Nasdaq 100 Guarded

Levered Guarded A5/B25/X40/Y15 SMA20 Lead on ^NDX (Nasdaq 100), mirroring the SPX default parameters. Buy-and-hold reference: - CAGR, - max drawdown.

Strategy Rules

Base trend rule: hold 1x Nasdaq 100 exposure only when the NDX close is above the 20-day SMA. Otherwise hold cash/T-bills.
2x recovery tier: if the Nasdaq 100 is down 5% or more from its closing high-water mark, the 2x tier is armed.
3x recovery tier: if the Nasdaq 100 is down 25% or more from its closing high-water mark, the 3x tier is armed.
Lead guard: recovery leverage can run when close is at least 99.25% of SMA20, i.e. within 0.75% below SMA20 or above it.
Exit recovery: 2x resets after the Nasdaq 100 rises 40% from the tier entry close. 3x resets after the Nasdaq 100 rises 15% from the tier entry close.

The official signal uses the latest completed daily close and matches the backtest logic. The intraday signal is provisional and can use a delayed NDX quote through an API/proxy or a manually entered price.

Data Source

Ready.

Auto-refreshes every 30 minutes while open; enter a manual NDX level then click refresh to override the live quote.

Official Signal: Last Completed Close

Target leverage

Load data to calculate the close-based signal.

Signal date	-
Close	-
SMA20	-
Close vs SMA20	-
Drawdown from high	-
Regime	-
Last entry level	-
P&L from last entry	-
Recovery target	-
Distance to recovery target	-

Live Intraday Signal: Provisional

Target leverage

Enter a live price or quote endpoint to calculate a provisional signal.

Signal timestamp	-
Live / provisional price	-
Provisional SMA20	-
Price vs SMA20	-
Drawdown from high	-
Regime	-
Last entry level	-
P&L from last entry	-
Recovery target	-
Distance to recovery target	-

NDX Close vs 20-Day SMA

Load data to draw the chart.

NDX close 20-day SMA Buy / 1x Add / 2x-3x Reduce Cash exit

Markers show leverage transitions; hover for exact cash -> 1x, 1x -> 2x, trade P&L, and rule context.

Selected Window Equity P&L

Load data to draw the selected-window equity chart.

Strategy equity (blue) NDX reference (orange)

Shared Strategy State From Daily History

Daily data through	-
High-water close	-
2x entry level (-5%)	-
3x entry level (-25%)	-
EOD close above SMA20?	-
Recovery lead level	-
2x trigger (A)	-5% drawdown from Nasdaq 100 high-water close
3x trigger (B)	-25% drawdown from Nasdaq 100 high-water close

Back-test Overview

These results use the project backtest engine over - with $100 starting capital, $10 fixed annual inflows, 1.0% rebalance cost, and the engine funding-cost model. The default strategy is Guarded A5/B25 SMA20 Lead: base 1x exposure is allowed only above SMA20, while recovery 2x/3x exposure can start when price is within 0.75% below SMA20.

Default CAGR-

Default max DD-

Default Sharpe-

Annual volatility-

Calmar ratio1.42

Default end value-

Contribution NPV$273Discounted at 4%; includes $100 initial capital and $10 annual inflows.

End / NPV multiple7,200x

Calmar = CAGR / absolute max drawdown; multiple = end value divided by discounted contributions.

The new default improved the historical result versus the original strict A10/B20 version: CAGR rose from 29.39% to 39.09%, while max drawdown improved from -34.37% to -27.51% in the project backtest.

Top 20 Strategy Drawdowns

Largest peak-to-trough declines on default Guarded strategy equity over the full back-test sample.

#	Depth	Peak	Trough	Recovery	Period	Trading days
Load historical data to compute drawdowns.

NDX vs Default Strategy Equity

Browser-side chart preloaded from committed historical NDX daily closes, then updated by Refresh signal when newer daily data is available. Both lines start at $100 and include $10 annual inflows. The chart uses a log scale so the NDX buy-and-hold line remains visible beside the much larger strategy result.

