Post #1516 by mungofitch on the Mechanical Investing board

If you have a moment right now, copy the url of a post you find interesting and email it (or tweet it, or message it) to your friends ever so often. This is the best way to make these boards increasingly active over time. (As for the culture, that has has proven that it is here to stay).

- Manlobbi

Investment Strategies / Mechanical Investing

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No. of Recommendations: 4

The 90% closest to 52-week high, top 100 by ROE, top 25 by 5 Yr sales Growth. 25 HTD30 Trade monthly, no rebalacing.

I don't know the specific post, and I would hate to claim someone else's idea, but that kinda smells like it has my fingerprints on it : )

A tip for a simple screen with a momentum step:
If you have the ability to test it, try it as an SOS of two or more variations of the screen, identical but for the momentum metric. e.g., one using price/high, one using price/low, one using 26 week, etc. The reason this seems to help (in smoothness, returns, or both) is that it does not react as strongly to any specific rhythm or frequency of direction changes in the market.

Jim

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