Post #4254 by hiphop on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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Hi All,

A friend of mine does some serious momentum investing, and wanted to see if GTR1 would be able to backtest it. I was hoping to use this as an excuse to go through GTR1 and figure out how to test such a thing...but I would appreciate any pointers or help with this, as I am a GTR1 neophyte.

Screen universe: META, AAPL, AMZN, MSFT, NFLX, NVDA, GOOGL, TSLA (this is a step I would love to replace by something like Nas100 top 7 by market cap or some such thing)

Timing signal: Russel 1000/(170 day average of Russel 1000)-1 (ETF for Russel 1000 is IWB)
if negative stay in CASH/BIL for month
else:
for each stock in universe, discard any whose price is lower than 5 months ago: Price(today)/Price(5Mon ago)-1
Rank remaining stocks by 50day EMA
Buy top 4, hold for month

Can anyone help me with this?

Thanks, G

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