Loading static historical back-test data...

Strategy equity (blue) NDX reference (orange)

Full-Sample Strategy Comparison

Full sample: 1996-05-16 to 2026-05-15. Cash time is percent of sessions with zero risky exposure.

Strategy	CAGR	Ann vol	Sharpe	Max DD	End value	Trades	Cash
Loading…

Legacy Guard SMA Sensitivity

Earlier A10/B20 tiering study kept for reference. The site default is now the A5/B25/X40/Y15 lead-guard version above.

Strategy	CAGR	Sharpe	Max DD	End value	Cash	1x	2x	3x	Tier entries
Guarded A10/B20 SMA20	29.39%	3.232	-34.37%	$224,918	37.08%	26.15%	10.31%	26.46%	8 / 5
Guarded A10/B20 SMA50	20.41%	2.163	-46.31%	$26,007	33.97%	31.97%	6.47%	27.60%	5 / 2
Guarded A10/B20 SMA200	17.88%	1.408	-35.47%	$13,765	28.22%	33.92%	19.91%	17.95%	6 / 2

Forward and Out-of-Sample Checks

Earlier A10/B20 strategy tested on later periods without changing parameters. Kept as historical reference.

Period	Strategy	CAGR	Ann vol	Sharpe	Max DD	End value	Trades
2006-2026	Guarded A10/B20 SMA20	32.69%	26.14%	3.078	-20.94%	$31,409	576
2006-2026	SMA20 3x/cash	37.50%	32.10%	3.751	-48.23%	$64,800	568
2006-2026	SMA20 2x/cash	27.40%	21.40%	3.783	-32.76%	$13,714	568
2006-2015	Guarded A10/B20 SMA20	32.84%	29.82%	2.953	-20.94%	$1,689	313
2016-2026	Guarded A10/B20 SMA20	36.45%	21.57%	3.184	-17.23%	$2,477	263

The OOS results are strong for the guarded strategy: the 2006-2026 forward period improved drawdown sharply versus SMA20 3x/cash while retaining a high compound return. This does not eliminate future regime risk, but it is a better check than only looking at the full in-sample history.

Monte Carlo Validation

The Monte Carlo run stress-tests the default Guarded A5/B25/X40/Y15 SMA20 Lead strategy over 200 synthetic 10-year market paths. Paths are built with 21-trading-day blocks sampled from historical Nasdaq 100 and T-bill data, preserving short-term clustering better than single-day random sampling.

Simulations200

Horizon10 years

Median CAGR-

Median max DD-

Monte Carlo Comparison

Summary across 200 simulated 10-year paths for the final candidate and two reference versions.

Strategy	Median CAGR	P10 / P90 CAGR	Median max DD	P10 / P90 max DD	Median Sharpe	Median end value	P(DD < -40%)
Lead 0.75 A5/B25 X40/Y15	-	26.46% / 50.02%	-	-39.72% / -18.86%	3.269	$2,060	10.0%
Lead 0.75 A10/B20 X40/Y15	34.39%	24.46% / 45.09%	-28.64%	-39.71% / -19.04%	3.220	$1,716	10.0%
Original strict A10/B20 X25/Y33	30.17%	20.63% / 41.38%	-28.96%	-42.77% / -18.74%	3.503	$1,261	16.5%

Risk Probabilities

Question	Monte Carlo result
Probability max drawdown is worse than -35%	-
Probability max drawdown is worse than -40%	-
Probability max drawdown is worse than -50%	-
Probability ending below starting capital	-

Default Strategy Diagnostics

Full-sample diagnostics for the A5/B25/X40/Y15 lead-guard default.

Metric	Value	Metric	Value
Loading…

The Monte Carlo profile is attractive but not drawdown-free. A -35% drawdown remains plausible, while a -50% drawdown was uncommon in this simulation. Position sizing should assume the strategy can still spend long periods underwater.