Free · Retired Concept

Mom Term Struct 3level Size

Mom Term Struct 3level Size - a xsec_momentum concept routed into the free-tier catalog by lifetime ROR (non-HoF, ROR <10%). Lifetime ROR 8.5%, Sharpe 0.54, MaxDD -56.4% across the backtest window. Plain-text source code included.

Retired research concept. This strategy did not clear our bar for sale. We are sharing it as-is for learning and setup verification. No email support. No updates. We do not recommend trading it as-is with live capital.

Honest about the data cost: the .rts file is free, but reproducing the full backtest above requires Norgate's US Stocks Platinum subscription ($346.50 / 6 mo or $630 / 12 mo USD; no monthly plan). It is the only Norgate tier with point-in-time NDX membership and delisted securities back to 1990. 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.

Download
Annualized Return (CAGR)2%better than SPY
8.5%
over 2000-2026
SPY 8.3%
Sharpe Ratio20%better than SPY
0.54
SPY 0.45
Max Drawdown2%worse than SPY
-56.4%
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
free
Family
xsec_momentum
Universe
Nasdaq-100 current & past members
Backtest Window
2000-01-03 -> 2026-05-23
Lifetime ROR
8.47%
Sharpe
0.54
Performance

The backtest, in full.

$100k -> $715k - as of 2026-05-23
StrategySPY
$427k$223k$117k$816k$61klog scale2000200420082012201620202024
Underwater curve (drawdown over time)worst: -42.9%
0%-43%
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%
20000.00.00.00.00.00.00.00.00.00.00.00.00.0%0.0%
20010.00.00.00.00.00.00.00.00.00.00.00.00.0%0.0%
20020.00.00.0-2.3-0.4-0.5-0.5-0.20.00.00.00.0-4.0%-4.0%
20030.5-0.90.61.91.71.81.43.6-1.04.3-0.7-2.814.6%-7.8%
20040.4-1.3-0.8-4.53.51.7-6.3-2.37.02.54.3-2.45.5%-16.2%
2005-6.72.02.1-2.12.7-1.11.7-0.80.1-0.14.02.34.3%-8.7%
20066.3-1.90.7-0.2-2.8-1.2-4.31.54.20.92.4-0.04.1%-12.2%
2007-1.10.60.3-1.11.21.8-0.91.52.09.4-7.2-0.64.8%-11.9%
2008-3.10.1-0.90.82.9-5.8-1.1-2.1-12.3-5.9-0.3-0.6-28.0%-31.9%
2009-0.6-3.41.6-0.7-0.90.73.3-1.74.70.3-1.13.16.3%-6.3%
2010-6.02.92.92.5-8.3-3.23.8-5.310.43.40.70.311.9%-12.6%
20110.80.53.43.0-0.72.22.8-2.4-8.2-1.3-1.10.5-3.5%-17.2%
20121.92.70.22.9-3.91.3-1.21.60.1-3.8-0.31.63.7%-9.2%
20130.41.21.01.61.8-1.44.8-1.35.6-1.12.53.123.0%-3.8%
20141.96.5-6.8-1.95.56.0-4.46.11.11.13.9-0.114.4%-11.9%
2015-1.54.0-2.1-1.75.8-0.11.1-4.7-3.83.30.6-1.83.8%-11.8%
2016-10.8-1.42.9-1.48.7-0.25.7-0.63.10.44.31.815.2%-13.0%
20170.10.12.6-0.27.5-4.11.01.74.04.3-1.2-2.319.5%-8.7%
201812.8-3.2-1.6-0.56.70.90.13.9-0.4-16.1-1.1-2.0-0.9%-22.8%
20191.23.00.11.6-1.11.60.0-1.5-2.3-0.4-2.18.88.0%-11.8%
20203.6-1.2-2.82.1-0.16.49.68.60.2-3.815.9-1.250.6%-12.0%
20218.9-4.0-6.98.0-0.312.49.61.2-3.2-1.00.9-4.416.7%-22.5%
2022-19.15.50.8-18.1-4.5-2.12.0-3.1-0.61.40.2-3.6-41.2%-40.9%
20230.7-2.1-0.40.5-0.32.21.4-0.2-3.3-4.17.63.13.2%-12.2%
20244.29.1-0.5-4.09.34.3-5.82.45.31.4-0.6-3.123.2%-15.0%
20256.0-7.1-6.45.87.02.63.80.313.71.6-7.85.725.1%-24.3%
202610.3-3.5-2.536.626.40.00.00.00.00.00.00.079.2%-12.2%
Mean Yr0.30.3-0.40.92.00.80.80.20.8-0.10.70.27.8%-10.9%

