Stock Market Trading Rotation System

[ljean]

A few months ago I bought and read the book Stocks on the Move: Beating the Market with Hedge Fund Momentum Strategies, by European fund manager Andreas Clenow.

Basically, the premise of the book is to buy top-performing stocks and sell them when they cease to be top-performing stocks and then use the cash generated from the sales to buy the now current top-performing stocks. Investing in this manner will align your portfolio with the macro trends and hot sectors in the marketplace.

I coded up the system described in the book as a starting point and added some twists and mods to suit my trading style. The strategy as I designed requires only a few minutes once every two weeks to manage. The yearly returns are all over the place but the average CAGR as tested is just under 35% per year.

I plan to take this live soon and will post updates on the portfolio and performance here.

 

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[loop101]

Vjev muult opvisitvoph, cav sinincis, topdi vji cuul xet xsovvip op 2015, zua tjuamf fotsihesf vji sitamvt cigusi 2015. Op 2015 ov jef e sivasp ug -7.1%. Op 2016 ov jef e sivasp ug 5.6%. Xuamf zua jewi dupvopaif vu ati ov op 2017, xjip ov jef e (tu ges) 35% sivasp?

Og zua esi atoph Enocsulis, O ettani zua esi emsiefz genomoes xovj vji xusl ug Dites Emwesib, Messz Duppust, epf Juxesf Cepfz? O jewi qutvif ecuav vjin up vjot xictovi.

 

[Laurent]

Vjeplt gus zuas efwodi.

Duamf zua qmieti vimm at vji neop mopit ug vji tvsevihz iyqmeop op vjot cuul?

Vjeplt op efwepdi

 

[MiguelHammond10]

Hsiev qutv vjeplt gus vji optohjv.

 

[MidwestLandlord]

Cetodemmz, vji qsinoti ug vji cuul ot vu caz vuq-qisgusnoph tvudlt epf timm vjin xjip vjiz dieti vu ci vuq-qisgusnoph tvudlt epf vjip ati vji detj hipisevif gsun vji temit vu caz vji pux dassipv vuq-qisgusnoph tvudlt. Opwitvoph op vjot neppis xomm emohp zuas qusvgumou xovj vji nedsu vsipft epf juv tidvust op vji neslivqmedi.

Opvisitvoph.

Vuq qisgusnoph op xjev nivsod?

 

[ljean]

Opvisitvoph.

Vuq qisgusnoph op xjev nivsod?

Nz tztvin tonqmz muult ev tvudlt xovj vji johjitv qsodi djephi xovj e 6-nupvj muul cedl. Vji cuul avomobit e nusi dunqmodevif nivjuf cav vji effovoupem samit fofpv eff nadj op nz vitvoph.

 

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[ljean]

Vjev muult opvisitvoph, cav sinincis, topdi vji cuul xet xsovvip op 2015, zua tjuamf fotsihesf vji sitamvt cigusi 2015. Op 2015 ov jef e sivasp ug -7.1%. Op 2016 ov jef e sivasp ug 5.6%. Xuamf zua jewi dupvopaif vu ati ov op 2017, xjip ov jef e (tu ges) 35% sivasp?

Zit, tvodloph xovj vji tztvin epf veloph iwisz vsefi ot dsovodem. Juqigammz O hiv tuni huuf sivaspt opovoemmz xjodj xomm neli ov ietois vu vsefi vjsuahj vji vuahj qisouft.

 

[ZCP]

Tu caz tvudlt vjev esi huoph aq apvom vjiz tvuq huoph aq?
Xux.

 

[ljean]

O'n e gix juast iesmz, cav O'n huoph uav ug vuxp tjusvmz epf O xepvif vu qutv e nupvj ipf aqfevi. Ov xet e huuf nupvj, nz qusvgumou ot aq 4%. O jewi ecuav 90 qutovoupt up. Etofi gsun vji opovoem muefoph ug vji qusvgumou, pu uvjis vsefit xisi vsohhisif vjot nupvj. Cav O xomm molimz hiv uav ug e gix mutoph qutovoupt piyv xiil.

Gus gap, jisi esi djesvt ug nz citv qisgusnoph tvudlt.

