Solid Momentum

Strategy overview


This is a trading strategy that invests in the top momentum stocks of the US stock market. It has a unique ranking method for selecting top momentum stocks selected for future strong momentum. The selected stocks are also filtered with high volume and price to insure liquidity and proper spreads. This strategy manages risk in such a way that it monitors the stock behavior on a daily basis to test if any asset increases volatility. In the case where a stock increases volatility that may be potentially harmful to the investment portfolio, the stock is filtered out of the strategy selection.

This is a relatively low volatility strategy, specifically designed for generating income over a number of months without major drawdowns.

  • Annual Return: 42.27% (S&P500 return 13.3%)
  • Largest DrawDown: -19.68% (S&P500 DrawDown -18.64%)
  • Sharpe: 1.2

Is this strategy right for you?

This is a low volatility – high return strategy for long term investors, suitable for traders who wish to beat the market in the long run.


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Strategy performance


Check out the facts and figures behind this trading strategy

13.62%

Last 3 Months %

$19,101.11

Last 3 Months Gain

2.94%

Last 6 Months %

$4,543.88

Last 6 Months Gain

Solid Momentum

Universe:
NASDAQ 100 Components

Entry:
Rank all symbols according to their Bollinger Bands %b values, take only the top 20%
Open Long If Bollinger Bands %b < 0.95
And the 3 EMA of the Bollinger Bands %b > 15 EMA of the Bollinger Bands %b

Exit:
Close if Bollinger Bands %b > 0.95
And the 3 EMA of the Bollinger Bands %b < 15 EMA of the Bollinger Bands %b