Post New

A few public, rules-based “subset of the Nasdaq-100” studies are available that (1) use a subset of the Nasdaq-100 as a changing universe over time and (2) report ≥20% CAGR over windows of at least five years:

1) Nasdaq’s own “Nasdaq-100 Top 30™ (NDX30)” https://www.nasdaq.com/articles/unlocking-mega-cap...
• What it is: An official Nasdaq index that always holds the top 30 names from the Nasdaq-100 (modified cap-weighting), reconstituted/rebalanced quarterly—constituents are dropped/added as the NDX membership changes.
• Period & stats reported: 15 years (Jun 30, 2010 → Jun 30, 2025): 21.3% annualized, Sharpe 0.93, max drawdown 36%.
• Where they say it tracks a changing NDX: “Constituents removed from NDX are dropped from NDX30 simultaneously … reconstituted and rebalanced every quarter.”

2) iMarketSignals — “Profiting From Trading The Stocks Of The Invesco QQQ Trust: (iM-Top5(QQQ)Select)” Profiting From Trading The Stocks Of The Invesco QQQ Trust: (iM-Top5(QQQ)Select) | iMarketSignals
• What it is: A disclosed stock-selection model that ranks the Nasdaq-100 (explicitly using a point-in-time universe that mirrors QQQ’s holdings over time) and buys the top 5 based on a published rule set (Greenblatt + quality + simple fundamental filters), with a minimum 4-week hold rule.
• Period & stats reported:
o 2000–2020: 22.5% CAGR (vs. QQQ 5.8%), max DD –53%; assumes 0.12% trading cost per trade.
o 2009–2020: 28.5% CAGR (vs. QQQ 21.2%).
• Where they say it uses changing NDX membership: “The universe … is the Nasdaq 100 Index … Portfolio123 point-in-time universe ‘Nasdaq 100’,” and they show the universe matches QQQ’s evolving constituents.
•

3) Logical Invest — “NASDAQ 100 Strategy” https://logical-invest.com/app/strategy/nas100/nas...
• What it is: A rules-based strategy that selects four stocks from the Nasdaq-100 using a risk-adjusted momentum/mean-reversion ranking; the page notes the picks change as the NDX membership changes. (It can allocate part to Treasuries/Gold for drawdown control, but the core stock sleeve is a rotating subset of NDX.)
• Period & stats reported: On the live strategy page, the 5-year CAGR is shown as 22.9% (with additional risk stats like Sharpe), updated through Aug 11, 2025.
• Where they say it uses changing NDX membership: “The model chooses four individual stocks from the NASDAQ 100 stock index. So depending on what stocks are in the NASDAQ 100, the stock rotation … might include the new ones.”

So if anyone wants to play with them, have a go.

based on a published rule set (Greenblatt + quality + simple fundamental filters),

iMarketSignals - how do you get to that QQQ page? Some of their stuff goes back over 10 years, could be interesting.

https://imarketsignals.com/2020/profiting-from-tra...

"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

Nasdaq100 is up 28% and S&P500 10% so far this year.

per gtr my "Liquid Consolidators" worst start week is up 28% so far this year but the all weeks average 55%, both with a .1% spread).

per gtr my "Nasdaq Consolidators" worst start week is up 16% so far this year but the all weeks average 44%, both with a .1% spread).

Post New

Mechanical Investing FAQ

---

Contact Shrewd'm
Contact the developer of these message boards.