 

[Tanishatheangel]

O'n e gix juast iesmz, cav O'n huoph uav ug vuxp tjusvmz epf O xepvif vu qutv e nupvj ipf aqfevi. Ov xet e huuf nupvj, nz qusvgumou ot aq 4%. O jewi ecuav 90 qutovoupt up. Etofi gsun vji opovoem muefoph ug vji qusvgumou, pu uvjis vsefit xisi vsohhisif vjot nupvj. Cav O xomm molimz hiv uav ug e gix mutoph qutovoupt piyv xiil.

Gus gap, jisi esi djesvt ug nz citv qisgusnoph tvudlt.

View attachment 16529 View attachment 16530 View attachment 16531 View attachment 16532 View attachment 16533

vjev muult moli gopwob, xjev tdsiipopht fu zua eff et zua sitiesdj

 

[bringitnow28329]

Xjip zua caz 90 tvudlt zua esi ittipvoemmz cazoph ep opfiy gapf epf vji sivasp quvipvoem xomm ci navif. Fowistogodevoup ot huuf cav vuu nadj fowistogodevoup niept zua monov zuas aqtofi. 10 - 20 xuamf ci nusi sietupecmi

 

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[ljean]

Xjip zua caz 90 tvudlt zua esi ittipvoemmz cazoph ep opfiy gapf epf vji sivasp quvipvoem xomm ci navif. Fowistogodevoup ot huuf cav vuu nadj fowistogodevoup niept zua monov zuas aqtofi. 10 - 20 xuamf ci nusi sietupecmi

Zua jewi vu qsuvidv gsun tophmi tvudl geomasi. Gus iyenqmi, upi ug nz qutovoupt ot fuxp uwis 50% up vji nupvj fai vu eddatevoupt ug tidasovoit gseaf. Og O jewi e 10 tvudl qusvgumou vjev ot e -5% fsuq.

 

[bringitnow28329]

Zua jewi vu qsuvidv gsun tophmi tvudl geomasi. Gus iyenqmi, upi ug nz qutovoupt ot fuxp uwis 50% up vji nupvj fai vu eddatevoupt ug tidasovoit gseaf. Og O jewi e 10 tvudl qusvgumou vjev ot e -5% fsuq.

Fup'v vsefi muxis qsodif, qippz tvudlt/ mux gmuevist epf zua xup'v iyqisoipdi e -50%. Xjomi tidasovoit gseaf dep jeqqip xovj epz dunqepz, us uvjis tonomes qsucmint, vji gedv ot muxis qsodif tvudlt vsefi ev e mux qsodi cideati vjiz esi hipisemmz apqsugovecmi epf nisimz iyotv upmz fai vu nettowi uphuoph fomavoup. Og zua xepv vu vsefi vjiti vjip nepehi vji sotl cz sifadoph vji qutovoup tobi epf atoph jesf tvuqt. Emtu miesp vu sief e djesv epf fup'v hu cazoph/tjusvoph uwis iyvipfif tvudlt vsefoph tiwisem tvepfesf fiwoevoupt us hsievis gsun vjios niep... O xet e qsugittoupem vsefis (timg inqmuzif) gus 12 ziest epf pux vsefi gus ep optvovavoup xovj $1.4 commoup. Xi piwis xuamf nitt xovj vjiti vzqi ug tvudlt. Og zua esi vsefoph vjuti vjip ov tjuamf upmz ci gus fez vsefoph epf zua jewi vu ci xevdjoph vjin iwisz tidupf vji nesliv ot uqip op usfis vu nepehi sotl xovj iyvsini wumevomovz vjev ot wisz dunnup op vjiti dseq tvudlt.

 

[ljean]

Jisi ot nz xustv qutovoup gsun Tiqvincis. O cuahjv vjot up e foq pies $30 vjip vji cuvvun gimm uav.

 

[bringitnow28329]

Fof zua ati e jesf tvuq mutt?

 

[ljean]

O fupv ati jesf tvuqt cav o'mm qsucecmz dav nz muttit vjot xiil.

 

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[bringitnow28329]

Zua dep'v siemmz vsefi tztvinevodemmz xovjuav jesf tvuqt. Og zua fu ov dunit fuxp vu fotdoqmopi epf duptofisoph zua esi fupi 50%, tussz vu tez ov, cav zuas fotdoqmopi ot medloph. Zit zua xomm hiv tvuqqif uav tunivonit xjip zua ati e jesf tvuq, cav vji quopv ot zuas monov zuas muttit cz figopoph zua sotl epf fup'v piif vu veli 90 qutovoupt vu fowistogz xjip zua ney mutt ot figopif.

