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Strategy Overview

Solid Momentum

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: 17.14% (S&P500 return 14.63%)
  • Largest DrawDown: -7.68% (S&P500 DrawDown -19.92%)
  • Sharpe: 1.5 (S&P500 Sharpe 0.91)

Strategy performance

$51,200.18

Last 3 Years Gain

51.20%

Last 3 Years %

$161.20

Last 1 Year Gain

0.11%

Last 1 Year %

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