Subject: Re: other subset of Nadaq100 strategies than mine
https://imarketsignals.com/202...
"The iM-Top5(QQQ)Select trading strategy invests periodically in only five equal weighted stocks from the universe Nasdaq 100 ranked with a combination of the Portfolio 123 Greenblatt and the iM: Quality ranking systems, the latter described in this article.
The buy rules require stocks to have a dividend yield greater than 0.5%. Additionally, stocks must Piotroski F-Score greater than 4. Also, the Price to Earnings Ratio (excluding extraordinary items, for trailing 12 months) and the Current Year Projected P/E Ratio must be less than 1.25 times that of the average and median for the stocks of the S&P 500 index, respectively.
A minimum holding period of 4 weeks is specified. A position is sold based on its rank, or if the percentage from highest close since a position was started becomes less than -15%."
Year
Model
SPY
Excess
2000
22.45
-9.74
32.18
2001
3.61
-11.76
15.37
2002
35.20
-21.58
56.79
2003
62.33
28.18
34.15
2004
8.34
10.70
-2.36
2005
21.84
4.83
17.01
2006
7.82
15.85
-8.02
2007
20.71
5.15
15.56
2008
-36.42
-36.79
0.37
2009
95.67
26.35
69.31
2010
31.76
15.06
16.71
2011
14.23
1.89
12.34
2012
7.99
15.99
-8.00
2013
46.56
32.31
14.25
2014
26.67
13.46
13.21
2015
-0.33
1.23
-1.57
2016
22.14
12.00
10.14
2017
45.05
21.71
23.34
2018
-1.05
-4.57
3.52
2019
84.67
31.22
53.45
2020
46.60
18.33
28.26
2021
25.58
20.05
5.53