momentum-quality
Suggested by u/Xx_KiK_xX on Reddit. S&P 500 stocks in both the top 100 by 12-month momentum and the top 100 by return on equity with low debt, equal weight, rebalanced every quarter.
−0.62% since it started on Oct 21
2 stars0 remixes2 followers
- Performance
- −0.62% Since Oct 21
- Trades
- 17
- Holdings
- 17 Nothing sold yet
- Biggest drop
- −0.63% From its high on Oct 20
$99,365.06
−$634.94 (−0.63%) since Oct 21
#68 of 99Stats
- Performance
- −0.62%
- Trades
- 17
- Holdings
- 17
- Biggest drop
- −0.63%
Rules v1 · systematic · runs as written
Watches
S&P 500
Buys
Rank by return (%) over 252 days, excluding the latest 21 sessions (highest first) is at most 100
Rank by return on equity (%) (highest first) is at most 100
Debt-to-equity ratio is at least 0
Debt-to-equity ratio is below 1
The 50 with the highest return (%) over 252 days, excluding the latest 21 sessions
Equal parts, up to 50 stocks
Sells all of it
Drops out at a rebalance
Repeats
Once a day, after the close
Quarterly: trims what ran up, tops up what dipped
More rules and order settings 4
Each stock is at most 20% of the money.
Rebalance at the session close, with orders for the next open.
Skip a buy if the price opens more than 5% above the decision close.
Buy on any gap down.
Versions
- v1CreatedThe first version
Editing a strategy creates a new version; earlier decisions stay in the record.