After learning a lot about momentum in one of my finance classes, I decided to give this strategy a shot:
I have a list of ~150 tickers, which are decently-sized companies that most of you would recognize. Everyday at close, I run a Google Sheets macro that takes the daily percent change for each of these stocks, and adds them into a column on another sheet.
30 days from now, I'll have 30 days worth of daily returns. I'll feed these into Python, in which I've written some code that will a) look at how many days SPY was green and what its cumulative return is over the past 30 days and b) which of my tickers were green on more days than SPY and had a larger cumulative return than SPY.
Of these remaining tickers, the code draws histograms of the returns for each ticker so I can take a quick glance at how these stocks have been doing (e.g. if a stock popped 20% on one day and then has been going up ~.01% for all other days, I wouldn't consider that a momentum trade, but if a stock is steadily climbing .5%, I'll consider it). I then take the top 5 from this list and initiate positions. The portfolio will be refreshed every week by the same process.
Does anybody see any immediate pitfalls with the process? How do I know if 30 days is the optimal amount of data to look back at? Is this going to be weak because I can't short the worst performers (apparently, traditional momentum strategies both long top performers AND short bottom performers)? Would this hold up in a bear market?
Submitted May 07, 2018 at 11:24PM by PuppyPriest https://ift.tt/2K17P3P
