Mom Residual Vs Qqq 60d

Mom Residual Vs Qqq 60d - a xsec_momentum concept routed into the paid catalog by lifetime ROR (non-HoF, ROR 10-25%). Lifetime ROR 12.7%, Sharpe 0.60, MaxDD -48.8% across the backtest window. Plain-text source code included.

See Pricing
Annualized Return (CAGR)53%better than SPY
12.7%
over 2000-2026
SPY 8.3%
Sharpe Ratio33%better than SPY
0.60
SPY 0.45
Max Drawdown12%better than SPY
-48.8%
SPY -55.2%

Results are hypothetical and based on a historical backtest. Past performance does not guarantee future results. See risk disclosure for full details.

Tier
Basic
Family
xsec_momentum
Universe
Nasdaq-100 current & past members
Backtest Window
2000-01-03 -> 2026-05-23
Lifetime ROR
12.69%
Sharpe
0.60
Performance

The backtest, in full.

$100k -> $2320k - as of 2026-05-23
StrategySPY
$934k$376k$151k$2320k$61klog scale2000200420082012201620202024
Underwater curve (drawdown over time)worst: -24.0%
0%-24%
Monthly returns

Year-by-year, month-by-month.

YearJanFebMarAprMayJunJulAugSepOctNovDecTotalMaxDD
19940.00.00.00.00.00.00.00.00.00.00.00.00.0%0.0%
19950.00.00.00.00.00.00.00.00.00.00.00.00.0%0.0%
19960.00.00.00.00.00.00.00.00.00.00.00.00.0%0.0%
19970.00.00.00.00.00.00.00.00.00.00.00.00.0%0.0%
19980.00.00.00.00.00.00.00.00.00.00.00.00.0%0.0%
19990.00.00.00.00.00.00.00.00.00.00.00.00.0%0.0%
2000-10.342.2-14.6-15.2-13.62.3-0.614.4-3.70.9-12.9-0.7-24.0%-48.5%
20010.00.00.00.00.00.00.00.00.00.00.00.00.0%0.0%
20020.00.00.00.00.00.00.00.00.00.00.00.00.0%0.0%
20030.00.00.00.028.9-3.32.73.9-3.78.2-4.1-4.735.5%-16.2%
2004-0.7-0.0-6.7-2.82.24.4-10.1-0.62.96.312.8-0.811.7%-21.9%
2005-5.50.7-5.2-4.81.9-4.1-1.02.16.50.03.10.4-6.1%-16.1%
20069.6-5.210.80.0-10.7-2.20.92.87.51.65.4-1.121.3%-19.3%
20070.7-2.9-1.03.95.00.83.53.39.25.2-4.70.125.9%-15.2%
2008-17.24.2-1.90.46.3-10.3-1.30.7-0.8-0.8-0.5-0.2-23.0%-22.1%
20090.3-0.30.40.75.9-7.016.11.29.8-3.74.30.437.0%-14.7%
2010-10.72.34.97.2-11.2-2.55.0-0.75.23.30.8-2.616.1%-15.2%
20113.00.3-3.01.4-1.82.5-0.5-0.5-3.72.11.5-1.9-3.0%-23.6%
20125.55.82.3-4.0-12.4-1.11.21.61.9-0.82.33.48.7%-20.5%
201315.22.76.54.05.9-6.71.41.63.0-0.70.50.549.8%-10.6%
20143.013.4-4.7-2.88.74.4-4.86.4-2.39.87.41.540.4%-12.7%
2015-2.55.7-2.31.82.4-2.35.4-5.1-5.65.13.6-0.612.1%-14.5%
2016-12.62.80.5-2.20.1-0.97.66.26.4-5.89.02.08.0%-15.7%
20172.9-1.41.50.26.0-3.53.8-1.1-1.65.3-0.5-0.416.2%-8.8%
20189.8-1.2-3.50.64.3-0.40.02.91.3-7.0-0.6-1.24.9%-10.8%
20190.42.35.22.3-8.00.3-2.12.4-2.94.92.29.213.0%-16.0%
20203.8-6.5-11.010.95.95.49.513.3-7.2-4.314.08.062.8%-34.0%
202113.0-2.0-1.70.5-2.59.18.01.9-5.65.5-2.4-1.526.3%-17.3%
2022-13.79.80.1-5.6-1.5-0.20.6-0.1-0.3-0.00.0-0.3-17.4%-24.4%
20230.2-0.10.1-2.63.45.26.32.5-5.3-1.313.82.715.5%-15.0%
2024-0.64.54.0-6.711.5-1.4-7.54.0-0.32.29.4-0.111.5%-23.2%
20256.5-9.9-6.2-2.10.13.92.2-6.63.07.5-1.12.6-3.9%-31.7%
20266.13.0-7.711.327.90.00.00.00.00.00.00.047.8%-14.7%
Mean Yr0.22.1-1.0-0.12.0-0.21.41.70.41.31.90.511.7%-14.6%

Year rows: Total = compound of the row's monthly returns. Mean Yr row: per-month cells are column means; Total is the arithmetic mean of annual totals (not compound-of-cells, so the two won't agree — this is by design).

