Rocket Stocks for Swing and Positional

sanju005ind

Investor, Option Writer
#42
very nice initiative
we have seen some of the big movers.....stocks which give entry and then reverse how big is the SL?
also how many stocks pass the criteria in an average year?
Response
1. Yes there will always be failures. for me capital allocation for each stock will not be more than 10% of the entire portfolio.Also I enter half position first and most of the time it starts to go in my direction.then I enter the second half. Regarding SL depends upon your money management plan and risk appetite.
2. Fresh entries and entries after 3 or more years gap will be less and rare.But reentries you will get numerous. I try to diversify sectorwise and and market cap.the rest I leave.because managing becomes difficult if you go beyond a certain limit.
 

pannet1

Well-Known Member
#43


I decided to code and backtest Andrew Clenow’s now famous Rotation of momentum stocks strategy. (as mentioned in this book )
Some fascinating observations from the data set but before that lets jot down the strategy settings.
· We rank the entire universe of stocks on its last 90 days momentum.
· We buy the top 10 among that list.
· We sell the stocks if they are NO longer in the top 50 most moving stocks. (Worstrankheld)
· We sell the stock if they fall more than 20% from their peak. (Trailing stop)

Assumptions:
We buy or sell on the closing price of the day signal was generated.
We have not included any brokerage, slippage etc.
This current dataset is not the best out there. (Lot of biases must have crept in)

Here are the results.
Time range: 2006–2017
Starting Equity : 1000000
Ending Equity: 31222584.32
Net Profit :3022.26%
CAGR: 33.87%



Find below the equity curve.



But unfortunately, this strategy in its current crude form is not implementable. Reason: No downside protection AT ALL.

See below the drawdown curve.



That is painful 54.82% DEEP CUT making BUY and HOLD look like a better, much better option (with better peace of mind, less churn and better tax treatment).



Of course Clenow does not use it for his hedge fund. This was only an exercise in demonstrating the “Momentum Effect” and the simple fact that what goes up, keeps going up before revert to the mean syndrome kicks in and it can be captured (EVEN WITH CRUDE BASIC RULES).

here is the list of some SUPER STOCKS this strategy captured.




and here is the month on month breakup of the same.



Now, this is only the starting point of the research. The above data only gives us an indication that Markets are NOT efficient and Momentum anomaly is there visible if you are not blinded by commitment and consistency.



Next leg of the research is where you fine tune this further to make it a workable model.



Volume filters, Broad market filters to sit out the bad times, smoothing filters to prune out frog in the pan moves (wesley gray’s analogy) or EARNING filter as used by william o neil and his disciples.

https://mysticwealth.in/index.php/clenow-rotation-applied-indian-stocks/
quoting from telegram group from one of the very informed individual .... who did some research on this subject

one solution to reduce the drawdown is to remove this part "We sell the stock if they fall more than 20% from their peak" and just stick to quaterly/half yearly re balancing and remove this as well "We rank the entire universe " just use NSE 500 or FnO stocks alone. this will reduce the drawdown significantly and finally last 250 days momentum is better than last 90 days momentum
this is how it performed with nse 500

1542116294101.png
 
#44
· We rank the entire universe of stocks on its last 90 days momentum.
· We buy the top 10 among that list.
· We sell the stocks if they are NO longer in the top 50 most moving stocks. (Worstrankheld)
· We sell the stock if they fall more than 20% from their peak. (Trailing stop)







https://mysticwealth.in/index.php/clenow-rotation-applied-indian-stocks/
Hi Vikas,

How do you calculate the last 90 days momentum in Amibroker?

I did some research but couldn't figure out how to do that in Amibroker:

1. Determine the 90 days annualized exponential regression slope for each stock
2. Determine the 90 days R-squared value for each of the stock
3. Multiply #1 * #2 and then sort from highest to lowest
4. Buy the top stocks based on the formula ((AccountValue * 0.001)/ATR(20))
 

iwillwin

Well-Known Member
#48
Dear friends I am being transferred to Pune by Dec 1st week by my office.Hence this weekend I will be travelling there to search for new residence.
I may not have much time to post.However I shall try my best to contribute.
Best wishes for new assignment/new location....Pune is a nice place though now traffic is more....I have had been there for official work couple of times....
 

Positivetrader

Well-Known Member
#50
After I posted on thursday, friday i get an email from Markets Mojo Professional. Two of our stocks are there.

View attachment 30737
Excellent !
Your primary filter is Technical
and
Their primary filter is Fundamental
This could be the most wanted list of shares to go long !
Vinati Organics and Atul both being in same sector, selecting only one from the sector is more appropriate.
 

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