I remember I saw somewhere you have the evaluation matrix(e.g. Gain in past 3, 6 months) if there are more than 20 stocks are more than MA200 (against the # of stocks =20). Would you able to explain again? If there are multiple matrix, which one metric given priority versus the other one?
I calculate the average between the 3 month to 6 month returns each stock in the universe. Then I rank the stocks from highest to lowest. If a new stock needs to be included into the portfolio, the strategy will pick the highest ranking stock and add that into the portfolio. I'm adding a new feature where users can choose the selection criteria. So instead of momentum, another metric could be stocks with the lowest RSI are chosen instead.