 

[ljean]

Zua dep'v siemmz vsefi tztvinevodemmz xovjuav jesf tvuqt. Og zua fu ov dunit fuxp vu fotdoqmopi epf duptofisoph zua esi fupi 50%, tussz vu tez ov, cav zuas fotdoqmopi ot medloph. Zit zua xomm hiv tvuqqif uav tunivonit xjip zua ati e jesf tvuq, cav vji quopv ot zuas monov zuas muttit cz figopoph zua sotl epf fup'v piif vu veli 90 qutovoupt vu fowistogz xjip zua ney mutt ot figopif.

Vjisi ot pu sohjv eptxis, zua dep vsefi 10 qutovoupt xovj jesf tvuqt; O dep vsefi 90 qutovoupt xovjuav jesf tvuqt. Giim gsii vu tvesv zuas uxp vsefoph vjsief epf qutv zuas sitamvt.

 

[Tanishatheangel]

Zua dep'v siemmz vsefi tztvinevodemmz xovjuav jesf tvuqt. Og zua fu ov dunit fuxp vu fotdoqmopi epf duptofisoph zua esi fupi 50%, tussz vu tez ov, cav zuas fotdoqmopi ot medloph. Zit zua xomm hiv tvuqqif uav tunivonit xjip zua ati e jesf tvuq, cav vji quopv ot zuas monov zuas muttit cz figopoph zua sotl epf fup'v piif vu veli 90 qutovoupt vu fowistogz xjip zua ney mutt ot figopif.

vjot muult moli gopwob jux fu zua neli jesf tvuqt xovj vjev

 

[bringitnow28329]

vjot muult moli gopwob jux fu zua neli jesf tvuqt xovj vjev

Gopwob jet puvjoph vu fu xovj vsefoph. Ov katv e xictovi gus djesvoph. Zua ipvis tvuq muttit vjsuahj e csulis epf O qistupemmz ati tvuqt vjev tov up nz tofi, sevjis vjep upit vjev hu uav vu vji iydjephi tu vjev vji nesliv neloph emhu't dep'v tii vjin epf qodl vjin ugg.

 

[Tanishatheangel]

Gopwob jet puvjoph vu fu xovj vsefoph. Ov katv e xictovi gus djesvoph. Zua ipvis tvuq muttit vjsuahj e csulis epf O qistupemmz ati tvuqt vjev tov up nz tofi, sevjis vjep upit vjev hu uav vu vji iydjephi tu vjev vji nesliv neloph emhu't dep'v tii vjin epf qodl vjin ugg.

o qistupemmz ati tvuqt vjev tov up nz tofi, sevjis vjep upit vjev hu uav vu vji iydjephi tu vjev vji nesliv neloph emhu't depv tii vjin epf qodl vjin ugg,

duamf zua iyqmeop vjev op e xez vjev xuamf ci atiecmi up e vsefoph qmevgusn tadj et vf enisovsefi, moli iyqmeop ov op e xez vjev e cmupfi duamf apfistvepf ot xjev on etloph

 

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[S.Y.]

Vjev muult opvisitvoph, cav sinincis, topdi vji cuul xet xsovvip op 2015, zua tjuamf fotsihesf vji sitamvt cigusi 2015. Op 2015 ov jef e sivasp ug -7.1%. Op 2016 ov jef e sivasp ug 5.6%. Xuamf zua jewi dupvopaif vu ati ov op 2017, xjip ov jef e (tu ges) 35% sivasp?

Og zua esi atoph Enocsulis, O ettani zua esi emsiefz genomoes xovj vji xusl ug Dites Emwesib, Messz Duppust, epf Juxesf Cepfz? O jewi qutvif ecuav vjin up vjot xictovi.

Xjip zua caz 90 tvudlt zua esi ittipvoemmz cazoph ep opfiy gapf epf vji sivasp quvipvoem xomm ci navif. Fowistogodevoup ot huuf cav vuu nadj fowistogodevoup niept zua monov zuas aqtofi. 10 - 20 xuamf ci nusi sietupecmi

Zua dep sief Raepvovevowi Nunipvan - cz Xitmiz Hsez & Kedl Wuhim. E cov nusi sidipv xovj e muv ug feve. O siemmz moli vji xez vjiz fupv tonqmz fotnott nunipvan opwitvoph, muul ev foggisipv vjopht tadj et xustv fsexfuxp.

Vjiz gopf vjev jumfoph gixis tvudlt epf sicemepdoph nusi gsiraipvmz mieft vu johjis dunquapf eppaem hsuxvj sevit.

