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- Manlobbi
Personal Finance Topics / Macroeconomic Trends and Risks
No. of Recommendations: 19
This group has helped me a lot, so I'm giving it something in return.
Here's a repository with a backtesting engine for the Nasdaq 100.
I can't vouch for correctness of data, but any issues can be raised at the repository level, and we can fix them.
The project allows for a lot of functionality including:
backtesting assets
ranking assets
current selecting assets
hold til drop configurability
strength configurability
rotating to cash assets
I've included instructions on how to hook it up to telegram and a mac operating system for automated daily runs.
The cache should update daily correctly.
https://github.com/bunbuntigery/momentum-mechanica...Again, any issues raise in the thread or make a pull request on the repository.
I'll fix it.
No. of Recommendations: 5
How does it compare with the same strategy parameters in GTR1?
In 3 different time period.
Especially 1/3/2003 - 1/3/2020.
And 1/1/2000 - 11/1/2025
--top 10 --htd 12 or 15
BTW and FWIW, pure SMA timing does not work very good. It is too hair-trigger and very whiplash-y.
Better is sell when 4% below the SMA and buy >= SMA.
Survivorship bias — Backtests before 2015 use current Nasdaq 100 constituents.Oops. This make it useless for backtesting. GIGO.
I have always wondered if GTR1 has the same issue. If this and GTR1 have similar results for 1/4/2016 - 1/31/2025, then run another compare for 1/3/2000 - 1/2/2015 and see how they compare.
If the first range results _don't_ match, then one of them is very wrong.
Here's the GTR1 URL:
https://gtr1.net/2013/?~Nasdaq100%20top%2010:s2016...and
https://gtr1.net/2013/?~Nasdaq100%20top%2010:s2000...
No. of Recommendations: 5
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
====================================================================================
No. of Recommendations: 3
Side-by-side comparison of CAGR (our single start date vs GTR1's average across ~21 start dates):
Top N GTR1 Avg Ours Diff
10 22.1% 21.9% -0.2
9 22.6% 19.8% -2.8
8 23.9% 22.9% -1.0
7 24.2% 22.2% -2.0
6 23.1% 21.3% -1.8
5 23.3% 24.5% +1.2
4 24.2% 28.4% +4.2
3 27.3% 31.8% +4.5
2 32.8% 31.5% -1.3
1 30.2% 28.6% -1.6
No. of Recommendations: 8
Side-by-side comparison of CAGR (our single start date vs GTR1's average across ~21 start dates):The way to present table data so it is easily readable is:
load it into a text editor (I use notepad2 on Windows), then detabify it (convert tabs to spaces), then adjust the # of spaces so everything line up to your satisfaction, then enclose it in "< pre > ..... < /pre>". I assume you created the table in a spreadsheet.
So it shows like this:
Top N GTR1 Avg Ours Diff
10 22.10% 21.90% -0.2
9 22.60% 19.80% -2.8
8 23.90% 22.90% -1
7 24.20% 22.20% -2
6 23.10% 21.30% -1.8
5 23.30% 24.50% 1.2
4 24.20% 28.40% 4.2
3 27.30% 31.80% 4.5
2 32.80% 31.50% -1.3
1 30.20% 28.60% -1.6
No. of Recommendations: 11
Ray asked: I have always wondered if GTR1 has the same issue.
I can 100% assure you that the constituent list in GTR1 is accurate back to its conception in 1985. There are few projects I've put more time into than building these point-in-time change lists. And as an FYI: This is also true every single time there is the slightest change in the list every single day.
Backtests that do not maintain constituent lists that are accurate have significant survivorship bias and are useless.
No. of Recommendations: 7
mo wrote:
I don't know why, but I had a hard time finding Nasdaq 100 constituent stocks going back before 2014.Constructing the historical record of QQQ is quite a bit of work. An alternative is to use a screen like {NasBig100noFin}.
Define {NasBig100noFin}
step0: [Security Type; lag=1 days] == 10,11,12,30,31
step1: [Exchange Code; lag=1 days] == 3
step2: [Fama/French 12 Industry Code; lag=1 days] != 11
step3: [MktCap] Top 100
http://gtr1.net/2013/?~NasBig100noFin:h63::styp.a:...QQQE and {NasBig100noFin} total return for year ending:
year QQQE YearEnd Avg Min Max SD nSD
2016 7.19 20161230 5.44 3.95 6.50 0.62 2.8
2017 26.54 20171229 26.99 25.43 28.25 0.62 -0.7
2018 -5.40 20181231 -6.00 -6.89 -5.02 0.50 1.2
2019 36.44 20191231 32.04 30.51 34.28 0.82 5.3
2020 37.83 20201231 36.80 35.31 40.04 1.13 0.9
2021 17.98 20211231 19.41 16.82 21.37 1.00 -1.4
2022 -24.47 20221230 -24.52 -25.59 -23.31 0.53 0.1
2023 33.75 20231229 31.96 30.31 34.43 0.99 1.8
2024 6.98 20241231 12.72 10.13 14.85 1.01 -5.7
2025 14.58 20251128 18.49 15.56 20.77 1.23 -3.2
Correlation of TR for QQQE and {NasBig100noFin} is 0.99, with QQQE underperforming in 2024 and 2025. (QQQE total return in Dec 2025 was 0.33%. {NasBig100noFin} returns are to 20251128.)
This archived website lists Nas100 changes.
Saved 195 times between November 13, 2001 and January 14, 2026.
https://web.archive.org/web/20260000000000*/
http://www.nasdaq.com/indexshares/historical_data....Author: rgearyiii
Subject: GTR1 Database Update 1/12/14
Date: 1/12/2014
"... The new (or rather, previously unannounced) field file nas100.a provides daily Nasdaq 100 membership from January 1, 1995 according to historical changes indicated at
http://www.nasdaq.com/indexshares/historical_data.... and
http://en.wikipedia.org/wiki/NASDAQ-100#Components . The current list is obtained directly from nasdaq.com. The single day`s worth of work involved in building the historical membership lists was inspired by comments by Zeelotes suggesting that Nasdaq 100 membership is extremely important in his own successful trading. I have not had much time to explore this data myself due to a long to-do list for the backtester, so I am hoping others will start the research and share results. If anyone can demonstrate the value of this data, I`ll consider looking into what it takes (a lot more than a single day!) to obtain Nasdaq 100 constituent lists back to the index`s inception in 1984.The new (or rather, previously unannounced) field file nas100.a provides daily Nasdaq 100 membership from January 1, 1995 according to historical changes indicated at
http://www.nasdaq.com/indexshares/historical_data.... and
http://en.wikipedia.org/wiki/NASDAQ-100#Components . The current list is obtained directly from nasdaq.com. The single day`s worth of work involved in building the historical membership lists was inspired by comments by Zeelotes suggesting that Nasdaq 100 membership is extremely important in his own successful trading. I have not had much time to explore this data myself due to a long to-do list for the backtester, so I am hoping others will start the research and share results. If anyone can demonstrate the value of this data, I`ll consider looking into what it takes (a lot more than a single day!) to obtain Nasdaq 100 constituent lists back to the index`s inception in 1984. ..."
https://yorickm.com/Message.php?pid=31063732
No. of Recommendations: 6
Period: 2015-12-01 to 2025-01-31
Initial capital: $100,000
Best strategy: Top 3 / HTD 10 @ 31.8% CAGRSome comments:
* Sortino Ratio is a better metric than Sharpe Ratio. But everybody seems to post Sharpe because ... who is this Sortino guy?
* The volatility of the holding numbers below 4 are just too high to stomach. Also the MaxDD.
* The purpose of a HTD is to reduce the trading turnover of stocks that just fell slightly beyond the cutoff. So it should be a little bit more that the N. 1HTD10 is too big. Better would be 1HTD2. 3HTD10 is too much, better would be 3HTD5.
Just personally, I would never do a top 3 or 5. That's just too likely to have a bad outcome that would take you out of the game.
If one stock craters, that's a huge chunk of the portfolio. Better losing 1 of 10 than 1 of 3.
Of course that works the same way on the upside, but missing out a double of 1 of 3 stocks doesn't take you out of the game.
Maybe doable for a "trial portfolio" with just a small amount of money that would be okay to lose it all.
But even 100% return with a small amount of money is still just a small amount of money, so why bother?
I have run backtests on various sizes. Top 5, 10, 15, 25, 50. You kind of have to eyeball how fast the CAGR drops off as the N gets larger, and how fast the volatility and MaxDD increase and pick your sweet spot.
You have to be _very_ careful when comparing CAGRs, especially considering dividends. I ran QQQ and SPY in testfol.io for those date and got:
QQQ (no div) 18.8%
QQQ 19.7%
SPY (no div) 12.8%
SPY 14.8%
Your table showed QQQ 18.8% and SPY 14.1%. So it looks like QQQ (no div) and SPY (incl div). So not a like-to-like comparison.
Anyway...running NAs100 (annual rebalance) in gtr1 for those dates shows:
Top 100: 14.8%
Top 50: 16.6%
Top 25: 18.1%
Top 15: 19.2%
Top 10: 19.5%
Top 5: 24.5%
Volatilities: 15%, 17%, 20%, 26%, 32%, and 44%.
BTW, you have to rebalance occasionally otherwise it will just be B&H of the very first picks.
Ooh, looks like for this date range you've have been best just staying in QQQ.
had a hard time finding Nasdaq 100 constituent stocks going back before 2014.Ha! You should have see us in around 1999 when TimberFool and I were trying to gather the historical DJIA constituent stocks. I spent hours in the Schaumburg Library reading old newspapers on microfiche.
No. of Recommendations: 6
I am working today on a deep dive on discovering daily holdings for the NDX (100) index.
I believe this can be roughly correct using quarterly filings for qqq which I can pull from in an automated way.
I'll rebuild my price cache against this when completed and post the findings.
I don't want to waste a lot of effort if people are happy with current solution, but I can verify programmatically
correct findings. The part I like about the project is anyone can own and tweak and fix and inspect, so it's
not as much of a black box.
