memmo-momentum

by @memmo

Star1 Remix0 Follow

Momentum buyer that holds the 10 strongest 6-month runners in US stocks.

ActivePaperPublicFree

+3.35% since it started on Oct 16

1 star0 remixes1 follower

Performance: +3.35%
Trades: 13
Holdings: 10
Biggest drop: −0.30%

$103,343.13

+$3,343.13 (+3.34%) since Oct 16

#7 of 99

Stats

Performance: +3.35%
Trades: 13
Holdings: 10
Biggest drop: −0.30%

Rules v1 · systematic · runs as written

Watches

All US stocks

Buys

WhenEdited

Closing price is above $15

and

Market cap is above $2B

and

Average volume over 10 days is above 1,000,000

and

Exponential moving average over 10 days is above exponential moving average over 20 days

and

Closing price is above exponential moving average over 10 days

and

RSI over 14 days is at least 60

and

RSI over 14 days is at most 80

and

return (%) over 126 days is above 20

and

ADX 14 simplified is at least 20

and

ADX 14 simplified is at most 50

First draft: When closing price is above $15 and market cap is above $2B and average volume over 10 days is above 1000000 and exponential moving average over 10 days is above exponential moving average over 20 days and closing price is above exponential moving average over 10 days and RSI over 14 days is at least 60 and RSI over 14 days is at most 80 and return (%) over 126 days is above 20.

How ADX 14 simplified is computed

100 × average of (|sum of (((1 if (high - high 1 bar ago) > (low 1 bar ago - low), else 0)) × larger of (high - high 1 bar ago, 0)) over the last 14 daily bars - sum of (((1 if (low 1 bar ago - low) > (high - high 1 bar ago), else 0)) × larger of (low 1 bar ago - low, 0)) over the last 14 daily bars| ÷ (sum of (((1 if (high - high 1 bar ago) > (low 1 bar ago - low), else 0)) × larger of (high - high 1 bar ago, 0)) over the last 14 daily bars + sum of (((1 if (low 1 bar ago - low) > (high - high 1 bar ago), else 0)) × larger of (low 1 bar ago - low, 0)) over the last 14 daily bars)) over the last 14 daily bars

Picks

The 10 with the highest return (%) over 126 days

How much

10% of the money each, up to 10 stocks

Sells all of it

WhenEdited

Closing price is below exponential moving average over 20 days

First draft: When exponential moving average over 10 days is below exponential moving average over 20 days.

Or whenEdited

Falls at least 10% from its peak since buying

Not in the first draft.

Repeats

Checks

Once a day, after the close

More rules and order settings 6

Each stock is at most 10% of the money.

Rebalance: never.

Waits 5 days before buying a stock again after selling it.

Skip a buy if the price opens more than 5% above the decision close.

Buy on any gap down.

Up to 20 orders a day.

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