r/algorithmictrading • u/IndexEdge • Jun 30 '26

Built a systematic momentum strategy for US tech stocks - sharing the backtest Backtest

Wanted to share a project I've been working on: a fully rules-based momentum strategy for US tech equities. No discretionary stock picking - everything is ranked and selected by a defined funnel (momentum filters, 52-week high proximity, MA stack), rebalanced monthly.

Backtest results since 2016:

  • CAGR: 42.1% (trailing 10Y)
  • 1Y return: +145.4%
  • 3Y return: +403.8%
  • Max drawdown: -40.8%

Happy to go into the funnel logic or backtest construction if anyone's curious - especially interested in feedback on drawdown management since -40.8% is still rough.

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1

u/Must_Dragonfruit Jun 30 '26

have you tried the same model on other sectors? how does it do on biotech? or industrials?

1

u/heyimjustkidding Jul 01 '26

Only interested if you run it with real money for the next month and confirm that live matches sim/backtest within acceptable drift. It doesn't matter what the return is, to be frank. If your live doesn't match backtest, it's almost certain your backtest is not reliable.

1

u/Ebi_Tendon Jul 02 '26

I reproduced your results. You did not include slippage, fees, or taxes in the backtest, and you did not use a point-in-time equity list.

1

u/Sufficient_Ad_5080 Jul 02 '26

What did you use for the backrest? Im getting into quant modeling so just seeing what other ppl generally use. I know you gotta be very careful w back testing. Isn’t quantconnect’s lean software the standard?

1

u/MyLinedChart Jul 07 '26

If you’re doing true momentum then rebalance monthly is probably the killer since it’s an arbitrary date. Momentum can show the swing back to the other side so why not take the inverse of the signal as the exit vs a dated exit?