No. of Recommendations: 8
I am working on getting a correct list from the start of the Nasdaq100 forward. The following is a manual attempt until I do so I can't verify all accuracy (it used wiipedia, the reddit entry, and reading Nasdaq's news website and doing google searches on symbols) until I do I will report when I have the full detail probably from Norgate. This took hours of work before I gave up: Effective From Date Effective Thru Date Company Name Industry Ticker
1/1/1995 11/5/1995 Pioneer Hi-Bred Internationl Agricultural Production - Crops
1/1/1995 12/17/2000 Steel Excel Inc Oil and Gas Extraction
1/1/1995 10/14/1997 Tyson Foods Inc -CL A Food and Kindred Products
1/1/1995 12/17/1995 Molson Coors Brewing Co Food and Kindred Products
1/1/1995 5/24/1999 Mccormick & Co Inc Food and Kindred Products
1/1/1995 12/19/2010 Cintas Corp Apparel, Finished Prdcts from Fabrics & Similar Materials CTAS
1/1/1995 12/22/1996 Miller (HERMAN) Inc Furniture and Fixtures
1/1/1995 12/17/1995 Hni Corp Furniture and Fixtures
1/1/1995 12/22/1996 Willamette Industries Paper and Allied Products
1/1/1995 3/5/1995 Sonoco Products Co Paper and Allied Products
1/1/1995 2/10/1998 American Greetings -CL A Printing, Publishing and Allied Industries
1/1/1995 12/17/2000 Sigma-Aldrich Corp Chemicals and Allied Products
1/1/1995 12/22/1996 Perrigo Co Plc Chemicals and Allied Products
1/1/1995 4/20/2006 Chiron Corp Chemicals and Allied Products
1/1/1995 Amgen Inc Chemicals and Allied Products AMGN
1/1/1995 10/5/1999 Centocor Inc Chemicals and Allied Products
1/1/1995 11/12/2003 Biogen Inc-Old Chemicals and Allied Products
1/1/1995 4/3/2011 Genzyme Corp Chemicals and Allied Products
1/1/1995 12/19/1999 Worthington Industries Primary Metal Industries
1/1/1995 12/19/1999 Andrew Corp Primary Metal Industries
1/1/1995 12/22/1996 Giddings & Lewis Inc/Wi Industrial and Commercial Machinery and Computer Equipment
1/1/1995 Applied Materials Inc Industrial and Commercial Machinery and Computer Equipment AMAT
1/1/1995 12/22/1996 Lam Research Corp Industrial and Commercial Machinery and Computer Equipment
1/1/1995 12/17/1995 Nordson Corp Industrial and Commercial Machinery and Computer Equipment
1/1/1995 12/17/1995 Ast Research Inc Industrial and Commercial Machinery and Computer Equipment
1/1/1995 7/16/2009 Sun Microsystems Inc Industrial and Commercial Machinery and Computer Equipment
1/1/1995 10/29/2013 Dell Technologies Inc Industrial and Commercial Machinery and Computer Equipment
1/1/1995 8/3/1999 Quantum Corp Industrial and Commercial Machinery and Computer Equipment
1/1/1995 Cisco Systems Inc Industrial and Commercial Machinery and Computer Equipment CSCO
1/1/1995 2/28/1996 Bay Networks Inc Industrial and Commercial Machinery and Computer Equipment
1/1/1995 12/23/2001 3com Corp Industrial and Commercial Machinery and Computer Equipment
1/1/1995 12/17/1995 Tecumseh Products Co Industrial and Commercial Machinery and Computer Equipment
1/1/1995 12/17/2000 American Power Conversion Cp Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt
1/1/1995 8/27/1998 Dsc Communications Corp Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt
1/1/1995 12/21/2003 Adc Telecommunications Inc Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt
1/1/1995 5/19/2008 Tellabs Inc Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt
1/1/1995 Apple Inc Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt AAPL
1/1/1995 Intel Corp Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt INTC
1/1/1995 Xilinx Inc Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt
1/1/1995 Qualcomm Inc Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt QCOM
1/1/1995 1/6/1998 Cirrus Logic Inc Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt
1/1/1995 12/22/2002 Atmel Corp Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt
1/1/1995 10/18/2016 Linear Technology Corp Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt
1/1/1995 12/20/2005 Molex Inc Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt
1/1/1995 Paccar Inc Transportation Equipment PCAR
1/1/1995 12/22/1996 Stewart & Stevenson Services Transportation Equipment
1/1/1995 2/26/1995 Scimed Life Systems Inc Mesr/Anlyz/Cntrl Instrmnts; Photo/Med/Opt Gds; Watchs/Clocks
1/1/1995 7/23/1997 Stryker Corp Mesr/Anlyz/Cntrl Instrmnts; Photo/Med/Opt Gds; Watchs/Clocks
1/1/1995 7/17/2007 Biomet Inc Mesr/Anlyz/Cntrl Instrmnts; Photo/Med/Opt Gds; Watchs/Clocks
1/1/1995 11/24/1996 St Jude Medical Inc Mesr/Anlyz/Cntrl Instrmnts; Photo/Med/Opt Gds; Watchs/Clocks
1/1/1995 11/26/1995 Caliber Systems Inc Motor Freight Transportation
1/1/1995 12/17/1995 Yrc Worldwide Inc Motor Freight Transportation
1/1/1995 12/22/1996 Hunt (JB) Transprt Svcs Inc Motor Freight Transportation
1/1/1995 12/17/1995 Matson Inc Water Transportation
1/1/1995 12/22/1996 Asa Holdings Inc Transportation by Air
1/1/1995 10/2/1995 Lin Broadcasting Communications
1/1/1995 12/22/1996 Vanguard Cellular Sys -CL A Communications
1/1/1995 12/22/1996 Skytel Communications Inc Communications
1/1/1995 1/6/1998 Paging Network Inc Communications
1/1/1995 8/14/2005 Nextel Communications Inc Communications
1/1/1995 9/26/1995 Pacific Telecom Inc Communications
1/1/1995 9/15/1998 Mci Communications Communications
1/1/1995 7/23/2002 Mci Inc Communications
1/1/1995 11/26/1995 Multimedia Inc Communications
1/1/1995 3/9/1999 Tele-Comm Tci Group -SER A Communications
1/1/1995 11/18/2002 Comcast Corp Communications CMCSA
1/1/1995 1/26/1995 Magma Power Co Electric, Gas and Sanitary Services
1/1/1995 9/29/1996 Aes Corp Electric, Gas and Sanitary Services
1/1/1995 12/17/1995 Intelligent Electronics Inc Wholesale Trade - Durable Goods INTC
1/1/1995 12/20/2015 Staples Inc Wholesale Trade - Nondurable Goods
1/1/1995 1/26/1995 Dollar General Corp General Merchandise Stores
1/1/1995 Costco Wholesale Corp General Merchandise Stores COST
1/1/1995 8/17/1995 Brunos Inc Food Stores
1/1/1995 9/8/1999 Delhaize America Inc Food Stores
1/1/1995 12/17/1995 Charming Shoppes Inc Apparel and Accessory Stores ARM
1/1/1995 6/9/1999 Nordstrom Inc Apparel and Accessory Stores
1/1/1995 12/22/1996 Bob Evans Farms Eating and Drinking Places ARM
1/1/1995 1/6/1998 Osi Restaurant Partners Inc Eating and Drinking Places
1/1/1995 12/19/1999 Cracker Barrel Old Ctry Stor Eating and Drinking Places
1/1/1995 2/12/1995 Qvc Inc Miscellaneous Retail
1/1/1995 8/26/1998 Viking Office Products Inc Miscellaneous Retail
1/1/1995 7/16/1996 U S Healthcare Inc Insurance Carriers
1/1/1995 12/17/2000 Pacificare Health Systems Insurance Carriers
1/1/1995 12/19/1999 First Health Group Corp Insurance Agents, Brokers and Service
1/1/1995 12/22/1996 Kelly Services Inc -CL A Business Services
1/1/1995 12/19/1999 Autodesk Inc Business Services ADSK
1/1/1995 12/23/2001 Novell Inc Business Services
1/1/1995 Microsoft Corp Business Services MSFT
1/1/1995 Adobe Systems Inc Business Services ADBE
1/1/1995 7/4/1995 Lotus Development Corp Business Services
1/1/1995 7/18/1995 Legent Corp Business Services
1/1/1995 12/22/1996 Acclaim Entertainment Inc Business Services
1/1/1995 1/6/1998 Ascential Software Corp Business Services
1/1/1995 12/20/1998 Sybase Inc Business Services
1/1/1995 3/12/2001 Bmc Software Inc Business Services
1/1/1995 12/23/2001 Ptc Inc Business Services
1/1/1995 12/19/2004 Compuware Corp Business Services
1/1/1995 12/27/2012 Electronic Arts Inc Business Services EA
1/1/1995 7/14/2013 Oracle Corp Business Services
1/1/1995 Paychex Inc Engineering, Accounting, Research, Management & Related Svcs PAYX
1/27/1995 1/6/1998 Rpm International Inc Chemicals and Allied Products
1/27/1995 7/9/1996 Stratacom Inc Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt
2/13/1995 12/22/1996 Schulman (A.) Inc Chemicals and Allied Products
2/27/1995 2/25/2016 Kla-Tencor Corp Mesr/Anlyz/Cntrl Instrmnts; Photo/Med/Opt Gds; Watchs/Clocks KLAC
3/6/1995 1/12/1999 Hbo & Co Business Services
7/5/1995 12/30/1996 Mfs Communications Inc Communications
7/19/1995 10/6/2015 Altera Corp Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt
8/18/1995 12/17/2000 Northwest Airlines Corp Transportation by Air
9/27/1995 6/11/1997 U S Robotics Corp Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt
10/3/1995 1/6/1998 Edci Holdings Inc Nonclassifiable Establishments
11/6/1995 8/1/1996 Time Warner Inc Communications
11/27/1995 5/21/1997 Gateway Inc Industrial and Commercial Machinery and Computer Equipment
11/27/1995 1/6/1998 Intuit Inc Business Services INTU
12/18/1995 1/6/1998 Idexx Labs Inc Chemicals and Allied Products
12/18/1995 12/22/1996 Read-Rite Corp Industrial and Commercial Machinery and Computer Equipment
12/18/1995 10/2/2007 Maxim Integrated Products Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt
12/18/1995 12/20/1998 General Nutrition Cos -CL A Food Stores
12/18/1995 1/6/1998 Boston Chicken Inc Eating and Drinking Places
12/18/1995 1/6/1998 Petsmart Inc Miscellaneous Retail
12/18/1995 12/28/2004 Peoplesoft Inc Business Services
12/18/1995 12/19/1999 Web.Com Inc Business Services
12/18/1995 9/14/1998 Gartner Inc Engineering, Accounting, Research, Management & Related Svcs
2/29/1996 12/20/1998 Oxford Health Plans Inc Insurance Carriers
7/10/1996 6/24/1999 Ascend Communications Inc Industrial and Commercial Machinery and Computer Equipment
7/17/1996 6/30/1997 Cascade Communications Corp Industrial and Commercial Machinery and Computer Equipment
8/2/1996 6/11/1997 Autonation Inc Automotive Dealers and Gasoline Service Stations
9/30/1996 5/27/1999 Fore Systems Inc Industrial and Commercial Machinery and Computer Equipment
11/25/1996 Starbucks Corp Eating and Drinking Places SBUX
12/23/1996 8/12/1997 Fort Howard Corp Paper and Allied Products
12/23/1996 12/19/1999 Electronics For Imaging Inc Industrial and Commercial Machinery and Computer Equipment
12/23/1996 12/20/1998 Pairgain Technologies Inc Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt
12/23/1996 12/20/1998 Adtran Inc Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt
12/23/1996 1/6/1998 Komag Inc Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt
12/23/1996 12/20/1998 Wisconsin Central Transportn Railroad Transportation
