BTS Strength Zones — Nasdaq-100 Stocks Backtest Results
Backtested Strategies has published BTS Strength Zones — Nasdaq-100 Stocks Backtest, a new report on a long-only tactical allocation model applied to a fixed universe of current Nasdaq-100 stocks. Over the 2003–2025 whole-calendar-year report window, the complete modeled BTS Strength Zones portfolio produced 47.1% CAGR versus 11.3% for buy-and-hold SPY. Over that 23-year period, a $10,000 starting value grew to $71,129,872 for the strategy and $116,729 for SPY. Maximum drawdown was -40.1% versus -55.2% for SPY, while volatility was higher at 21.5% versus 18.7%.
BTS Strength Zones — Nasdaq-100 Stocks Backtest applies the same strategy rules used across the BTS Zones series and the same governing BTS Strength Zone formulas and rules used across all BTS Heatmaps. That common design supports direct comparison with other BTS Zones backtests without changing the governing strategy rules or heatmap formulas.
Results
The chart shows a widening long-term performance gap interrupted by a major 2008 drawdown and several shorter setbacks. The strategy finished far ahead of SPY, but the path was neither smooth nor defensive.
Time in Market was 99.6%, indicating near-continuous equity exposure rather than a defensive cash posture, while volatility was higher at 21.5% versus 18.7% for SPY.
The drawdown profile was better than the benchmark’s but still demanding. Maximum drawdown reached -40.1%, versus -55.2% for SPY, and the longest underwater period lasted 494 calendar days. The result paired a smaller worst loss with losses that were still deep and extended.
The return advantage appeared in both SPY up years and the selected SPY down years. In SPY up years, BTS Strength Zones produced 55.5% filtered CAGR versus 17.1% for SPY. Across the three SPY down years—2008, 2018, and 2022—the strategy produced 1.3% filtered CAGR versus -21.0% for SPY.
The full-period result was not driven by a single endpoint. BTS Strength Zones beat SPY on CAGR and Sharpe ratio in all 241 rolling three-year windows and all 217 rolling five-year windows. Lower volatility appeared in 15.8% of three-year windows and 26.3% of five-year windows, while smaller maximum drawdowns appeared in 63.9% and 81.6%, respectively. The evidence supports broad historical return leadership and more frequent drawdown improvement, not a consistently lower-volatility path.
Methodology
The model applies published BTS Strength Zones to a fixed universe of current Nasdaq-100 stocks. A portfolio-level VIX 50/35 regime determines whether a stock associated with an active BTS Strength Zone may enter the portfolio. Once admitted, the stock remains held through the scheduled end of its BTS Strength Zone, and entered stocks are equal-weighted at target-decision events.
When no BTS Strength Zone is entered, the portfolio holds SPY while the regime is ON and SHY while it is OFF. Stocks without a published BTS Strength Zone receive no offensive allocation.
Reported performance reflects the full modeled portfolio, including entered stocks and SPY/SHY fallback holdings.
Backtest results follow the BTS Methodology, which sets common conventions for data and calendar alignment, execution pricing, missing-data and end-of-range handling, trading costs and spread-aware slippage, portfolio accounting, cash and dividend treatment, benchmark conventions, reporting windows, performance metric calculations, and, where reported, market-capacity screening. Strategy-specific rules, universes, eligibility, timing, sizing, and constraints are defined in each report.
Caveats
The backtest applies the same fixed set of current Nasdaq-100 stocks throughout the 2003–2025 period. The report evaluates recurring seasonality in those specified stocks using the BTS Strength Zone framework; it is not intended to recreate the historical Nasdaq-100 index. The results should therefore be interpreted as a seasonality study of that fixed stock set and should not be generalized to former constituents or to the historical index as a whole.
The published BTS Strength Zones were defined from historical data through 2025. The reported result is an in-sample historical analysis, not an out-of-sample validation.
Implementation burden remained high. The strategy averaged 990.6 modeled executions per year after excluding the terminal reporting close, and equal weighting may still produce correlated concentration across mega-cap technology, communication-services, consumer, and semiconductor stocks.
The regime figures are filtered-year diagnostics, not continuous-window backtest results. They support historical downside containment, not loss avoidance. Likewise, the rolling-window results show persistent relative performance, but not consistently lower volatility.
Market capacity
The market-capacity screen produced an overall GREEN status at the modeled account scale. All 22,749 requested execution events were assessable, giving 100.00% event-count and gross-notional coverage. Of those events, 99.23% were classified as market capacity likely, 0.07% as questionable, and 0.70% as unlikely. Both the 0.70% unlikely-event share and the 0.77% combined non-likely share remained within GREEN thresholds.
The questionable and unlikely events were all concentrated in a single stock, which had a sparse, repeated, and discontinuous historical volume record at the time of the test. The exception was concentrated in that stock rather than distributed across the broader Nasdaq-100 universe, but it remains material for the affected execution events.
The GREEN status does not mean the strategy can be scaled without limit. The screen compares modeled shares with recent peak volume; it does not estimate typical daily liquidity, bid-ask spreads, order-book depth, market impact, intraday liquidity, or realized slippage. It should be read as evidence that the tested account scale was generally compatible with the available volume record, not as a universal statement about deployable capital.
Read the report
The full BTS Strength Zones — Nasdaq-100 Stocks Backtest report includes preview and full-period metrics, complete strategy rules and mechanics, equity-curve and drawdown-profile charts, caution flags, failure-mode analysis, market-capacity results, monthly and annual returns, SPY up-year and down-year diagnostics, rolling-window results, pseudocode, and implementation guardrails.
About Backtested Strategies
Backtested Strategies (BTS), operated by Marquantex LLC, is a financial research publisher built around the BTS Methodology, a standardized framework for testing trading strategies with stated rules, consistent assumptions, benchmark discipline, cost and slippage treatment, portfolio accounting, and clear interpretation so readers can evaluate market ideas through evidence rather than hype or unsupported claims.