Nasdaq-100 (Oct 2023), Keltner-Donchian trend

The rules

Buy at the next minute's open after an hourly close reaches the upper band: the lower of the highest of the last 20 session closes and their 20-session average plus 2.8 times their mean daily change. Hold it with a trailing stop at the lower band, the higher of the lowest of the last 40 closes and their 40-session average less 2.8 mean changes, which rises with each session and never falls; an hourly close below it sells. The averages are exponential. Long only, 1% of the account per stock.

Universe

The 93 Nasdaq-100 members on October 27, 2023, the last session before the test, that still traded under their tickers on October 30, 2026: AAPL, ABNB, ADBE, ADI, ADP, ADSK, AEP, ALGN, AMAT, AMD, AMGN, AMZN, ASML, AVGO, BIIB, BKNG, BKR, CDNS, CEG, CHTR, CMCSA, COST, CPRT, CRWD, CSCO, CSGP, CSX, CTAS, CTSH, DDOG, DLTR, DXCM, EBAY, ENPH, EXC, FANG, FAST, FTNT, GEHC, GFS, GILD, GOOGL, HON, IDXX, ILMN, INTC, INTU, ISRG, JD, KDP, KHC, KLAC, LCID, LRCX, LULU, MAR, MCHP, MDLZ, MELI, META, MNST, MRNA, MRVL, MSFT, MU, NFLX, NVDA, NXPI, ODFL, ON, ORLY, PANW, PAYX, PCAR, PDD, PEP, PYPL, QCOM, REGN, ROST, SBUX, SNPS, TEAM, TMUS, TSLA, TTD, TXN, VRSK, VRTX, WDAY, XEL, ZM, ZS

Bars

hourly

Position size

1% of equity per stock at entry, never rebalanced

Rebalance

Checks every hourly close; the stop moves once a session

Results

Hypothetical: a backtest with modeled costs, not traded with real money.

Hypothetical growth of $10,000

Rebuild it in Orbital

Paste this into Orbital Chat. The Strategy Developer builds the workflow and asks before it runs any backtest.

Trade AAPL, ABNB, ADBE, ADI, ADP, ADSK, AEP, ALGN, AMAT, AMD, AMGN, AMZN, ASML, AVGO, BIIB, BKNG, BKR, CDNS, CEG, CHTR, CMCSA, COST, CPRT, CRWD, CSCO, CSGP, CSX, CTAS, CTSH, DDOG, DLTR, DXCM, EBAY, ENPH, EXC, FANG, FAST, FTNT, GEHC, GFS, GILD, GOOGL, HON, IDXX, ILMN, INTC, INTU, ISRG, JD, KDP, KHC, KLAC, LCID, LRCX, LULU, MAR, MCHP, MDLZ, MELI, META, MNST, MRNA, MRVL, MSFT, MU, NFLX, NVDA, NXPI, ODFL, ON, ORLY, PANW, PAYX, PCAR, PDD, PEP, PYPL, QCOM, REGN, ROST, SBUX, SNPS, TEAM, TMUS, TSLA, TTD, TXN, VRSK, VRTX, WDAY, XEL, ZM and ZS on 1-hour bars, built as a program that keeps session closes. Upper band: the lower of the 20-session high close and the 20-session EMA plus 2.8 times the mean absolute daily change. Lower band: the higher of the 40-session low close and the 40-session EMA less 2.8 mean changes. Buy on an hourly close at or above the upper band and trail a stop at the lower band that never falls; sell on an hourly close below it. 1% of equity per stock, long only. Backtest from October 30, 2023 to October 30, 2026 with $1,000,000.

Is it real?

Strategies tested together

15

Beta to SPY

0.49

Alpha vs SPY

−2.6% a year

Costs paid

$13,954, 4% of the gain before costs

Data

1h decisions on 1-minute bars, 754 sessions

Fills

Next open at market, sized at the fill

Read this before you trust it

This basket uses no hindsight: the Nasdaq-100 as it stood the day before the test began, from its published membership. Alphabet is held once, as GOOGL, and seven members are out because they stopped trading here before the test ended: SGEN, SIRI, ANSS, WBA, AZN, EA and WBD. Its runs start with $1,000,000 so that a 1% share buys whole shares of the dearest members; at $100,000 a stock above $1,000 could never be bought. Picked on November 8, 2026 by a rule written before any run: published evidence, yearly costs at most a quarter of the published gross return, buildable in Orbital, and the source's own parameters. Every rule is published whatever it shows. Orbital's engine cannot rank entries for a program that decides more often than daily, so instead of the source's position cap each stock gets an equal share and every signal is taken. Orbital's minute data starts in September 2023, so the session records start on October 2, 2023: early in the test a record is a short one. The selection expected it to trail SPY's return with a smaller drawdown, as the paper's own tradable version did.