12/23/1996 12/18/2016 Bed Bath & Beyond Inc Home Furniture, Furnishings and Equipment Stores
12/23/1996 10/26/1999 Corporate Express Inc Miscellaneous Retail
12/23/1996 11/6/2002 Concord Efs Inc Depository Institutions
12/23/1996 6/3/1997 Sungard Data Systems Inc Business Services
12/23/1996 12/17/2000 Synopsys Inc Business Services SNPS
12/23/1996 12/17/2000 Mcafee Inc Business Services
12/23/1996 Fiserv Inc Business Services
12/23/1996 12/20/1998 Phycor Inc Health Services
12/23/1996 12/17/2000 Quintiles Transnational Corp Engineering, Accounting, Research, Management & Related Svcs
12/31/1996 12/19/1999 Fastenal Co Building Matrials, Hrdwr, Garden Supply & Mobile Home Dealrs FAST
5/22/1997 3/17/1999 Netscape Communications Corp Business Services
6/4/1997 12/29/2013 Microchip Technology Inc Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt MCHP
6/12/1997 12/17/2000 Miller (HERMAN) Inc Furniture and Fixtures
6/12/1997 12/19/1999 Ross Stores Inc Apparel and Accessory Stores ROST
7/1/1997 12/20/1998 U S Office Products Co Wholesale Trade - Nondurable Goods
7/24/1997 12/20/2005 Smurfit-Stone Container Corp Paper and Allied Products
8/13/1997 12/19/1999 Stewart Enterprises -CL A Personal Services
10/15/1997 8/18/2004 Panamsat Corp Communications
1/7/1998 12/19/1999 Thomson Reuters Plc Printing, Publishing and Allied Industries TRI
1/7/1998 12/20/1998 Dura Pharmaceuticals Inc Chemicals and Allied Products ARM
1/7/1998 7/14/2002 Immunex Corp Chemicals and Allied Products
1/7/1998 12/21/2003 Telefonaktiebolaget Lm Erics Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt
1/7/1998 5/4/1999 Jacor Communications Communications
1/7/1998 7/13/1999 Amfm Inc Communications
1/7/1998 12/29/1998 Allied Waste Industries Inc Electric, Gas and Sanitary Services
1/7/1998 12/19/1999 Tech Data Corp Wholesale Trade - Durable Goods
1/7/1998 12/19/1999 Cambridge Technology Partner Business Services
1/7/1998 Citrix Systems Inc Business Services
1/7/1998 12/17/2000 Apollo Education Group Inc Educational Services
2/11/1998 12/19/1999 Rexall Sundown Inc Chemicals and Allied Products
8/27/1998 12/23/2001 Level 3 Communications Inc Communications
8/28/1998 12/29/1999 Qwest Communication Intl-Old Communications
9/15/1998 12/21/2009 Iac/Interactivecorp Business Services
9/16/1998 Yahoo Inc Business Services
12/21/1998 12/22/2002 Vitesse Semiconductor Corp Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt
12/21/1998 11/21/1999 Comair Holdings Inc Transportation by Air
12/21/1998 10/26/2000 Ptv Inc Communications
12/21/1998 12/23/2001 Mcleodusa Inc -CL A Communications
12/21/1998 12/17/2000 Dollar Tree Inc General Merchandise Stores
12/21/1998 Amazon.Com Inc Miscellaneous Retail AMZN
12/21/1998 Intuit Inc Business Services INTU
12/21/1998 7/5/2005 Veritas Software Corp Business Services
12/21/1998 12/19/1999 Lincare Holdings Inc Health Services
12/30/1998 12/20/2005 Sanmina Corp Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt
1/13/1999 2/5/2007 Comverse Technology Inc Business Services
3/10/1999 10/3/2001 At Home Corp Business Services
3/18/1999 12/23/2001 Moduslink Global Solutions Business Services
5/5/1999 12/19/2006 Viavi Solutions Inc Industrial and Commercial Machinery and Computer Equipment
5/25/1999 12/23/2001 Cnet Networks Inc Business Services
5/28/1999 10/29/2000 Lycos Inc Business Services
6/10/1999 9/6/2000 Visx Inc/De Mesr/Anlyz/Cntrl Instrmnts; Photo/Med/Opt Gds; Watchs/Clocks
6/25/1999 2/7/2006 Siebel Systems Inc Business Services
7/14/1999 12/22/2002 Conexant Systems Inc Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt
8/4/1999 12/21/2003 Ciena Corp Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt
9/9/1999 11/5/2000 Global Crossing Ltd Communications
10/6/1999 Ebay Inc Business Services
10/27/1999 5/30/2001 Voicestream Wireless Corp Communications
11/22/1999 12/23/2001 Realnetworks Inc Business Services
12/20/1999 6/4/2007 Medimmune Inc Chemicals and Allied Products
12/20/1999 12/20/2005 Qlogic Corp Industrial and Commercial Machinery and Computer Equipment
12/20/1999 12/18/2016 Netapp Inc Industrial and Commercial Machinery and Computer Equipment
12/20/1999 2/12/2001 Sdl Inc Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt
12/20/1999 12/22/2002 Pmc-Sierra Inc Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt
12/20/1999 12/22/2002 Applied Micro Circuits Corp Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt
12/20/1999 12/21/2003 Qorvo Inc Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt
12/20/1999 12/16/2001 Xo Holdings Inc -CL A Communications
12/20/1999 6/2/2002 Adelphia Commun -CL A Communications
12/20/1999 12/19/2010 Dish Network Corp Communications
12/20/1999 12/23/2001 Abovenet Inc Communications
12/20/1999 6/8/2000 Network Solutions Inc Business Services
12/20/1999 12/23/2001 Broadvision Inc Business Services
12/20/1999 12/17/2000 Legato Systems Inc Business Services
12/20/1999 12/22/2002 I2 Technologies Inc Business Services
12/30/1999 12/15/2002 Gemstar-Tv Guide Intl Inc Communications
6/9/2000 12/27/2012 Verisign Inc Business Services
9/7/2000 10/28/2009 Juniper Networks Inc Industrial and Commercial Machinery and Computer Equipment JNPR
10/27/2000 12/23/2001 Ariba Inc Business Services ARBA
10/30/2000 11/10/2015 Broadcom Corp Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt AVGO
11/6/2000 12/23/2001 Palm Inc Industrial and Commercial Machinery and Computer Equipment PALM
12/18/2000 12/21/2003 Human Genome Sciences Inc Chemicals and Allied Products HGSI
12/18/2000 12/20/2005 Millennium Pharmaceuticals Chemicals and Allied Products ARM
12/18/2000 Biogen Inc Chemicals and Allied Products BIIB
12/18/2000 12/22/2002 Abgenix Inc Chemicals and Allied Products ABGX
12/18/2000 12/27/2012 Flex Ltd Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt FLEX
12/18/2000 10/4/2001 Exodus Communications Inc Business Services EXDS
12/18/2000 12/22/2002 Rational Software Corp Business Services RATL
12/18/2000 12/21/2003 Monster Worldwide Inc Business Services MWW
12/18/2000 Check Point Software Techn Business Services CHKP
12/18/2000 12/23/2001 Inktomi Corp Business Services INKT
12/18/2000 1/3/2006 Mercury Interactive Corp Business Services MERQ
12/18/2000 5/6/2008 Bea Systems Inc Business Services BEAS
2/13/2001 12/21/2003 Brocade Communications Sys Industrial and Commercial Machinery and Computer Equipment BRCD
3/13/2001 12/20/2005 Novellus Systems Inc Industrial and Commercial Machinery and Computer Equipment NVLS
5/31/2001 12/19/2004 Nvidia Corp Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt NVDA
10/4/2001 12/22/2002 Andrx Corp Wholesale Trade - Nondurable Goods ADRX
10/5/2001 Gilead Sciences Inc Chemicals and Allied Products GILD
12/17/2001 12/27/2012 Apollo Education Group Inc Educational Services APOL
12/24/2001 12/22/2002 Sepracor Inc Chemicals and Allied Products SEPR
12/24/2001 12/21/2003 Icos Corp Chemicals and Allied Products ICOC
12/24/2001 12/19/2004 Cephalon Inc Chemicals and Allied Products CEPH
12/24/2001 12/22/2002 Imclone Systems Inc Chemicals and Allied Products IMCL
12/24/2001 12/22/2002 Pdl Biopharma Inc Chemicals and Allied Products ARM
12/24/2001 12/20/2005 Life Technologies Corp Chemicals and Allied Products LIFE
12/24/2001 12/22/2002 Integrated Device Tech Inc Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt IDTI
12/24/2001 12/22/2002 Cytyc Corp Mesr/Anlyz/Cntrl Instrmnts; Photo/Med/Opt Gds; Watchs/Clocks CYTC
12/24/2001 12/22/2002 Charter Communications Inc Communications CHTR
12/24/2001 10/9/2007 Cdw Corp Wholesale Trade - Durable Goods CDWC
12/24/2001 Express Scripts Holding Co Miscellaneous Retail ESRX
12/24/2001 Symantec Corp Business Services SYMC
12/24/2001 12/20/2005 Synopsys Inc Business Services SNPS
6/3/2002 12/20/2005 Dollar Tree Inc General Merchandise Stores DLTR
7/15/2002 8/4/2015 Sigma-Aldrich Corp Chemicals and Allied Products SIAL
7/24/2002 12/19/2006 Lincare Holdings Inc Health Services LNCR
11/7/2002 5/29/2012 Teva Pharmaceuticals Chemicals and Allied Products ARM
11/19/2002 Comcast Corp Communications CMCSA
12/16/2002 12/19/2010 Patterson Companies Inc Wholesale Trade - Durable Goods PDCO
12/23/2002 12/19/2004 Patterson-Uti Energy Inc Oil and Gas Extraction PTEN
12/23/2002 2/13/2007 American Power Conversion Cp Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt APC
12/23/2002 12/19/2004 Gentex Corp Transportation Equipment GNTX
12/23/2002 12/29/2013 Dentsply Sirona Inc Mesr/Anlyz/Cntrl Instrmnts; Photo/Med/Opt Gds; Watchs/Clocks XRAY
12/23/2002 12/20/2015 C H Robinson Worldwide Inc Motor Freight Transportation CHRW
12/23/2002 12/19/2004 Ryanair Holdings Plc Transportation by Air RYAAY
12/23/2002 12/20/2015 Expeditors Intl Wash Inc Transportation Services EXPD
12/23/2002 12/19/2004 Schein (HENRY) Inc Wholesale Trade - Durable Goods HSIC
12/23/2002 Fastenal Co Building Matrials, Hrdwr, Garden Supply & Mobile Home Dealrs FAST
12/23/2002 12/29/2008 Whole Foods Market Inc Food Stores WFMI
12/23/2002 12/27/2007 Ross Stores Inc Apparel and Accessory Stores ROST
12/23/2002 12/29/2008 Petsmart Inc Miscellaneous Retail PETM
12/23/2002 12/19/2004 First Health Group Corp Insurance Agents, Brokers and Service FHCC
12/23/2002 12/29/2008 Lamar Advertising Co -CL A Holding and Other Investment Offices LAMR
12/23/2002 5/16/2006 Pixar Motion Pictures PIXR
11/13/2003 12/29/2008 Sandisk Corp Industrial and Commercial Machinery and Computer Equipment SNDK
12/22/2003 12/27/2012 Lam Research Corp Industrial and Commercial Machinery and Computer Equipment LRCX
12/22/2003 12/20/2005 Intersil Corp -CL A Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt ISIL
12/22/2003 10/22/2006 Ati Technologies Inc Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt ATYT
12/22/2003 12/27/2012 Marvell Technology Group Ltd Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt MRVL
12/22/2003 12/20/2015 Garmin Ltd Mesr/Anlyz/Cntrl Instrmnts; Photo/Med/Opt Gds; Watchs/Clocks ARM
12/22/2003 12/20/2005 Level 3 Communications Inc Communications LVLT
12/22/2003 12/27/2012 Blackberry Ltd Business Services BB
12/22/2003 12/20/2005 Career Education Corp Educational Services CECO
8/19/2004 12/29/2013 Sears Holdings Corp General Merchandise Stores SHLD
