This is the "Peek" model published by Merlin, to which I've added a filter for SCTR > 50 and tested on a S&P 100 universe. Adding the filter turns a terrible model (13 yr CAGR = 0%) into something worth looking at. Change the bool "useSCTR" to true/false to turn the filter on and off. This is just a demo for SCTR, not an actual model for trading. Filter works similarly on other large universes too (NASDAQ, S&P 500).
APR: 6.64% • Win Rate: 67.94% • Sharpe: 0.71