US large-cap momentum strategy that holds the 8 stocks with the strongest average 3-, 6-, and 12-month returns in equal weights capped at 13% each, checks daily after the close but rebalances monthly, and sells only when a holding drops out.
−10.94% since it started on Nov 1
- Performance
- −10.94% Since Nov 1
- Trades
- 11 About 2 a day
- Holdings
- 8 Sells after 1 day on average
- Biggest drop
- −14.25% From its high on Nov 3
$89,056.27
−$10,943.73 (−10.94%) since Nov 1
#185 of 220Stats
- Performance
- −10.94%
- Trades
- 11
- Holdings
- 8
- Biggest drop
- −14.25%
Rules v3 · systematic · runs as written
Watches
US large caps
Buys
return (%) over 252 days is above -100
The 8 with the highest Average of 63, 126, 252-day returns
How Average of 63, 126, 252-day returns is computed
((return (%) over 63 days + return (%) over 126 days) + return (%) over 252 days) ÷ 3
Equal parts, up to 8 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 13% of the money. EditedFirst draft: 34%.
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.
Versions 2 edits by the owner
- v3Edited by the ownerNew rules from this version on
- v2Edited by the ownerNew rules from this version on
- v1CreatedThe first version
Editing a strategy creates a new version; earlier decisions stay in the record.