Rocket Stocks for Swing and Positional

vikas2131

Well-Known Member
#31


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/
 

sanju005ind

Investor, Option Writer
#32
Folks thanks for the tremendous response .In this thread I will be posting the analysis and we will be tracking the stocks on the weekends. Since the we are working on a Higher time frame. Also I have a full time job and do part time intraday trade,morning and evening I have to cook for myself in between i have to squeeze my gym workout.However If i come up with something interesting I will definitely post during weekdays. I am also planning to start another thread on stock option selling especially during the earning season.It will be a short swing trade.what do you say.
 

Positivetrader

Well-Known Member
#33
Folks thanks for the tremendous response .In this thread I will be posting the analysis and we will be tracking the stocks on the weekends. Since the we are working on a Higher time frame. Also I have a full time job and do part time intraday trade,morning and evening I have to cook for myself in between i have to squeeze my gym workout.However If i come up with something interesting I will definitely post during weekdays. I am also planning to start another thread on stock option selling especially during the earning season.It will be a short swing trade.what do you say.
Good morning.
Take care of your personal needs.
As we use monthly charts here, it will be ok even if you are updating only on week-ends unless some important development is to be shared.
As far earning season option selling, we traders are always hungry for more and would love to have a thread specifically for this purpose.

On a lighter note, Why cant the monthly meetings be planned on Saturdays ?
 

sanju005ind

Investor, Option Writer
#34
Good morning.
Take care of your personal needs.
As we use monthly charts here, it will be ok even if you are updating only on week-ends unless some important development is to be shared.
As far earning season option selling, we traders are always hungry for more and would love to have a thread specifically for this purpose.

On a lighter note, Why cant the monthly meetings be planned on Saturdays ?
Monthly meeting?
 

pannet1

Well-Known Member
#35


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/
Amazing and impeccable work @vikas2131
 

kvram

Active Member
#37
We are grateful for your sharing and allotting your precious time sir, plz follow up for the chart ink results of our query also so that all of us will be enlightened and follow,awaiting for your another thread,is it that link parameters are as per your criteria? I mean link given above.
 

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