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Hypothetical Monthly Momentum Portfolio vs. Index
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@Skate Very interesting that your testing shows 53 is optimal number of positions whereas most trend following systems indicate 15 - 17 with most people happy to use 20.
Why is there such a difference if all systems are trend following systems?
Three entry strategies would get you into trends earlier than most and you mentioned that you're not doubling or tripling up when multiple systems select the same stock. I would accept that your exit strategies would exit slightly earlier than most trend following exits. So overall I accept that the Hybrid strategy will do a slightly better job than most mainstream trend following systems but I fail to understand why there's a huge difference in the optimal number of portfolio positions between apparently similar systems.
Why is there such a difference if all systems are trend following systems?
Three entry strategies would get you into trends earlier than most and you mentioned that you're not doubling or tripling up when multiple systems select the same stock. I would accept that your exit strategies would exit slightly earlier than most trend following exits. So overall I accept that the Hybrid strategy will do a slightly better job than most mainstream trend following systems but I fail to understand why there's a huge difference in the optimal number of portfolio positions between apparently similar systems.
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Sorry, I will re-post in the Dump it here thread as it's a question for Skate.
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Would be nice to know bit more about your hypothetical system willy1111 if possible.
If I understand correctly, your searching for momentum and possibly rebalancing to stocks with highest position score (based on ROC or something else), possibly using Amibroker rotational trading code? Is it possible to share a bit more without giving away specifics you're uncomfortable about?
If I understand correctly, your searching for momentum and possibly rebalancing to stocks with highest position score (based on ROC or something else), possibly using Amibroker rotational trading code? Is it possible to share a bit more without giving away specifics you're uncomfortable about?
