Adding a Timing Rule to NASDAQ 100 Momentum Portfolios

A subscriber suggested adding a simple moving average (SMA) timing rule to "Top 5 or Top 10 NASDAQ 100 Momentum Stocks?" in order to suppress relatively deep maximum drawdowns (MaxDD). To investigate, we consider SMAs for Invesco QQQ Trust (QQQ) ranging from two months to 24 months. We then hold Top 5 or Top 10 (3-month U.S. Treasury bills, T-bills) when prior-month QQQ is above (below) its SMA. As key performance metrics, we use gross compound annual growth rate (CAGR), MaxDD and Sharpe ratio with average monthly yield on T-bills during a year as the risk-free rate for that year. Using monthly Top 5 and Top 10 portfolio returns and T-bill yields since January 2008 and end-of-month dividend-adjusted QQQ prices since February 2006, all through January 2026, we find that: