Discussion
Hi Ivann,
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?
No problem, I only use the 3 month and 6 month returns. I do not include the 4 month and 5 month returns for each stock.
Hi Ivann,
The current one seems working and just want to understand more in details. Are u following like below?
1. Calculate the 3 months return for each stocks in universe
2.calculate the 4 months return for each stocks in universe
3.calculate the 5 months returns for each stocks in universe
4.calculate the 6 months returns for each stocks in universe
5.average the 3 to 6 months returns for each stocks in universe
6. Rank the average returns of 3 to 6 months from highest to lowest
7.select based on the # stocks filled
Hope you don't mind of my lengthy reply.
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.