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)8.47%8.28%
Sharpe Ratio0.540.45
MAR Ratio0.15—
Max Drawdown-56.4%-55.2%
Trades7691
Avg Exposure2.1%100%
Validation
What we checked.
Passed
Lifetime ROR routing gate
Lifetime ROR 8.5% fell in the free-tier routing band (non-HoF concepts with ROR <10%). 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 -56.4% sits at the 7th percentile of shuffled MaxDDs (production sequence was unlucky vs the shuffle distribution).
Strategy overview
What it does and why.

What this strategy does

Mom Term Struct 3level Size is a xsec_momentum concept that emerged from our research pipeline and was routed into the storefront by its lifetime ROR (<10%, free 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

Free: lifetime ROR fell under 10% (the paid-tier routing floor), so the concept was routed to the free download catalog. We share these for learning and setup verification. Lifetime ROR 8.5%, Sharpe 0.54, MAR 0.15, MaxDD -56.4% 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 the free-tier license. No DRM, no subscription.

What you get
No mystery box.
mom-term-struct-3level-size.zip
  • mom_term_struct_3level_size.rtsRealTest strategy file (plain-text source)
  • README.txtStrategy summary, install steps, Norgate data requirements, support contact
  • LICENSE.txtFree-tier license: personal use, attribution required, no resale
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
Quick start
From download to first backtest.
  1. 01
    Download the .zip
    Click your download link in the receipt email
  2. 02
    Open mom_term_struct_3level_size.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 -56.4% 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
1x2x5x
Median DD: -43.3%5–95 DD: -32.5% to -57.6%

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
1x2x5x10x25x
Median DD: -43.8%5–95 DD: -30.1% to -63.3%

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
1x2x5x10x25x
Median DD: -43.0%5–95 DD: -29.7% to -64.4%

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. 6,078 daily returns resampled. Production curve (solid) overlays each band.
5th pctile DD
-57.6%
shallowest 5%
Median DD
-43.3%
typical shuffle
95th pctile DD
-32.5%
deepest 5%
Production DD
-56.4%
pctile 7
Unlucky sequence

The production trades happened to land in a particularly rough order. The headline drawdown is deeper than the typical random ordering — most shuffles produced a smoother ride. Live results may actually run smoother than the backtest implies.

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_term_struct_3level_size.rts (the strategy, plain text), README.txt (install steps, Norgate data requirements, what's supported and what isn't), and LICENSE.txt (free-tier terms: personal use, attribution, no resale). No DRM, no subscription.
Can I get support for this strategy?+
No. Free downloads are retired research concepts shared as-is for learning and setup verification. We do not provide email support, bug fixes, or updates for free-tier strategies. The .rts file is plain text -- read it, run it, learn from it.
Can I run this on Norgate's free tier?+
Yes for setup verification, no for the full backtest. The .rts will install and run on Norgate's free trial, but the published equity curve requires Norgate US Stocks Platinum ($346.50 / 6 mo or $630 / 12 mo USD) because only Platinum has point-in-time NDX membership and delisted securities back to 1990. Check Norgate's current free-tier window directly -- it changes.
⚠ 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.
Free download

Mom Term Struct 3level Size — Free

Free download. The .rts file and a README. Real code, retired from active research. No purchase, no email collection, no support, no updates.

Data dependency: the .rts file is free, but reproducing the published equity curve above requires Norgate's US Stocks Platinum subscription ($346.50 USD / 6 mo or $630.00 USD / 12 mo; no monthly plan). It is the only Norgate tier with point-in-time NDX membership and delisted securities back to 1990.

The free Norgate trial covers only a recent window — enough to confirm the strategy installs and runs, not enough to match the published backtest.

Download .rts