price -1)
Compute VOLPCT: Wilder's Average True Range for the last 20 days, ATR(20) divided by current price.
Several financial web sites have this, both ATR(20) and ATR(14) are common.
Some have the both ATR and ATR%. You need ATR%(20).
Discard any stock which has negative MOM. (Current price is below year ago price.)
Rank the stocks by (MOM / VOLPCT)
Invest in the top 20 stocks.
He does not do timing on his backtest. Reasonable timing would reduce the MaxDD.
As of 9/5/2026 these are the top 20 stocks:
1 SNDK
2 GSAT
3 MU
4 RVMD
5 WBD
6 LITE
7 MRNA
8 TECH
9 WDC
10 ARWR
11 DELL
12 ROIV
13 INTC
14 VLO
15 ATI
16 BE
17 MPC
18 AES
19 ROKU
