[RobertKinnell]

Here is a mean reversion system which targets the top momentum stocks in the NDX. Essentially, a combination of a momentum system and a mean reversion system with daily entry/exits. The idea came from: https://www.systematic-investors.com/strategy-session-ndx-momentum/ which had a CAGR of 35% and 23.5% MaxDD.

My attempt:

Compared to a regular monthly momo NDX system, very highly correlated (not surprisingly):

 

And a version for the Russ1000:

 

 

 

[RobertKinnell]

12.6% ROR, 22% maxDD and AvgExp 79%.

 

And with QQQ instead of SPY…. 15.7% ROR, 20.5% MaxDD and AvgExp 79%.

 

 

[RobertKinnell]

Would the OrdersNetLiq function under OrderSettings help? I have it pointing to a txt with my latest account value, and also double check any sell orders loaded in basket trader match my current number of holdings using the drop down.

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