12/20/2004 12/27/2007 Telefonaktiebolaget Lm Erics Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt ERIC
12/20/2004 1/10/2006 Mci Inc Communications MCIP
12/20/2004 12/27/2007 Xm Satellite Radio Hldgs Inc Communications XMSR
12/20/2004 12/29/2008 Sirius Xm Holdings Inc Communications SIRI
12/20/2004 12/29/2008 Virgin Media Inc Communications VMED
12/20/2004 12/21/2009 Liberty Global Plc Global Gp Communications LBTYB
12/20/2004 Autodesk Inc Business Services ADSK
12/20/2004 12/20/2015 Wynn Resorts Ltd Amusement and Recreation Services WYNN
12/29/2004 Cognizant Tech Solutions Business Services CTSH
7/6/2005 Celgene Corp Chemicals and Allied Products CELG
8/15/2005 12/27/2007 Sepracor Inc Chemicals and Allied Products SEPR
12/21/2005 12/27/2007 Patterson-Uti Energy Inc Oil and Gas Extraction PTEN
12/21/2005 Nvidia Corp Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt NVDA
12/21/2005 12/21/2014 Expedia Inc Transportation Services EXPD
12/21/2005 12/20/2011 Nii Holdings Inc Communications NIHD
12/21/2005 12/29/2008 Discovery Communications Inc Communications DISCA
12/21/2005 12/19/2006 Urban Outfitters Inc Apparel and Accessory Stores URBN
12/21/2005 Alphabet Inc Business Services GOOGL
12/21/2005 11/11/2008 Monster Worldwide Inc Business Services MWW
12/21/2005 12/11/2006 Red Hat Inc Business Services RHT
12/21/2005 7/9/2008 Activision Inc Business Services ATVI
12/21/2005 12/29/2008 Cadence Design Systems Inc Business Services CDNS
12/21/2005 12/4/2007 Checkfree Corp Business Services CKFR
1/4/2006 12/6/2011 Joy Global Inc Industrial and Commercial Machinery and Computer Equipment JOY
1/11/2006 12/29/2008 Amylin Pharmaceuticals Inc Chemicals and Allied Products ARM
2/8/2006 Intuitive Surgical Inc Mesr/Anlyz/Cntrl Instrmnts; Photo/Med/Opt Gds; Watchs/Clocks ISRG
4/21/2006 12/21/2009 Akamai Technologies Inc Business Services AKAM
5/17/2006 5/26/2011 Millicom Intl Cellular Sa Communications TIGO
10/23/2006 Liberty Interactv Cp Qvc Grp Miscellaneous Retail LINTA
12/12/2006 3/7/2007 Amern Eagle Outfitters Inc Apparel and Accessory Stores AEO
12/20/2006 Vertex Pharmaceuticals Inc Chemicals and Allied Products VRTX
12/20/2006 12/29/2008 Level 3 Communications Inc Communications LVLT
12/20/2006 12/11/2012 Infosys Ltd Business Services INFY
2/6/2007 12/19/2010 Logitech International Sa Industrial and Commercial Machinery and Computer Equipment LOGI
2/14/2007 12/21/2009 Ryanair Holdings Plc Transportation by Air RYAAY
3/8/2007 7/22/2008 United Continental Hldgs Inc Transportation by Air UAL
6/5/2007 7/19/2011 Cephalon Inc Chemicals and Allied Products CEPH
7/18/2007 12/19/2010 Foster Wheeler Ag Heavy Cnstrctn, Except Building Construction - Contractors FWLT
10/3/2007 Schein (HENRY) Inc Wholesale Trade - Durable Goods HSIC
10/10/2007 12/29/2008 Leap Wireless Intl Inc Communications LEAP
12/5/2007 Baidu Inc Business Services BIDU
12/28/2007 12/21/2009 Monster Beverage Corp Food and Kindred Products MNST
12/28/2007 12/21/2009 Steel Dynamics Inc Primary Metal Industries STLD
12/28/2007 12/19/2010 Hologic Inc Mesr/Anlyz/Cntrl Instrmnts; Photo/Med/Opt Gds; Watchs/Clocks HOLX
12/28/2007 12/18/2016 Stericycle Inc Electric, Gas and Sanitary Services SRCL
12/28/2007 1/20/2009 Focus Media Holding Ltd Business Services FMCN
5/7/2008 7/27/2015 Directv Communications DTV
5/20/2008 Ca Inc Business Services ISRG
7/10/2008 Activision Blizzard Inc Business Services ATVI
7/23/2008 12/20/2011 Flir Systems Inc Mesr/Anlyz/Cntrl Instrmnts; Photo/Med/Opt Gds; Watchs/Clocks FLIR
11/12/2008 Seagate Technology Plc Industrial and Commercial Machinery and Computer Equipment STX
12/30/2008 12/27/2012 Warner Chilcott Plc Chemicals and Allied Products WCRX
12/30/2008 8/28/2013 Life Technologies Corp Chemicals and Allied Products LIFE
12/30/2008 4/22/2012 First Solar Inc Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt FSLR
12/30/2008 12/21/2014 Maxim Integrated Products Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt MXIM
12/30/2008 12/20/2011 Illumina Inc Mesr/Anlyz/Cntrl Instrmnts; Photo/Med/Opt Gds; Watchs/Clocks ILMN
12/30/2008 12/19/2010 Hunt (JB) Transprt Svcs Inc Motor Freight Transportation JBHT
12/30/2008 O'reilly Automotive Inc Automotive Dealers and Gasoline Service Stations ORLY
12/30/2008 Ross Stores Inc Apparel and Accessory Stores ROST
12/30/2008 12/20/2011 Urban Outfitters Inc Apparel and Accessory Stores URBN
12/30/2008 Automatic Data Processing Business Services ADP
12/30/2008 12/21/2009 Pharmaceutical Prod Dev Inc Engineering, Accounting, Research, Management & Related Svcs ARM
1/21/2009 Twenty-First Century Fox Inc Communications FOXA
7/17/2009 Cerner Corp Business Services CERN
10/29/2009 Priceline Group Inc Business Services PCLN
12/22/2009 Mylan Nv Chemicals and Allied Products MYL
12/22/2009 3/15/2016 Sandisk Corp Industrial and Commercial Machinery and Computer Equipment SNDK
12/22/2009 12/20/2011 Qiagen Nv Mesr/Anlyz/Cntrl Instrmnts; Photo/Med/Opt Gds; Watchs/Clocks QGEN
12/22/2009 Mattel Inc Miscellaneous Manufacturing Industries MAT
12/22/2009 Vodafone Group Plc Communications VOD
12/22/2009 6/4/2013 Virgin Media Inc Communications VMED
12/22/2009 7/29/2013 Bmc Software Inc Business Services BMC
12/20/2010 Micron Technology Inc Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt MU
12/20/2010 7/23/2012 Ctrip.Com Intl Ltd Transportation Services CTRP
12/20/2010 Dollar Tree Inc General Merchandise Stores DLTR
12/20/2010 12/18/2016 Whole Foods Market Inc Food Stores WFMI
12/20/2010 Akamai Technologies Inc Business Services AKAM
12/20/2010 12/21/2014 F5 Networks Inc Business Services FFIV
12/20/2010 12/27/2012 Netflix Inc Motion Pictures NFLX
4/4/2011 Alexion Pharmaceuticals Inc Chemicals and Allied Products ARM
5/27/2011 12/27/2012 Keurig Green Mountain Inc Food and Kindred Products GMCR
7/20/2011 Sirius Xm Holdings Inc Communications SIRI
12/7/2011 6/5/2013 Perrigo Co Plc Chemicals and Allied Products PRGO
12/21/2011 11/19/2013 Randgold Resources Ltd Metal Mining GOLD
12/21/2011 Monster Beverage Corp Food and Kindred Products MNST
12/21/2011 Broadcom Ltd Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt AVGO
12/21/2011 12/29/2013 Fossil Group Inc Mesr/Anlyz/Cntrl Instrmnts; Photo/Med/Opt Gds; Watchs/Clocks FOSL
12/21/2011 12/29/2013 Nuance Communications Inc Business Services NUAN
4/23/2012 Texas Instruments Inc Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt TXN
5/30/2012 Viacom Inc Communications VIAB
7/24/2012 Mondelez International Inc Food and Kindred Products MDLZ
12/12/2012 Facebook Inc Business Services FB
12/28/2012 Regeneron Pharmaceuticals Chemicals and Allied Products REGN
12/28/2012 Western Digital Corp Industrial and Commercial Machinery and Computer Equipment WDC
12/28/2012 Analog Devices Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt ADI
12/28/2012 3/19/2013 Starz Communications STRZA
12/28/2012 Liberty Global Plc Global Gp Communications LBTYA
12/28/2012 Discovery Communications Inc Communications DISCA
12/28/2012 Verisk Analytics Inc Insurance Agents, Brokers and Service VRSK
12/28/2012 3/22/2015 Equinix Inc Holding and Other Investment Offices EQIX
12/28/2012 3/20/2017 Sba Communications Corp Holding and Other Investment Offices SBAC
12/28/2012 7/28/2015 Catamaran Corp Business Services CTRX
3/20/2013 7/2/2015 Kraft Foods Group Inc Food and Kindred Products KRFT
6/5/2013 4/17/2016 Liberty Media Siriusxm Group Communications LMCA
6/6/2013 Netflix Inc Motion Pictures NFLX
7/15/2013 Tesla Inc Transportation Equipment TSLA
7/30/2013 Charter Communications Inc Communications CHTR
8/29/2013 12/20/2015 Keurig Green Mountain Inc Food and Kindred Products GMCR
10/30/2013 12/20/2015 Veon Ltd Communications VEON
11/20/2013 Marriott Intl Inc Hotels, Rooming Houses, Camps, and Other Lodging Places MAR
12/30/2013 2/7/2017 Nxp Semiconductors Nv Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt NXPI
12/30/2013 Illumina Inc Mesr/Anlyz/Cntrl Instrmnts; Photo/Med/Opt Gds; Watchs/Clocks ILMN
12/30/2013 Dish Network Corp Communications DISH
12/30/2013 Tractor Supply Co Building Matrials, Hrdwr, Garden Supply & Mobile Home Dealrs TSCO
12/30/2013 4/26/2017 Tripadvisor Inc Business Services TRIP
4/3/2014 Alphabet Inc Business Services GOOGL
7/30/2014 4/17/2016 Liberty Media Siriusxm Group Communications LSXMK
8/7/2014 Discovery Communications Inc Communications DISCA
10/15/2014 Liberty Ventures Miscellaneous Retail LVNTA
12/22/2014 Lam Research Corp Industrial and Commercial Machinery and Computer Equipment LRCX
12/22/2014 American Airlines Group Inc Transportation by Air AAL
12/22/2014 Liberty Global Plc Global Gp Communications LBTYK
12/22/2014 12/11/2015 Comcast Corp Communications CMCSA
12/22/2014 Twenty-First Century Fox Inc Communications FOX
12/22/2014 Electronic Arts Inc Business Services EA
3/23/2015 Walgreens Boots Alliance Inc Miscellaneous Retail WBA
7/2/2015 12/20/2015 Liberty Global Plc Lilac Grp Communications LILA
7/3/2015 Kraft Heinz Co Food and Kindred Products KHC
7/28/2015 Biomarin Pharmaceutical Inc Chemicals and Allied Products BMRN
7/29/2015 Jd.Com Inc -ADR Miscellaneous Retail JD
8/5/2015 Skyworks Solutions Inc Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt SWKS
10/7/2015 Incyte Corp Chemicals and Allied Products INCY
11/11/2015 Paypal Holdings Inc Business Services PYPL
12/21/2015 7/19/2016 Endo International Plc Chemicals and Allied Products ENDP
12/21/2015 Maxim Integrated Products Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt MXIM
12/21/2015 Norwegian Cruise Line Hldgs Water Transportation NCLH
12/21/2015 Expedia Inc Transportation Services EXPE
12/21/2015 Ctrip.Com Intl Ltd Transportation Services CTRP
12/21/2015 T-Mobile Us Inc Communications TMUS
12/21/2015 Ulta Beauty Inc Miscellaneous Retail ULTA
2/26/2016 Csx Corp Railroad Transportation CSX
3/16/2016 Netease Inc Business Services NTES
4/18/2016 6/21/2016 Liberty Media Braves Group Amusement and Recreation Services BATRA
4/18/2016 6/21/2016 Liberty Media Cp Media Group Amusement and Recreation Services BATRA
6/22/2016 Dentsply Sirona Inc Mesr/Anlyz/Cntrl Instrmnts; Photo/Med/Opt Gds; Watchs/Clocks XRAY
