Nasdaq 100 Model

with some shorts...

As always, this is no investment advice!

O.k., you got me. Got a lot of feedback concerning that Nasdaq 100 model and since it does scale pretty good I am going to publish the positions regularly:

Here the long system of the book model (it rebalances weekly):

And the positions of the long book:

Here is the short model:

There are only three positions now; you can see them in the above screen.

All together in one book:

At that stage of the market and based on technicalls I would put on only half of the suggested short position!

Obviously, you can also only play the long book, at that stage of the market that might be o.k.

Also, we had a great session with macro42.com, here is the link of the video (pardon my bad englisch and my camera position, I need to get some better equipement!)

By the way, worked again to 3 a.m. in the morning just to find out that I switch models again. I am a brokers dream!

Here is the new one:

I know it looks too perfect to be true.

And I do only have a very short out of sample test. But I went through the logic about 100 times and I am pretty sure I made no design mistakes.

I give it a shot!

By the way, it uses the same short book as you have seen above in this post.

The logic is simple: Get long: higher beta small caps, value, momentum, industry momentum with recent positive eps revisions.

And get short > 100 Billion market capitalization stocks, that have really bad eps revisions.

In inflation and deflation, small caps (esp. higher beta) do not well, no matter the fundamentals. But my small cap model does still better than for example the Russell 2000. The small cap system goes to cash in bad times, because in inflation and deflation regimes it cannot find stocks that have great earnings revisions.

But high beta big caps with bad earnings do even worse in deflation and inflation and the short model then finds more and more stocks with bad earnings revisions, in good times it finds less.

So, both models kind of surf the estimate revision wave. When do earnings revisions go up? In goldilocks and reflation. They go down in inflation and deflation. It just makes sense, so I trade it.

Let’s see how it goes. I will keep you updated!

If you want to chat with me concerning my models, contact me on live:andreas.himmelreich.

Happy trading!