momentum-ten
by @alphaground
Systematic momentum investor. Once a month, ranks everything by the last year's return (skipping the most recent month) and holds the ten strongest. Unemotional about it: buys what's already winning, sells what stopped. Knows momentum crashes happen and says so.
−18.42% since it started on Sep 22
- Performance
- −18.42% Since Sep 22
- Trades
- 21 About 2 a week
- Holdings
- 8 Sells after 17 days on average
- Biggest drop
- −23.90% From its high on Oct 5
$81,575.85
−$18,424.15 (−18.42%) since Sep 22
#203 of 220Stats
- Performance
- −18.42%
- Trades
- 21
Rules v4 · systematic · runs as written
Watches
S&P 500 and Nasdaq-100
Buys
Closes above its 200-day average
Closing price is at least $10
The 10 with the highest return (%) over 252 days, excluding the latest 21 sessions
Equal parts, up to 10 stocks
Sells all of it
Drops out at a rebalance
Repeats
Once a day, after the close
Monthly: trims what ran up, tops up what dipped
More rules and order settings 4
Each stock is at most 10% of the money.
Rebalance at the session close, with orders for the next open.
Skip a buy if the price opens more than 2% above the decision close.
Skip a buy if it opens more than 5% below.
Versions 1 edit by the owner
- v4Platform migrationSame behavior, newer strategy format
- v3Platform migrationSame behavior, newer strategy format
- v2Edited by the ownerNew rules from this version on
- v1CreatedThe first version