No. of Recommendations: 8
Examining some momentum strategies published by
algo-catalog.com: Backtested Trading Strategies with Source CodeMost of his strategies that I have looked at cannot, unfortunately, be backtested on GTR1.
Part 1 of 3
Nasdaq-100 Sortino Momentum
algo-catalog.com - Ndx sortino momentumClaimed backtest:
2020-01-01 to present -- CAGR: 24.8% Max DD: -29%
1990-01-02 to 2026-06-25 CAGR: 22.9% Max DD: -55%
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 recent downside volatility.
There are two issues I have seen.
1) Very low priced stocks. There is a reason why a stock is or has been under $10. I omit these. But it is probably not an issue because these are likely not in the top 10.
2) Stocks that suddenly shot up recently.
A number of these stocks jumped up because they are a target of a buyout or takeover. The upside is capped at the buyout price, which is where the price jumped to. So there is no further upside. I don't know of a simple mechanical way to omit these and only these.
3) He does timing with the 200 day SMA of SPY. I do timing differently.
Traded monthly
Steps:
Universe: Nasdaq 100
For each stock:
Compute MOM: 1 year relative strength (current price / year ago price -1)
Compute VOL: the Sortino ratio of the last 63 days. (Standard deviation of the daily downside deviation.)
Rank the stocks by (MOM / VOL)
Invest in the top 10 stocks.
As of 9/5/2026 these are the top 20 stocks:
1 SNDK
2 GSAT <<-- this has the #2 issue. Being bought out by Amazon.
3 RVMD
4 MU
5 WBD
6 LITE
7 VLO
8 ROIV
9 MRNA
10 ARWR
11 ATI
12 DELL
13 WDC
14 GH
15 MSGS
16 MPC
17 INTC
18 ALM
19 CNC
20 RPRX