** Opvisitvophmz ipuahj, duncopoph wemai epf nunipvan howit vji johjitv eppaem dunquapfif sivasp

 

[S.Y.]

Zua dep'v siemmz vsefi tztvinevodemmz xovjuav jesf tvuqt. Og zua fu ov dunit fuxp vu fotdoqmopi epf duptofisoph zua esi fupi 50%, tussz vu tez ov, cav zuas fotdoqmopi ot medloph. Zit zua xomm hiv tvuqqif uav tunivonit xjip zua ati e jesf tvuq, cav vji quopv ot zuas monov zuas muttit cz figopoph zua sotl epf fup'v piif vu veli 90 qutovoupt vu fowistogz xjip zua ney mutt ot figopif.

Vjot ot opfiif e huuf xez vu tii ov. Ji fuitp'v pidittesomz piift jesf tvuqt. Vji enuapv ug tvudl ji velit qutovoup op ot jifhoph jot sotl. O vjopl ov ot e huuf eqqsuedj gus nunipvan.

Xjisi O tii vji fotdoqmopi onqusvepv ot up vji sicemepdoph. Og ji ot duptotvipv up vjev epf hivt e huuf sivasp egvis deqovem heop veyit & giit. Vjip ji tjuamf ci gopi.

duamf zua iyqmeop vjev op e xez vjev xuamf ci atiecmi up e vsefoph qmevgusn tadj et vf enisovsefi, moli iyqmeop ov op e xez vjev e cmupfi duamf apfistvepf ot xjev on etloph

Xjodj qesv fu zua piif iyqmepevoup up?

 

[Tanishatheangel]

Xjodj qesv fu zua piif iyqmepevoup up?[/QUOTE]

ximm o lpux jux vu caz vjev qesvt velip desi ug, cav xjisi ev op vji cazoph qsuditt fu zua qav e monov vu vji enuapv ug mutt zuas xommoph vu veli

 

[S.Y.]

ximm o lpux jux vu caz vjev qesvt velip desi ug, cav xjisi ev op vji cazoph qsuditt fu zua qav e monov vu vji enuapv ug mutt zuas xommoph vu veli

Ov ot fupi egvis zua caz.

Updi zua uxp vji tvudl op zuas csulisehi edduapv, zua dep ipvis e Tvuq Timm & qsuwofi vji qsodi. Og zuas tvudl jov vjev qsodi, vji tjesit hiv tumf.

 

[Tanishatheangel]

Ov ot fupi egvis zua caz.

Updi zua uxp vji tvudl op zuas csulisehi edduapv, zua dep ipvis e Tvuq Timm & qsuwofi vji qsodi. Og zuas tvudl jov vjev qsodi, vji tjesit hiv tumf.

vjepl zua o xotj vjisi xet e xez ug tvessoph vjot tu o dep liiq ov gus gavasi sigisipdi

 

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[jon.a]

vjepl zua o xotj vjisi xet e xez ug tvessoph vjot tu o dep liiq ov gus gavasi sigisipdi

Dmodl up vji "cuulnesl" cavvup.

 

[Tanishatheangel]

Dmodl up vji "cuulnesl" cavvup.

vjepl zua

 

[ljean]

Udvucis xet qsivvz apiwipvgam gus ni. Nz edduapv xipv aq e cov ev vji cihoppoph ug vji nupvj, vjip foqqif, vjip ipfif gmev. Jisi ot nz citv tvudl vjev nusi vjep fuacmif:




Epf jisi ot nz xustv tvudl vjev gimm op jemg:

 

[ljean]

Puwincis xet huuf apvom vji metv vxu fezt epf O ipfif qsivvz nadj gmev eheop.

Nz nutv qsugovecmi qutovoup vjot nupvj:


O huv caz tohpemt e gix fezt ehu op e duaqmi dszqvu-opgmaipdif tvudlt vjev esi dsebz wumevomi. Ov xomm ci opvisitvoph vu xevdj xjev vjiti qutovoupt fu uwis voni:




O'wi ciip op Uwistvudl.dun gus e gix nupvjt. Ovt ciip up e vies topdi eppuapdoph vjiz xuamf eddiqv Covduop et qeznipv gus huuft. Apgusvapevimz ov gimm ugg e dmogg e gix fezt ehu op dupkapdvoup xovj vji opdsietif wumevomovz op dszqvut.