Metrics
Strategy vs SPY.
MetricStrategySPY
ROR (CAGR)12.69%8.28%
Sharpe Ratio0.600.45
MAR Ratio0.26—
Max Drawdown-48.8%-55.2%
Trades1,1181
Avg Exposure1.8%100%
Validation
What we checked.
Passed
Lifetime ROR routing gate
Lifetime ROR 12.7% fell in the paid-tier routing band (non-HoF concepts with ROR 10-25%). Storefront routing is ROR-based; the upstream stage-floor cull is a separate check.
Verified
Monte Carlo path-shuffle
2,000 daily-return shuffles. Production MaxDD -48.8% sits at the 74th percentile of shuffled MaxDDs (production sequence was favorable vs the shuffle distribution).
Strategy overview
What it does and why.

What this strategy does

Mom Residual Vs Qqq 60d is a xsec_momentum concept that emerged from our research pipeline and was routed into the storefront by its lifetime ROR (10-25%, paid tier; non-HoF). It trades the Nasdaq-100 with point-in-time membership data, so the published numbers are survivorship-bias-free.

Why this tier

Basic is the entry tier: lifetime ROR at or below 17%, still inside the paid 10-25% routing band. Same .rts source and documentation as the higher tiers. Lifetime ROR 12.7%, Sharpe 0.60, MAR 0.26, MaxDD -48.8% across approximately 26 years (per-concept window pending).

What you get

Three files: the plain-text RealTest .rts source, a README with install steps and the Norgate data requirements, and your single-user license. The .rts is fingerprinted at delivery so the file is traceable to your purchase - no DRM, no subscription, no recurring fees.

What you get
No mystery box.
mom-residual-vs-qqq-60d.zip
  • mom_residual_vs_qqq_60d.rtsRealTest strategy file (plain-text source)
  • README.txtStrategy summary, install steps, Norgate data requirements, support contact
  • LICENSE.txtSingle-user license, watermarked at delivery with your purchase fingerprint
Code preview
Full RealTest source code included in download.
Notes:
Mom Residual Vs Qqq 60d
Settings:
StartDate: 2000-01-03
AccountSize: 100000
Parameters:
Param_A: ████ // ████████
Param_B: ███ // █████ ████
Param_C: ███ // ████████ █████
Strategy:
EntrySetup: ████ < ███ and ██████ > ███
EntryScore: -████████
ExitRule: ███████ >= ███
ExitStop: ███████ * ████

Full plaintext .rts source delivered after purchase.

Strategy details
The shape of the trade.
Style
Quantitative
Universe
Nasdaq-100 Current & Past Members
Timeframe
Daily
Side
Long
Entry
Mixed (see .rts)
Exit
Mixed (see .rts)
Model assumptions
Included in backtest.
Commission
$0.005 / Share (IBKR Pro tier)
Slippage
$0.01 / Share
Limit Buffer
0.05% past limit
Risk-Free Rate
Per-strategy (see .rts)

SPY Buy & Hold benchmark does not include transaction fees, slippage, or management costs. Strategy figures include both.

Backtests use daily-resolution OHLC data (Norgate does not provide intraday). Stops and limits are checked against the day's High/Low; same-day stop-and-target collisions are resolved pessimistically. See Risk Disclosure § 11 for full detail.

Methodology
How the numbers were generated.
Data source
Norgate Data Platinum - point-in-time Nasdaq-100 membership
Backtest period
2000-01-03 to 2026-05-23
Initial capital
$100,000.00 USD
Position sizing
Per-strategy sizing documented in the .rts. Equal-weight default unless overridden.
Compounding
Compounded
Survivorship bias
None - Norgate's point-in-time membership and delisted symbols are both included in the backtest universe.
Look-ahead bias
None - signals computed at prior-day close. Entries fire at next-day open or as a same-day limit.
Benchmark
S&P 500 ETF (SPY) buy & hold
Delivery
RealTest v3.x .rts file + research include
Total cost of ownership
What it actually costs.
ItemCost
Mom Residual Vs Qqq 60d strategy
What you're buying here
$99.00 USD one-time
RealTest license
Perpetual use of current version + 12 months of updates. Optional $159.00 USD/yr extension after that. mhptrading.com/purchase.html
$389.00 USD (one-time)
Norgate Data US Stocks Platinum
Required tier for point-in-time NDX membership back to 1990. No monthly plan. norgatedata.com/stockmarketpackages.php
$346.50 USD / 6 mo or $630.00 USD / 12 mo
Broker commissions
Modeled in backtest at IBKR Pro Fixed
~$0.005 USD / share
OrderClerk
Only needed if you automate execution. No separate license cost.
Bundled with RealTest
Quick start
From download to first backtest.
  1. 01
    Download the .zip
    Click your download link in the receipt email
  2. 02
    Open mom_residual_vs_qqq_60d.rts in RealTest
    File -> Open
  3. 03
    Import symbols
    Click Import (one-time, ~30 seconds with Norgate)
  4. 04
    Run the backtest
    Click Test - your numbers match the published numbers
Setup honesty
The actual gotchas.
G01

