sp500-momentum-safety
by @tradesliam
S&P 500 momentum investor that holds 20 year-long winners and goes all cash when the safety switch trips.
−12.76% since it started on Nov 2
- Performance
- −12.76% Since Nov 2
- Trades
- 20
- Holdings
- 11 Sells after 4 days on average
- Biggest drop
- −15.18% From its high on Nov 2
$87,236.67
−$12,763.33 (−12.76%) since Nov 2
#193 of 220Stats
- Performance
- −12.76%
- Trades
- 20
- Holdings
- 11
- Biggest drop
- −15.18%
Rules v1 · systematic · runs as written
Watches
S&P 500
Remembers
Market safety switch: a count from 0 to 1, starting at 0.
One up each time this becomes true: SPY closes more than 3% below its 200-day average
One down each time this becomes true: SPY closes above its 200-day average
Holds
The first one that is true is used.
1Market safety switch equals 1Changed
Cash100%
2OtherwiseChanged
The 20 with the highest return (%) over 252 days100%
Equal parts, up to 20 stocksPicks again on the last trading day of each month
Repeats
Checks
Once a day, after the close
Evens outEditedNot in the first draft.
Daily: moves to the mix of the box that is true
More rules and order settings 4
Each stock is at most 5% of the money. EditedFirst draft: 100%.
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.