7/20/2016 Microchip Technology Inc Electronic, Elctrcl Eqpmnt & Cmpnts, Excpt Computer Eqpmnt MCHP
10/19/2016 Shire Plc Chemicals and Allied Products SHPG
12/19/2016 Cintas Corp Apparel, Finished Prdcts from Fabrics & Similar Materials CTAS
12/19/2016 Kla-Tencor Corp Mesr/Anlyz/Cntrl Instrmnts; Photo/Med/Opt Gds; Watchs/Clocks KLAC
12/19/2016 Hologic Inc Mesr/Anlyz/Cntrl Instrmnts; Photo/Med/Opt Gds; Watchs/Clocks HOLX
12/19/2016 Hasbro Inc Miscellaneous Manufacturing Industries HAS
12/19/2016 Liberty Global Plc Lilac Grp Communications LILA
2/8/2017 Hunt (JB) Transprt Svcs Inc Motor Freight Transportation JBHT
3/20/2017 Idexx Labs Inc Chemicals and Allied Products IDXX
4/27/2017 Wynn Resorts Ltd Amusement and Recreation Services WYNN
6/19/2017 MercadoLibre MELI
10/23/2017 Align Technology ALGN
12/18/2017 Workday WDAY
12/18/2017 Take-Two Interactive TSCO
12/18/2017 Synopsys Inc NCLH
12/18/2017 Cadence Design Systems Inc DISCA
12/18/2017 ASML Holding ASML
12/18/2017 Synopsys Inc SNPS
7/23/2018 PepsiCo PEP
11/5/2018 Nxp Semiconductors Nv NXPI
11/19/2018 Xcel Energy XRAY
12/24/2018 Advanced Micro Devices AMD
12/24/2018 Lululemon America LULU
12/24/2018 NetApp NTAP
12/24/2018 United Continental Holdings UAL
12/24/2018 Verisign VRSN
12/24/2018 Willis Towers Watson WLTW
3/19/2019 Fox Corporation Class A FOXA
3/19/2019 Fox Corporation Class B FOX
11/21/2019 Exelon EXC
12/23/2019 Seattle Genetics SGEN
12/23/2019 CoStar Group CSGP
12/23/2019 Copart CPRT
12/23/2019 CDW CDW
12/23/2019 Ansys ANSS
12/23/2019 Splunk SPLK
4/20/2020 Dexcom DXCM
4/30/2020 Zoom Video Communications ZM
6/22/2020 DocuSign DOCU
7/20/2020 Moderna MRNA
8/24/2020 Pinduoduo PDD
10/19/2020 Keurig Dr Pepper KDP
12/21/2020 American Electric Power AEP
12/21/2020 Okta OKTA
12/21/2020 Marvell Technology MRVL
12/21/2020 Match Group MTCH
12/21/2020 Peloton PTON
12/21/2020 Atlassian TEAM
7/21/2021 Honeywell HON
8/26/2021 Crowdstrike CRWD
12/20/2021 Airbnb ABNB
12/20/2021 Fortinet FTNT
12/20/2021 Lucid Group LCID
12/20/2021 Zscaler ZS
12/20/2021 Datadog DDOG
12/20/2021 Palo Alto Networks PANW
1/24/2022 Old Dominion Freight Line ODFL
2/2/2022 Constellation Energy CEG
2/22/2022 AstraZeneca AZN
11/21/2022 Enphase Energy ENPH
12/19/2022 Diamondback Energy FANG
12/19/2022 Baker Hughes BKR
12/19/2022 GlobalFoundries GFS
12/19/2022 Rivian Automotive RIVN
12/19/2022 CoStar Group CSGP
12/19/2022 Warner Bros. Discovery WBD
6/7/2023 GE HealthCare GEHC
6/20/2023 Onsemi ON
7/17/2023 The Trade Desk TTD
12/14/2023 Take-Two Interactive TTWO
12/18/2023 CDW CDW
12/18/2023 Coca-Cola Europacific Partners CCEP
12/18/2023 MongoDB MDB
12/18/2023 Roper Technologies ROP
12/18/2023 Splunk SPLK
12/18/2023 DoorDash DASH
3/18/2024 Linde LIN
6/24/2024 Arm Holdings ARM
7/22/2024 Supermicro SMCI
11/18/2024 AppLovin APP
12/23/2024 Palantir Technologies PLTR
12/23/2024 Axon Enterprise AXON
12/23/2024 MicroStrategy MSTR
5/19/2025 Shopify SHOP
7/28/2025 Thomson Reuters TRI
10/30/2025 Solstice Advanced Materials SOLS
12/22/2025 Western Digital WDC
12/22/2025 Seagate Technology Holdings STX
12/22/2025 Monolithic Power Systems MPWR
12/22/2025 Insmed Incorporated INSM
12/22/2025 Ferrovial SE FER
12/22/2025 Alnylam Pharmaceuticals ALNY
1/5/2026 Versant VSNT
1/20/2026 Walmart WMT
No. of Recommendations: 4
And using 300 to 350 days instead of 200 to time the market worked better in Robbie's tester:
e.g. this screen with that timing had a sharpe of .9 and a beta of 1.1 with a CAGR of 31% holding 5 stocks:
https://gtr1.net/2013/?h21f0.10000::nas100.a:et1:a... Also here are some dates to check on for any screen to see how it did during market'a bad periods and to see how recovery times compared to the market:
1️⃣ 1987 Crash Peak: 1987-08-25
Trough: 1987-10-19
Recovery: 1989-07-26
2️⃣ 1990 Recession Peak: 1990-07-16
Trough: 1990-10-11
Recovery: 1991-02-19
3️⃣ Dot-Com Bust (S&P)
Peak: 2000-03-26
Trough: 2002-10-09
Recovery: 2007-05-30
4️⃣ Global Financial Crisis Peak: 2007-10-09
Trough: 2009-03-09
Recovery: 2013-03-28
5️⃣ 2011 Euro Crisis Peak: 2011-04-29
Trough: 2011-10-03
Recovery: 2012-03-26
6️⃣ Q4 2018 Crash Peak: 2018-09-21
Trough: 2018-12-24
Recovery: 2019-04-23
7️⃣ COVID Crash Peak: 2020-02-19
Trough: 2020-03-23
Recovery: 2020-08-18
8️⃣ 2022 Growth Bear Peak: 2022-01-03
Trough: 2022-10-12
Recovery: 2023-12-14
No. of Recommendations: 5
Sorry about that: I've run so many possibilities I posted the wrong screen.
This one uses 200 days and has a beta of 1 and sharpe of .84 and 10 stocks with a CAGR of 26.29
https://gtr1.net/2013/?h21f0.10000::nas100.a:et1:t...But if you simply the timing test instead of using the 3-part used so often on this board,
and instead just use SPY>SMA325 to be in the market or out, you get
10 stocks v. 5 stocks
CAGR 23.8% 27.7%
sharpe .83 .85
beta .82 .87
mdd -51% -55.3%
2000 26%
2001 3%
2008 -4% -3.4%
2023 23%
https://gtr1.net/2013/?h21f0.10000::nas100.a:et1:t...
No. of Recommendations: 4
Not that anybody cares, or maybe it's just me being difficult (per wife) or pedantic (per me) but ...
SMA 325 vs. the more standard 200 smells like data-dredging. But, whatevver, 10 months, 12 months, 15 months, 200 days, 43 weeks .... you could make an argument for any of them.
OMG! I looked at the BCC definition and got dizzy
"lf-1lp-1h1::BCC:gt0:SMADiff:imports(0,SMADiff,1,0):NHNLRatio:imports(1,NHNLRatio,1,0):BCIII:imports(2,BCIII,1,0):BCC:linear(1,ifgt(SMADiff,0,1,0),2,ifgt(NHNLRatio,1,1,0),4,BCIII){lf-1lp-1h1::SMADiff:gt0:SMADiff:linear(1,sma(1,200),-1,sma(11,200)){U:{!GSPC}}}{lf-1lp-1h1::iflt(linear(1,ord(1),-1,date2ord(19731217)),0,3,excd.a)et3:styp.a:et10!11!18!48:dspo(1)al252:NHNLRatio:et-1:CountOfHighs:sum(ifgt(ratio(gprc(1),hgprc(2,251)),1,1,0),1,step3):CountOfLows:sum(iflt(ratio(gprc(1),lgprc(2,251)),1,1,0),1,step3):WeightedCountOfHighs:sgwsum(CountOfHighs,0,9,8,7,6,5,4,3,2,1):WeightedCountOfLows:sgwsum(CountOfLows,0,9,8,7,6,5,4,3,2,1):NHNLRatio:ratio(WeightedCountOfHighs,WeightedCountOfLows)}{lf-1lp-1h1::BCIII:et1:BCIII:sgmax(ifgt(ratio(gprc(1),hgprc(2,98)),1,1,0),0,99){U:{!GSPC}}}{U:{lf-1lp-1h1::pref(sp500.a,sp90.a)et1:rank(class.a,permco.a,step1)et1:MktCapWt:gt0:MktCapWt:product(aprc,ifet(styp.a,30!31,sho.a,cso.a)):wtf:MktCapWt}}"
That looks kind of like what we used to write as a complicated TECO expression. "Write-only code" Heh.
Timing
If you turn off the timing ("BCC = 99999") you get CAGR 25.1% vs. 26.7% and GSD 36% vs. 33%. Not a great lot of difference.
I hate to overburden a backtester to try to jam some sort of timing into it. Plus my favorite timing strategy (GTT*) isn't done in any backtester. Probably can't be. Also I'm a complete GTR1 neophyte.
The above BCC is so complex I would have ZERO confidence in it.
What I do is check "[x] Portfolio Values: Download daily portfolio values" to create a spreadsheet. I have another program that spits out daily/weekly/monthly timing signals, which I insert into the same spreadsheet and then apply those signals to the GTR1 values. Actually I compute the daily/weekly/monthly returns from the values, and then use either that or 0% (i.e., cash) as the timed period return.
That's a bit of fiddly work, so I don't do it unless the strategy looks pretty good even without timing.
Actually I lie. For a Nasdaq 100 screen I use Jim's "QQQ, no new 90 day high in the last 90 days" for timing. That seems to work better than S&P500 timing.
* GTT = growth and trend timing, which uses two FRED indexes of the economy to gate the SMA sell signal.
No. of Recommendations: 6
for what it's worth 300 to 350 works; in the second pasted gtr it leaves out all the complicated stuff and just uses SPY>SMA325 but a range works. It seems to stop you from getting out too soon after downturns. There is no reason to use SMA200 just because it is commonly used by humans if it is not the best timing rule. Any timing rule is by definition rather "tuned" since it wants you in the market enough of the up periods not to lose too much CAGR. I think of it like stops: they tend to cost you CAGR and I wasn't convinced any timing rule is justified but this reduced beta to .8 and raised sharpe to .8 while maintaining almost all the upside. If you could take less risk than the market with twice the return it would be great.
I am going to use AI to test various schemes once I have the Nasdaq100 price/volume data on all its constituents over time. I hope to be able to then report time to recovery on various drawdown periods compared to the market, what you would have gotten if by coincidence you began the worst possible start date, etc. I realize most people respond to that more than sharpe and beta.
I am excited about the Nasdaq100 as a sub-universe to play with.
No. of Recommendations: 3
GTR1 has not been updated since November. How are we supposed to run the screen to get current picks?
No. of Recommendations: 6
GTR1 has not been updated since November. How are we supposed to run the screen to get current picks?You can get probably all or most of the data from barchart.com
https://www.barchart.com/stocks/indices/nasdaq/nas...With a free account you get custom view with up to 15 criteria.
You then have to process the data to produce your screen picks. Brush up on Excel or Linux/bash scripts.
This is the problem of depending on the kindness of strangers to get your screen picks for free.
Portfolio123 can probably be used to run a screen, but that's not cheap. Bit of a PITA to create the screen rules.
No. of Recommendations: 15
ray wrote: This is the problem of depending on the kindness of strangers to get your screen picks for free.
Kindness indeed! I would say Robbie has been incredibly generous for many, many years providing everyone free access to an incredible backtester. The quality and thoroughness of his work can never be overstated! So I agree... you probably have rarely had a neighbor, friend, or even family member be so generous and kind! :)
No. of Recommendations: 10
There are people kind enough to post AAII SIPro screen picks still for free.
You can pay AAII, IBD for there ranks, Zacks if you use that, and use Excel and Googlesheets,
and finviz has some free data, all depending on what criteria you usually were using.
