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Hypothetical Monthly Momentum Portfolio vs. Index

Discussion in 'Trading Diaries and Journals' started by willy1111, Sep 29, 2018.

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  1. Newt

    Newt

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    Aha. Thanks (yet again) Skate for sharing.
     
    Skate likes this.
  2. peter2

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    @Skate Very interesting that your testing shows 53 is optimal number of positions whereas most trend following systems indicate 15 - 17 with most people happy to use 20.

    Why is there such a difference if all systems are trend following systems?

    Three entry strategies would get you into trends earlier than most and you mentioned that you're not doubling or tripling up when multiple systems select the same stock. I would accept that your exit strategies would exit slightly earlier than most trend following exits. So overall I accept that the Hybrid strategy will do a slightly better job than most mainstream trend following systems but I fail to understand why there's a huge difference in the optimal number of portfolio positions between apparently similar systems.
     
  3. peter2

    peter2

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    Sorry, I will re-post in the Dump it here thread as it's a question for Skate.
     
  4. willy1111

    willy1111

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    None of the shares mentioned in this thread are recommendations, nor is this strategy recommended to be traded real time
     
  5. Newt

    Newt

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    Would be nice to know bit more about your hypothetical system willy1111 if possible.

    If I understand correctly, your searching for momentum and possibly rebalancing to stocks with highest position score (based on ROC or something else), possibly using Amibroker rotational trading code? Is it possible to share a bit more without giving away specifics you're uncomfortable about?
     
    debtfree likes this.
  6. willy1111

    willy1111

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    None of the shares mentioned in this thread are recommendations, nor is this strategy recommended to be traded real time
     
    jjbinks, Newt, Cam019 and 3 others like this.
  7. willy1111

    willy1111

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    None of the shares mentioned in this thread are recommendations, nor is this strategy recommended to be traded real time
     
    investtrader, Newt, jjbinks and 2 others like this.
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