Post #1976 by elann on the Mechanical Investing board

Investment Strategies / Mechanical Investing ❤

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

Ah.

These was a similar screen back in the late 90's called FlareOutGrowth, from a writer on MSN Money. IIRC, that was 12 month momentum + 6 month momentum MINUS 3 (or maybe 1) month momentum. Same rationale.

It's more like what I do with the 6/3 options. Eliminate the top 10% of stocks with the highest 5 day return, then sort the remaining stocks by Regression Relative Strength. So it's eliminating the very short term price pops, not the recent 3 or 1 month top performers.

Elan

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