Robbie amazingly created a free tool better than any Wall St. wizard and updated it for free for years
after some initial contributions and then various additional ones over time by others.
We need to be thankful it lasted as long as it did.
No. of Recommendations: 3
Mr. Mussel wrote: We need to be thankful it lasted as long as it did.
I couldn't agree more.
You can pay AAII, IBD for there ranks, Zacks if you use that, and use Excel and Googlesheets, and finviz has some free data...
It seems to me that you get out what you are willing to put in. If you have zip for skin in the game, you shouldn't expect much to come from it. Investing is not unlike anything else, the more you put in, the more you get out. You will never be a Professor of Economics if you couldn't even put in enough effort to finish grade school! No plumber or electrician got there by sitting on a barrel smoking a pipe!
No. of Recommendations: 7
Robbie amazingly created a free tool better than any Wall St. wizard and updated it for free for years
...
We need to be thankful it lasted as long as it did.
Absolutely!
It bothers me that the updating ceased without any notice. I am concerned that he had some sort of unexpected health issue.
For years I had been following a daily blog written by a guy known as "The Z-Man". He never said what his name was. He always mentioned if he was going on vacation or moving or whatever if he wouldn't be posting for a while.
Around, IIRC, June 27 2025 he didn't post the daily post. Without any notice. I kept visiting every day for 2-3 weeks, but nothing. So I stopped.
Every so often I would check again and still no posts.
A few months later I thought to google "z-man" just in case something popped up. After some goggle-foo I found it. Chris Zander, died unexpectedly on June 26, 2025. Young, age 59.
I pray that that didn't happen to Robbie.
No. of Recommendations: 6
Has anybody heard from Robbie that he is done maintaining GTR1, or has he just become very busy with new work / new life so that it's only occasional, or has he virtually vanished? (I'm thinking mainly from Zee's group, who he was working very closely with up until a couple of years ago when his device crashed.) He's only posted here twice and the last one sounded like he was close to "de-supporting" it.
What hell that was for him to rebuild that partially damaged system.
FC
No. of Recommendations: 10
Robbie is a unique phenomenon whose gift of genius and determination elevated many of our investment capabilities. I certainly hope that he has just decided to change his focus on life and that he is still in good health.
I was always in awe of his clear thinking and excellent math skills which evolved into programming skills.
I just spent a while looking over some his notable milestones in the Mechanical Investing Archives
His earliest post in the archives is 7/19/2000 but he was at MICon 2000 which I believe was earlier in 2000.
Robbie: 2/2001 I`ve created an Excel 2000 spreadsheet that backtests screens of the DH-RS variety, that is, screens that first sort (ascending) by a recent return measure and then by a relative strength measure. With a little more effort, it will, with the same retrieved data, backtest both DH-RS and RS-DH screens (that is, those that first sort by relative strength, and then by recent return) at once. With yet a little more effort, I`ll have it capable of backtesting Mr. Toast`s Monster variety of screens and RS overlaps. Currently, though, the spreadsheet is 37 MB unzipped. Its size is due to the fact that it computes the selections and CAGRs for a given screen over all standard test runs at once.
Using a 500 mhz processor, changing the relative strength measure, recent return measure, or both requires about 30 minutes of data transfer from Access to Excel.
By 2004 Keelix was building his backtester with SIP data in a MySQL database running on his 1.8GHz Dell Laptop with 512MB RAM. His beta was up 4/30/2004 at kjeldahl.net/investing/ and data back to 1999 a month later.
By 9/2005 Robbie was calling for an on line backtester and uploaded GTR1-Linearized Sux@BeU Data.
On 11/24/2006 Robbie posted: C++ Sux Backtester Available: I started experimenting with how many backtesting tasks I could translate from Excel/Access VBA into VC++ 6.0 using the smattering of C++ I had picked up while working on VLWRP. In doing so I was mainly seeking better performance, but I also would like to one day know enough C++ to understand the GTR1 linearizer that TechCzech built for me. One thing lead to another and I ended up doing what I never thought I would have the time or patience to do: I moved all of my backtesting operations into C++. . . My C++ backtests are about 25 times faster than my Excel/Access VBA backtests, and about 150 times faster than the same backtests I conducted in 2001 using a Celeron 500MHz CPU. . . and the web-based GUI that others will hopefully build.
By 1/28/2007 Robbie prompted by VTAlumni “To do proper blends between VL and SIPro screens . .need to synchronize using daily data. . . Robbie: My full backtester (as opposed to the sample Sux backtester I`ve been posting) covers the entire US market, 1974-2005. I can add fields from any respectable data source to the stew, including SIPro, if anyone donates the data.
4/2007 Jamie and Michael each have on line versions of early robbie’s GTR1
2007 GTR1 came of age with detailed analysis of screens. YLDEARNYEAR Not Torpedoed, Value Line Analysts Torpedoed, High_Relative_Value Not Torpedoed. . .
7/2010 Keelix shut down his SIP backtester.
I tried contacting Robbie at the last email address I had for him but got no response.
No. of Recommendations: 1
No. of Recommendations: 3
Philly Tide: “GTR1 has not been updated since November. How are we supposed to run the screen to get current picks?”
Philly Tide: “I should have asked is there a current screen posting for this:”
Philly this tread was essentially saying that without Robbie (rgearyiii) personally keeping his free GTR1 screener and backtester up to date and keeping it on line there is no easy way.
As rayvt stated above you can get probably all or most of the data from barchart.com /stocks/indices/nasdaq/nas... With a free account you get custom view with up to 15 criteria. Or subscribe to Portfolio123 and run a screen but it won’t be cheap.
And paper trading a screen with solid backtested results is a waste of time. The results you verify over 6 months or a year are not as statistically valid as backtests over 15 + years. Long backtests with daily starts that don’t drop off a cliff by increasing the number of stocks have a higher likelihood of future performance but even that is not a guarantee of future performance.
No. of Recommendations: 2
Yeah I'm not looking to paper trade it for results, but rather to make sure I can produce the screen myself if it is not already being done.
No. of Recommendations: 4
Yeah I'm not looking to paper trade it for results, but rather to make sure I can produce the screen myself if it is not already being done.
Serious question, not intended to be snarky.
Why would you want to depend on anonymous people haphazardly posting lists of stocks for free?
It is not particularly difficult to get the data -- for free or for a small price -- and run the screen(s) yourself. If the screen is too hard to run yourself, then maybe it's just an overtuned mess.
One thing about doing this is that you KNOW what is going on with the screen and it's not just an invisible black box that you do not understand. Also, you can run the screen and make the trades at times of your own choosing.
Ex: On the last (or first or second) week of the month. Or on the last trading day of the month -- which statistically has a slight edge.
One issue that the MI screens have had is when a lot of people get the screen picks at the same time and immediately make trades all at the same time. Maybe not so much on shrewdm, but was a definite problem on The Motley Fool. One that stands out was the day Green Mountain Power first hit a screen. Trading volume spiked and so did the stock price. SEC called in the CEO and demanded him to explain, it looked like a front-running scam. (It kinda was. I made a few bucks by shorting it when I realized what had happened. The spike in the price happened in the next few minutes after the picks were posted.)
Frankly, Jim (mungofitch) has posted many screens over the years that are not difficult to run yourself. Most of them use only data that is easy to get and for free. I run three of them and all have had very good results.
No. of Recommendations: 2
I think I figured out how to reproduce it myself. Thanks for all of the tips.
No. of Recommendations: 4
I don't know if anyone here is using Amibroker, but here is (what I think would be) Amibroker AFL code for Philly Tides gtr1 code:
[I am not a proficient coder and this was with assistance from Gemini so...]
--------------------------
// --- GTR1 to AmiBroker Translation ---
/*Philly Tides nas100 verions
nas100.a = 1
tr(1,253) top 13
ratio(hgprc(1,253),lgprc(1,253)) top 11
ratio(tr(1,5),tr(1,200)) bottom 10
https://www.shrewdm.com/MB?pid=149338549&wholeThre...*/
// 1. tr(1,253) -> Total Return 253 days, lagged 1 day
Factor1 = Ref(ROC(C, 253), -1);
// 2. ratio(hgprc(1,253),lgprc(1,253)) -> High/Low Ratio 253 days, lagged 1 day
Hi_253 = Ref(HHV(H, 253), -1);
Lo_253 = Ref(LLV(L, 253), -1);
Factor2 = Hi_253 / Lo_253;
// 3. ratio(tr(1,5),tr(1,200)) -> 5-day return relative to 200-day return, lagged 1 day
// This simplifies to Price(201 days ago) / Price(6 days ago)
TR_5 = Ref(C / Ref(C, -5), -1);
TR_200 = Ref(C / Ref(C, -200), -1);
Factor3 = TR_5 / TR_200;
// --- Exploration Setup ---
Filter = 1; // Show all symbols so you can sort them
AddColumn(Factor1, "TR_253 (Top 13)", 1.2);
AddColumn(Factor2, "H/L Ratio (Top 11)", 1.2);
AddColumn(Factor3, "Ret_Ratio (Bot 10)", 1.4, colorDefault, colorgreen);
// 3. Sort by Column 4 in Ascending order (Low to High)
// A negative number indicates Ascending, a positive number indicates Descending.
SetSortColumns(-3);
No. of Recommendations: 5
A Robert Geary passed away in Sydney, New South Wales. The obituary was featured in The Sydney Morning Herald on September 12, 2025. I don't have the text. It is a pretty common name. If anyone has any biographical detail (middle name, city, employer etc.) we might learn more.
No. of Recommendations: 21
Mr. Mussel wrote: A Robert Geary passed away in Sydney, New South Wales.
Well, I thought it best to have Robbie speak for himself, but in light of this, I've decided to assure the group that he is alive and well. GTR1 had to stop due to a previous vendor no longer making necessary data available.
I'm sure he is appreciative of everyone's concern just the same!
No. of Recommendations: 0
A Robert Geary passed away in Sydney, New South Wales.
Our man was rgearyiii, which implies Robert Geary the Third. Maybe search on that or on grandson. I've been unsuccessful, though. He also seems to have kept a low profile in the Internet.
Eric Hines
No. of Recommendations: 1
Our man was rgearyiii....
And still is. Per Zeelote's prior post, mine is N/A.
Eric Hines
No. of Recommendations: 7
Here's a new pr:
https://github.com/bunbuntigery/momentum-mechanica...The project can now build the entire history of ndx100 components from edgar / tiingo / yahoo.
The backtests are accurate with a few explained limitations.
Again, detailed instructions on how to create an automated service with a telegram bot for daily use.
Can time with moving averages etc.
No. of Recommendations: 3
No. of Recommendations: 5
GTT GROWTH-TREND TIMING
-----------------------------------
Retail Sales: -0.5% [-] prev +0.2%
Industrial: +2.3% [+] prev +1.3%
Unemployment: 4.4% prev 4.3% avg 4.3%(ABOVE)
SPY 10mo SMA: $664 +1.2% ABOVE
Signal: CAUTION — trend OK
(the output just now from the service)
No. of Recommendations: 4
MARKET TIMING
===================================
QQQ $599.75
10mo SMA: $ 597.25 +0.4% ABOVE
SPY $672.38
10mo SMA: $ 664.21 +1.2% ABOVE
MUB $107.55
10mo SMA: $ 105.60 +1.9% ABOVE
IEF $96.45
10mo SMA: $ 95.32 +1.2% ABOVE
TLT $88.46
10mo SMA: $ 87.33 +1.3% ABOVE
JNK $95.91
10mo SMA: $ 95.45 +0.5% ABOVE
HYG $79.69
10mo SMA: $ 79.36 +0.4% ABOVE
LQD $110.16
10mo SMA: $ 109.15 +0.9% ABOVE
PFF $31.12
10mo SMA: $ 30.73 +1.3% ABOVE
BTC-USD $70,841.12
20d SMA: $ 68,062.56 +4.1% ABOVE
50d SMA: $ 80,687.90 -12.2% BELOW
ETH-USD $2,071.61
20d SMA: $ 1,998.61 +3.7% ABOVE
50d SMA: $ 2,598.23 -20.3% BELOW
GTT GROWTH-TREND TIMING
-----------------------------------
Retail YoY: +0.2 → -0.5% (-0.7) ↓
Indust YoY: +1.3 → +2.3% (+1.0) ↑
Unemploy: 4.3 → 4.4% (+0.1) ↑ avg 4.3%
SPY vs 10mo SMA: +1.2% ABOVE
Next update: ~Mar 15
>> CAUTION — trend OK
No. of Recommendations: 6
I hope to have historical constituents back to 1985 for you soon.
