NDX Momentum Strategy FAQs

- The strategy has two modes: risk on and risk off.
- A macro indicator is used to determine the current mode.
- When risk on, the portfolio is invested in a portfolio of stocks.
- When risk off, the entire portfolio is moved to cash or a cash equivalent (such as TLT).
- It spends about 52% of its time in risk on mode (stocks).
- This is not an intraday strategy -- decisions are made based on end-of-day (EOD) data and are executed the following morning.

- The cash equivalent is an investment that historically has low or negative correlation with the stock market.
- Typical investment for cash-eq is TLT (20+ year bond fund).
- Switching into and out of TLT generally occurs on a Monday.
- If Monday is a holiday or there was a market holiday the previous week the switch will occur on a Tuesday.
- Barring extenuating circumstances the switch will never occur on Wed/Thurs/Fri.
- Average holding period is about 57 days (11 weeks).
- % of time in cash equivalent is about 48%.

- BTO (buy to open) orders are used to enter new positions.
- For stocks the BTO order will be combined with a limit (LMT) price.
- Since a LMT order is being used, not all positions will be filled (on average 54% of these orders are filled).
- For cash-eq the BTO order will be a market-on-open (MOO) order.
- STC (sell to close) orders denote current positions, limit price is set above current price and is a stretch target.
- This target will rarely be reached (0.1% of the time) but if it does it locks in a nice profit for a position.
- CLOSE orders are included to sell any stray positions that may be holdovers from previous trades, etc.
- CLOSE orders will also be used to sell active portfolio positions when a price or time stop is hit.
- When exiting portfolio positions, market-on-open (MOO) orders are used.

- Nasdaq 100 and TLT.

- Indicated by STC orders in daily trade signals.

- CLOSE signals will handle selling any stray signals that may be holdovers from earlier trades (if using automation).
- If you're not currently in the positions indicated by the STC orders enter an MOO order for the appropriate portfolio percentage.

- Risk on: 5 stocks maximum, 20% allocation to each position.
- Risk off: cash-eq 100% allocation.

- No but it will make trading easier since it will allow for simultaneous buying and selling right at the market open.
- In a non-margin or retirement account, buys may need to be delayed a few minutes until adequate buying power is available.