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Nasdaq top 10 strategy (can anyone test or code).
dav ha
posted

My idea for a Nasdaq100 momentum strategy.

On the first trading day of the year the strategy goes long the 10 best Nasdaq performers of the previous year and then it holds them for a full year, then rinse/repeat again next January 1st.

***Also the strategy exits all stocks if Nasdaq is below its 300 MA and will re enter (based on the best Nasdaq performers of the previous 6 months) if Nasdaq is above its 150 MA.

This strategy should work if even your start date occurs in a later month (and you use a 52 week look back) but it likely works best to start on January 1st to take advantage of year end and the New Year effects.

Maybe someone here code something like this up or test it for the top 5 thru top 20 nasdaq holdings? Surely, it'll be quite volatile but would like to see the results in Quantopian for the past 10-15 years.

Here are the Nasdaq 100 constituents since 2008 but if you have older Nasdaq 100 data that's even better. https://en.wikipedia.org/wiki/NASDAQ-100

3 responses
dav ha

You can take the historical late December Nasdaq 100 additions (i.e. they normally get added after a run of price performance) and see how they do over the next 52 weeks to get a feel of how this one normally works. I suspect that 2000 and 2008/2009 had some draw-downs.

http://www.nasdaq.com/indexshares/historical_data.stm

dav ha

Also seems to work okay by just taking the biggest 10 each year and then holding for the next 52 weeks; 2000 and 2008 not as bad when doing this but out performance over the Index is more muted.

http://etfdb.com/qqq-visual-history-of-the-nasdaq/#2008

dav ha

How hard would something like this be to code up? Does Quantopian have NASDAQ 100 constituents or would one have to create a population of all Nasdaq 100 stocks and then look-back at all 52 week performances? It's a pretty simple strategy and just eyeballing on Yahoo charts has shown that almost always those that did well continue to do well; some will even stay in the top 10 for multiple years.

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