No. of Recommendations: 7
If we get constituents exactly at intervals, we can get perfect findings with this engine.
For Rayvt, I ran gtt against qqq for giggles, and here's what we found:
nteresting results on QQQ:
SPY QQQ
Buy & Hold +7.9%, -55% DD +8.0%, -83% DD
10mo SMA +7.7%, -25% DD +8.8%, -45% DD
GTT Growth +9.0%, -33% DD +9.7%, -69% DD
GTT Unemploy +9.4%, -34% DD +9.4%, -68% DD
GTT still boosts CAGR on QQQ, but the drawdown protection is weaker — QQQ fell so fast in the dot-com bust that the monthly signal couldn't get out fast enough (-69% vs -83% buy & hold). The 10mo SMA actually has the best risk-adjusted return on QQQ (Sharpe 0.56 vs 0.53 for GTT) because it doesn't stay invested during the early stages of crashes the way GTT does when growth looks healthy.
Key takeaway: GTT was designed for S&P 500. On a more volatile asset like QQQ, the pure 10-month SMA is arguably better on a risk-adjusted basis — it doesn't wait for the macro data to confirm the downturn.
No. of Recommendations: 5
GTT GROWTH-TREND TIMING
-----------------------------------
Retail Sales: -0.5% [-] prev +0.2%
Industrial: +2.3% [+] prev +1.3%
You got this one backwards.
It was negative last time. This time it is positive.
It just came out so you probably grabbed the previous one. I downloaded it on "Mar 6 17:11"
RRSFS is + 2026/01/01,224606 vs. 2025/01/01,222941 +1.0074683436
Observations
Jan 2026: 224,606
Updated: Mar 6, 2026 7:41 AM CST
Next Release Date: Apr 16, 2026
In the excel file download it says "Data Updated: 2026-03-06"
RRSFS omits Oct 2025. The date is there but the value is missing. That's going to mess up things for a while. Caused my script to abort when it tried to do math with a NULL value.
INDPRO
Observations
Jan 2026: 102.3412
Updated: Feb 18, 2026 8:21 AM CST
Next Release Date: Mar 16, 2026
2026/01/01,102.3412 vs. 2025/01/01,100.0647 +1.0227502806
My script checks them every weekday and downloads it if it has changed. I currently have 145 months as they were first published. In case people don't know, sometimes the most recent file has changes in older values when they are revised afterwards.
No. of Recommendations: 6
Key takeaway: GTT was designed for S&P 500. On a more volatile asset like QQQ, the pure 10-month SMA is arguably better on a risk-adjusted basis — it doesn't wait for the macro data to confirm the downturn.
I found the same thing for QQQ. The best timing I found for QQQ was "no 90 day high in the last 90 days". I guess I mis-remembered it as 90 when Jim said 99. Not a big deal, anything around there worked ok.
QQQ is very volatile so a long baseline is not going to catch the sharp ups and downs.
Interestingly, on BRK alone, GTT or SMA on BRK also did not work well.
I think that GTT works well on a broad index, applied to a broad market portfolio, but not so well on specific and/or specialized investments.
-----------
Oh, one more thing. I do not look at "Unemployment". Because it is too subject to political pressure. You cannot be sure if the data has been "tweaked" by the Washington establishment. Unemployment goes into news headlines.
RRSFS and INDPRO don't make news headlines.
No. of Recommendations: 4
No. of Recommendations: 4
Fixed now.
.venv/bin/python gtt.py
GTT Growth-Trend Timing
======================================================================
Retail Sales YoY Feb 2026 -0.2% → Mar 2026 +0.7% ↑ next: Apr 16
Indust. Prod YoY Feb 2026 +1.3% → Mar 2026 +2.3% ↑ next: Apr 15
Growth regime: HEALTHY
Signal: LONG (growth healthy, ignore SMA)
SPY close: 672 10mo SMA: 664
----------------------------------------------------------------------
Unemployment Rate Feb 2026 4.3% → Mar 2026 4.4% ↑ next: Apr 03
12mo avg 4.3%
Unemployment regime: CAUTION
Signal: LONG (SMA trend OK)
No. of Recommendations: 4
No. of Recommendations: 5
https://gtr1.net/2013/?~NasBig100noFin:s19850204::... and timing using "go to cash when SPY<SMA325" works on creating the Nasdaq100 from market cap top 100 non-financial firms alone when you don't have the actual Nasdaq100 list to test.
Such 100, then top 10 by 1 year momentum, w/ .1 spread, monthly, getting out of market when SPY<SMA325
monthly v. 3 month hold since QQQ was created
cagr 24.76% 24
gsd 33 32.9
sharpe .79 .77
ldd 17.58 17.67
ui 15.76 15.66
beta .86 .87
ti 26.95 25.93
at 4.5 3.03
mdd -55.3% -54.1%
No. of Recommendations: 2
I am going to have data back to 1993 for Nasdaq100 changes; I don't know if you have that already. If not and there is some format I can get it to you tell me.
No. of Recommendations: 0
Yes, this would be wonderful.
Is it a log of changes or constituent members?
I can take any format. If constituents, csv probably best / easiest?
No. of Recommendations: 5
I'm paying a computer geek to interface with Norgate so I'll ask him; my understanding is it is adjusted closes and volume every day going 1 year before the Nasdaq100 started, on every stock ever in the index from the start of the data I could get (1993), forward to now, and the constituent changes, so you can run backtests on price and/or volume or permutations like moving averages, using various look-backs up to a year and various holding periods. I have not found any data sources for earlier than 1993. I haven't verified this yet but it was the goal I gave him to meet and he told he he can. I may be able to get S&P500 changes from the same date. Until in hand I can't promise anything but this is where it stands.
No. of Recommendations: 2
OK, great!
We can hand the data off a number of ways, easiest is probably to make a pull request to the repository with the file added and committed.
I'm happy to share my email address with you as well just let me know what works for you when you have it :)
No. of Recommendations: 0
I didn't get your email. Send to musselmant@aol.com Tell me part of it here if you don't want to post the whole thing and I will look in my junk mail folder in case it is in there somewhere.
No. of Recommendations: 1
ch*******is@h*******.com subject will be MI - NDX 100
No. of Recommendations: 0
No, none of my mail folders has any mail from any address starting with "ch" so please resend.
No. of Recommendations: 0
You now have send from original email, an additional reply from the same, and a new email from a gmail address of the same.
No. of Recommendations: 3
using AI I am evaluating the previous-discussed 1,5, or 10 stock 1 year momentum, hold for a month, based on Nasdaq100 stocks strategy. I tested QQQ and SPY also, as well as getting out of the market when SPY<SMA325 (having determined with gtr that 300 to 350 was better than SMA200). Used .1% spreads. No taxes nor inflation considered.
Here is the result if by coincidence you started on the single worst starting date of the month when the data starts (Oct 1993, which then looks back to Oct 1992 to determine 1 year momentum):
Scenario Worst Start Worst CAGR
NDX Mom 1 +325DMA 1993-10-14 31.0%
NDX Mom 1 1993-10-19 17.1%
NDX Mom 5 +325DMA 1993-10-29 21.5%
NDX Mom 5 1993-10-27 18.9%
NDX Mom 10 +325DMA 1993-10-21 18.2%
NDX Mom 10 1993-10-26 17.8%
QQQ +325DMA 1999-04-06 10.1%
SPY 1993-01-29 10.3%
QQQ 1999-03-29 9.7%
SPY +325DMA 1993-02-24 8.8%
The 1-stock strategy had a monster CAGR averaging 37.9% CAGR. It experienced 8 50% or worse drawdowns and still hit that number!
The strategies are very dependent on the big winners propelling them.
or NDX Mom 5, the top 1% of positions generated about 27.4% of total profits, and the top 5% generated about 84.3%.
For NDX Mom 10, the top 5% of positions generated about 90.9% of total profits.
Timing reduced that dependence somewhat:
NDX Mom 5 +325DMA top 5% of positions generated about 69.4% of profits.
NDX Mom 10 +325DMA top 5% generated about 74.5%.
No. of Recommendations: 1
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.
No. of Recommendations: 3
Start of live Nasdaq-100 strategy testing: 1993-10-01
Momentum lookback: 252 trading days
Base rebalance schedule for the reposted core results: first trading day of each calendar month
Friction: 0.1% of traded notional at each rebalance
Timing filter: hold cash for the next period whenever SPY is below its 325-day moving average on the rebalance date
Beta and Treynor are measured versus SPY daily returns
Sharpe and Sortino use 0% risk-free rate
momentum
look
back Top5 CAGR Sharpe Max DD 5timed timed Shrp timed Max DD
3M 21.1% 0.708 -81.9% 19.1% 0.722 -53.7%
6M 23.0% 0.742 -81.8% 25.0% 0.847 -58.9%
9M 25.8% 0.789 -70.2% 27.1% 0.870 -55.6%
12M 23.8% 0.742 -69.7% 23.6% 0.790 -50.7%
18M 13.6% 0.518 -87.3% 17.5% 0.640 -63.2%
So 9 month momentum look back for highest CAGR; 12 month gave a bit better on max DD.
For holding periods 1 month was best:
Hold 5 CAGR 5 Shrp 5 MaxDD 5timed 5timedShrp 5timed Max DD
2 weeks 21.2% 0.690 -78.9% 25.8% 0.859 -54.3%
1 month 23.8% 0.742 -69.7% 23.6% 0.790 -50.7%
2 month 17.7% 0.611 -82.4% 19.3% 0.686 -50.8%
3 month 18.4% 0.621 -88.8% 19.7% 0.686 -67.3%
6 month 13.4% 0.515 -83.3% 9.5% 0.432 -77.3%
For the continuous monthly-schedule runs, profit concentration looked like this:
Scenario
Top 1% of winning positions Top 5% 10%
Mom 1 4.9% 20.6% 35.7%
Mom 1 timed 5.5% 22.4% 37.2%
Mom 5 8.0% 24.3% 36.6%
Mom 5 timed 8.1% 24.3% 37.1%
Mom 10 9.4% 27.0% 39.3%
Mom 10 timed 9.1% 26.7% 39.2%
The strategy does not look like “one freak winner carries everything.” Missing 1 wouldn't destroy your return, but missing more of the top winners would. Missing 10% of your best winners would hurt more.
