Post #1964 by Aussi on the Mechanical Investing board

Investment Strategies / Mechanical Investing ❤

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No. of Recommendations: 2

two steps:
Nasdaq100 stocks
lowest 5 by ratio of 1 week/1 year return

What is the reasoning behind this? Is it written about anywhere?

Pure momentum screen with a penalty for recent good performance and reward for recent poor performance

last step: (5 day return) divided by (1 year plus 10 or 12 days return) bottom 5. So the lower the recent return and the higher the 1 year return the better.

Similar returns with a 15 day hold.

The theory, pick a group of stocks that has generally performed well over the years and then pick "x" number of the top performing stocks within that group.

Aussi

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