Norgate Data US Stocks Platinum is required for the full backtest

Reproducing the published numbers needs survivorship-bias-free Nasdaq-100 history with point-in-time index membership and delisted securities. That is only available on Norgate's US Stocks Platinum subscription ($346.50 / 6 months or $630 / 12 months USD; no monthly plan). The free Norgate trial covers only a recent window - enough to confirm the strategy installs and runs, not enough to match the published equity curve.

G02

RealTest is Windows-only

Mac or Linux users will need a Windows VM or dual-boot. RealTest does not run natively on macOS or Linux.

G03

Drawdowns happen. The published MaxDD is real.

Maximum historical drawdown of -48.8% is from the backtest. Live trading drawdowns may exceed it. Size accordingly.

Robustness evidence

Inspectable proof, not promises.

Every claim in the Validation panel above is backed by a data artifact you can scrutinize. We publish the data behind the badges so a skeptical buyer can verify the strategy is genuinely robust, not a curve-fit that happens to clear our gates.

Monte Carlo
Path luck three ways: shuffle, bootstrap, block bootstrap

We resample the strategy's actual daily returns three different ways and rebuild the equity curve 2,000 times under each method. Each shaded band shows the range of paths the strategy could have produced under a different assumption about what the random variation looks like. The solid line is the production curve.

Shuffle
path luck
2,000x
1x2x5x10x25x
Median DD: -54.1%5–95 DD: -41.7% to -70.0%

Reorders the daily returns with no replacement. Endpoint is identical for every path (compounding is commutative); only the path varies.

Bootstrap
sample luck
2,000x
1x2x5x10x25x50x100x
Median DD: -54.2%5–95 DD: -39.1% to -75.2%

Resamples daily returns with replacement. Bands include sample-size uncertainty as well as path risk -- endpoint varies between paths.

Block bootstrap
block 20d
2,000x
1x2x5x10x25x50x100x
Median DD: -51.1%5–95 DD: -36.4% to -70.3%

Resamples in blocks of 20 consecutive days. Preserves short-term return clustering / autocorrelation -- most defensible for daily data with momentum/mean-reversion regimes.

Log scale on all three. 6,638 daily returns resampled. Production curve (solid) overlays each band.
5th pctile DD
-70.0%
shallowest 5%
Median DD
-54.1%
typical shuffle
95th pctile DD
-41.7%
deepest 5%
Production DD
-48.8%
pctile 74
Favorable sequence

The production trades landed in a slightly favorable order. Plan for somewhat deeper drawdowns than the backtest curve shows when trading live.

FAQ

Common questions.

How do you decide what to sell?+
Concepts flow through a pipeline of stages: ideas -> backtested -> candidates -> evaluation. Storefront routing is by lifetime ROR alone (paid tier: ROR 10-25%; free tier: ROR <10%; ROR >25% stays in-house). A separate HoF-eligibility pre-check (Sharpe >1.0 AND MAR >=0.80) diverts top-tier concepts AWAY from the storefront and into the evaluation stage, so storefront entries are by definition the concepts that did not clear those higher floors. The robustness section below shows the actual evidence artifacts the pipeline did produce for this concept.
Why is the seller not trading this themselves?+
House rule: we never sell the strategies we trade live. The premium edges stay in-house; what gets sold is the validated second-tier work that we judge to be honest products without information-leakage risk.
What is in the .zip?+
Three files: mom_residual_vs_qqq_60d.rts (the strategy, plain text), README.txt (install steps, Norgate data requirements, support contact), and LICENSE.txt (your single-user license). The .rts is fingerprinted at delivery so the file is traceable to your purchase. No DRM, no subscription.
How can I reach support?+
Use the contact form at The Algo Catalog (/contact). We reply within one business day. Bugs in the published backtest are fixed and re-shipped; you keep your download.
⚠ Risk
Hypothetical results. Past performance does not guarantee future results. Trading carries risk of substantial loss. Drawdowns shown have occurred historically and could occur again. This is impersonal software, not advice. See full risk disclosure.
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Mom Residual Vs Qqq 60d -- $99.00 USD

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License
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