A 10-stock strategy with the timing rule is the best on 5 and 10 year horizons of all the versions, beating the S&P over the worst 2,3,5, and 10 year stretches, and coming close on the worst 1 and 2 year stretches for the S&P500 timed version itself:
What if someone started at a bad (the single worst) time?:
Worst rolling CAGR by horizon:
Scenario Worst 1Y 2Y 3Y 5Y 10Y
NDX Mom 1 -70.3% -42.1% -28.3% -12.9% -1.0%
Mom 1timed -48.6% -27.3% -18.0% - 2.3% 4.4%
NDX Mom 5 -46.0% -20.8% -12.6% - 2.4% 2.8%
Mom 5timed -28.4% -12.3% - 6.3% 0.8% 5.0%
Mom 10 -38.7% -17.0% - 9.5% - 0.8% 2.5%
Mom 10timed -25.5% -10.2% - 4.8% 1.8% 5.1%
SPY -43.3% -23.3% -14.5% - 2.3% 1.2%
SPYtimed -22.0% - 7.8% - 2.7% 2.3% 4.9%
QQQ -67.6% -38.0% -25.0% - 9.4% 0.7%
QQQtimed -35.0% -16.1% - 9.0% - 0.7% 3.8%
First-trading-day-of-month start sensitivity:
This is the “what if I happened to begin on the first trading day of any month?” test:
Scenario
# Starts AvgStartCAGR Worst AvgShrpe AvgSortino AvgBeta AvgTreynor Avg Start Max DD
Mom 1 378 22.9% -1.5% 0.674 0.951 1.383 0.179 -78.7%
Mom 1timed 378 28.0% 3.8% 0.761 0.938 1.096 0.284 -70.2%
Mom 5 378 18.8% 3.9% 0.612 0.848 1.170 0.165 -55.4%
Mom 5timed 378 18.2% 6.4% 0.663 0.793 0.799 0.229 -44.1%
Mom 10 378 16.8% 3.3% 0.586 0.791 1.110 0.156 -50.6%
Mom 10timed 378 16.9% 7.1% 0.653 0.759 0.775 0.223 -39.9%
SPY 378 11.3% 4.1% 0.661 0.859 0.924 0.123 -41.8%
SPYtimed 378 9.8% 4.9% 0.699 0.776 0.565 0.177 -31.3%
QQQ 312 11.3% -0.5% 0.526 0.699 0.964 0.129 -42.3%
QQQtimed 312 11.0% 3.8% 0.613 0.701 0.617 0.188 -28.4%What that says: The top-1 version is still the best return engine, but starting-month luck matters a lot.
The timing filter materially improved the worst starting experience.
Top-10 +325DMA looks like the most forgiving momentum version by average drawdown
Core continuous results from the earliest start:
Scenario CAGR Vol Sharpe Sortino Beta Treynor Max DD Avg Turnover
Mom 1 33.7% 65.6% 0.780 1.121 1.544 0.322 -81.2% 83.3%
Mom 1timed 37.0% 56.9% 0.855 1.082 1.250 0.471 -76.0% 64.9%
Mom 5 23.8% 40.0% 0.742 1.041 1.329 0.219 -69.7% 70.6%
Mom 5timed 23.6% 33.5% 0.790 0.965 0.885 0.306 -50.7% 58.1%
Mom 10 21.2% 34.7% 0.735 1.002 1.267 0.198 -71.6% 62.0%
Mom 10timed 21.8% 29.4% 0.813 0.962 0.887 0.288 -48.0% 50.9%
SPY 10.5% 18.7% 0.626 0.798 0.892 0.117 -55.2% 0.3%
SPYtimed 9.4% 14.0% 0.706 0.783 0.541 0.174 -33.7% 6.4%
QQQ 10.0% 24.6% 0.488 0.645 0.900 0.111 -83.0% 0.3%
QQQtimed 10.9% 18.0% 0.621 0.704 0.567 0.192 -46.6% 5.9%
My read from that set:
Best raw return: NDX Mom 1 +325DMA
Best balanced momentum version: NDX Mom 5 +325DMA or NDX Mom 10 +325DMA
Best plain ETF drawdown control: SPY +325DMA
The 325DMA filter helped drawdowns a lot, but did not always improve CAGR.
No. of Recommendations: 3
AI has looked at my Nasdaq100 strategy from every-which-way-but Sunday; the analysis is way too long to post, and probably way too much detail for more than 2 or 3 to be of interest. If you are the 2 or 3 email me and I'll send it to you.
No. of Recommendations: 2
AI has looked at my Nasdaq100 strategy from every-which-way-but Sunday; the analysis is way too long to post, and probably way too much detail for more than 2 or 3 to be of interest. If you are the 2 or 3 email me and I'll send it to you.
How about if you post the Executive Summary here?
Many of us would like to know but don't need a firehose.
Thanks.
FWIW, my longest running variant started 1/21/2025, 10HTD12
is up 51.22%, 39.8% CAGR
vs. SPY up 16.47%
vs. QQQ up 22.0%
No. of Recommendations: 9
AI summary: The strategy analyzed selects stocks from the Nasdaq-100 based on intermediate-term price momentum and holds them for short periods. The most robust configuration ranks stocks by approximately 9–10 month returns, buys the top 10 names, re-balances monthly, and shifts to cash when the S&P 500 falls below its 325-day moving average. Using historical data beginning in October 1993 and including modest trading friction, this approach historically produced approximately 29–30% annualized returns with Sharpe ratios near 1.0, substantially higher than broad equity indices over the same period. Importantly, roughly three-quarters of rolling one-year periods were profitable, meaning the strategy would have felt positive to investors in most one-year evaluation windows.
Extensive robustness tests suggest the results are not driven by a few exceptional trades or by the largest technology stocks. Performance remains strong after removing the biggest individual winners, excluding the “Magnificent 7,” delaying trade execution several days, or forcing the strategy away from the largest Nasdaq100 constituents. Diversified portfolios holding 5–10 stocks appear especially stable: they maintain strong returns while spreading gains across many positions rather than relying on a single extraordinary stock. In contrast, the most concentrated variant (holding only the top-ranked stock) produces higher theoretical growth but is far more dependent on rare outlier winners and is psychologically harder to follow.
The simple market-timing filter—investing only when the S&P 500 is above its long-term trend—meaningfully improves behavior in major bear markets such as the 2000–2002 dot-com collapse, the 2008 financial crisis, and the 2022 decline, reducing draw-downs and accelerating recovery. While it cannot eliminate losses during short, sharp corrections, it substantially improves worst-case outcomes over full market cycles. Taken together, the tests suggest that a diversified Nasdaq-100 momentum portfolio combined with a broad market trend filter captures a persistent momentum effect rather than merely riding a handful of mega-cap winners, producing unusually strong historical growth with relatively simple rules.
No. of Recommendations: 2
Thanks.
Getting the 9 or 10 month returns will be a bit tricky.
Lots of sites give the 1 year, YTD, half-year, quarter, 1 month returns, but nobody gives an oddball like 9 or 10 month returns.
Guess you'd have to grab the old price and compute it yourself. One stock at a time. What a PITA.
GoogleSheets would do it, but the way it gets formatted sucks.
finviz right now shows the top 20 by YTD
#1 is WDC at 915.4%
#20 is NVDA at 89.8%
#40 is WMT at 36.9%
No. of Recommendations: 2
Question about going to cash.
Does the strategy do this immediately after the S&P 500 falls below its 325-day moving average or do you wait for the next rebalance interval?
Thanks!
No. of Recommendations: 8
1. Koyfin (free tier – very good) build a Nasdaq-100 watchlist, display custom performance periods
You can choose:
9 months,10 months,any custom start date
Create a Nasdaq-100 watchlist.
Add the metric Performance since date.
Choose a start date (for example 270 days ago ≈ 9 months).
Sort the column.
professional-quality interface
customizable analytics.
2. TradingView custom watchlists (e.g., Nasdaq-100),sorting by performance since a date
You can manually set the start date to 9 months ago.
This is probably the easiest free tool for ranking stocks by a custom date range.
How to do it:
Open the Stock Screener.
Filter Index → NASDAQ-100.
Add the column Performance %.
Click the column menu and choose Performance since date.
Set the start date to about 9 or 10 months ago.
Sort descending.
This instantly gives a momentum ranking of the entire Nasdaq-100.
Pros:
completely free
adjustable period
sortable table.
3. StockCharts technical indicator called Rate of Change (ROC). Example: ROC(200) ≈ 10-month return,ROC(189) ≈ 9-month return
You can scan for top values.
4. download Nasdaq-100 prices from **Nasdaq or **Yahoo Finance and compute the return from 189 or 210 trading days ago
Sort the list. This takes about 5 seconds in Excel once set up.
5. Google Sheets momentum spreadsheet (automatic prices)
This is the simplest method and costs nothing.
Step-by-step setup
1. List the Nasdaq-100 tickers
Example column:
AAPL
MSFT
NVDA
AMZN
META Google Sheets has a built-in function:
=GOOGLEFINANCE(A2,"price")
This updates automatically.Pull historical price
For a 9-month momentum calculation, use about 189 trading days.
Example:
=INDEX(GOOGLEFINANCE(A2,"price",TODAY()-270,TODAY()),2,2)
(270 calendar days ≈ 9 months)
You can copy the list from the Nasdaq website
Calculate momentum
Example formula:
=current_price / past_price - 1
Sort the column
Sort descending and you instantly get:
Rank 1 momentum
Rank 2
Rank 3
...
6. Yahoo Finance download method
From Yahoo Finance you can:
create a Nasdaq-100 watchlist
download prices to Excel
compute the 9-month return.
7. Nasdaq Data Link
Yes — this usually means the entire historical price series available for that dataset.
Typical behavior:
you request a dataset (for example a stock or index)
you download a CSV containing all available dates
the file includes daily data such as
Date
Open
High
Low
Close
Volume
Adjusted Close
Most datasets allow you to:
download the whole history
or specify a date range via the API.
For example, a dataset might contain prices from:
1990 → present
You download the entire table in one file.
8. Kaggle stock datasets contain:
Date
Ticker
Open
High
Low
Close
Volume
for many stocks in one table.
Example structure:
Date Ticker Close
2010-01-04 AAPL 30.57
2010-01-04 MSFT 21.45
2010-01-04 AMZN 133.90
Advantages:
all tickers together
easy for Python, Excel, or R
good for momentum calculations.
But Kaggle datasets may:
stop at a certain year
not update automatically.
sites for membership:
1. Nasdaq (official source)
The Nasdaq website publishes the current constituents of the Nasdaq-100 index.
Typical page features:
full ticker list
company names
sector
weighting information
This is the most reliable source for the current membership.
Example page:
https://www.nasdaq.com/market-activity/quotes/nasd...However, the official site does not provide an easy historical membership database.
2. Wikipedia
The Nasdaq-100 page on Wikipedia actually maintains a historical table of additions and removals.
It lists:
the company added
the company removed
the date
That makes it surprisingly useful for reconstructing membership changes.
Example section:
“Changes in NDX components.”
Many quants use this page as a quick reference.
3. ETF.com
Because the ETF Invesco QQQ Trust tracks the Nasdaq-100, ETF sites show the current holdings of QQQ.
These pages update frequently and include:
ticker list
weights
sector exposure
It’s another convenient way to get the current list of stocks.
4. Koyfin
Koyfin lets you view index membership lists directly.
You can open the Nasdaq-100 index page and export the full list into a spreadsheet for your momentum calculations.
No. of Recommendations: 1
Signed up for Koyfin.
I could find columns for 1 year, 6 month, etc, performance but could not find a column for "Add the metric Performance since date" or "9 months,10 months,any custom start date"
No. of Recommendations: 4
More trials on GTR1
10 months not much different than 12 month. More trading.
9 months _is_ better. 8 months not so good.
19990104 to 20251128 10HTD12 RS 252 (1 yr) 0.25% friction
https://gtr1.net/2013/?~Nasdaq100%20top%2010:s1999...I don't include bespoke timing; I would plan to go with my standard GTT timing for all screens.
CAGR
GSD(126)
AT
17.560192
35.628338
1.817837
RRS 210 (10 months)
17.636408
37.035995
2.176364
RRS 189 (9 months)
19.092081
37.258610
2.430941
RRS 168 (8 months)
17.069510
37.914265
2.754720
=====================================
Different date range 20100104 to 20251128
12 months
21.607655
28.880072
1.716184
10 months
22.244135
27.400618
2.047472
9 months
22.336863
27.766546
2.323382
8 months
20.890139
26.101719
2.656677
