It's a great find! A couple of thoughts ...

1) I *love* the simplicity & the stability of the various parameters. I'll leave it up to the reader but the backtested results are remarkably stable across holding periods (I tested it up to 1 year) and other key parameters (like 42 or 63 day SMAs instead of 21 & that's just about all the degrees of freedom available).

2) The Nasdaq 100 does a lot of heavy lifting in that performance though. Removing that step & just selecting all Nasdaq stocks or even simple variations to simulate the Nasdaq 100 (market cap. etc.) don't appear to have anywhere near similar performance (at least as far as I've found so far).

3) It's a pretty wild ride. Performance improves by attaching the BCC or similar, but even then - for the longer holding periods - you'll see -75 - -90s MDDs across different backtests. Sharpe is OK at circa 0.5 - 0.67 (that was about the highest I could get) , GSD is very high & so SAWR at 8%-10% is surprisingly low given the overall performance. And so ...

4) You'd probably want to blend it in a strategy (with re-balancing) in actual use. Have it act as a performance kicker & rely on the re-balancing to provide capital (to the screen) at the low points and so magnify the upward legs (vs. just operating this screen solo) while retaining overall portfolio stability (higher Sharpe & SAWR). In that case you could even go only 2-3 deep for further improved performance.

I'll play with it some more - it's the type of screen I like to use in blends in that it's simple, performing and stable with respect to it's parameters (broad mound of toast) and can be used for long holds. One issue for me is that the Nasdaq 100 isn't included as a parameter within SI-Pro (as far as I know currently & SMAs are also tricky) and I like to be able to screen manually also with the screens I use. I could do some spreadsheet work to include this and so replicate the screen, so I'll keep working on Liquid consolidators to see how to potentially use it in my blend.

Nice work & thanks for sharing! Anyone solved SMAs & Nasdaq 100 (or good alternatives) in SI-Pro previously?

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