I haven't used it long enough to have any statistically established records. In the last 10 months, however, I outperform the S&P 500. I use strict Money Management rules: I limit my losses to 2% of my capital. As for Risk Management, I use a combination of SAR and other factors to get out.
So, you constructed it on your own. Was thinking it was on some website. Investors Business Daily has their own relative strength ratings. A lot of times I would have 2 or 3 stocks I am looking at and trying to figure out from the stockcharts, which ones have the strongest relative strength to break the tie.
I use the 2% risk per trade too and limit my positions to 5 positions to cap the risk to 10% of my capital on a worst case scenario. When I close 1 position, I open another one.
There's quite a lot of academic research on the subject. A well-documented approach is described in Gary Antonacci's book "Dual Momentum Investing". You can also visit his site https://dualmomentum.net/ I found especially interesting his Sector Rotation strategy that has an annual return of more than 17%. I use this approach but with stocks instead of ETFs and I use money & risk management to limit the risk.
Not so fast; that site has dreary picture of Gary and some performance values (the only place on the planet) from 1950 - come on - Gary was not trading then!!!!! And then there is this disclaimer: "GEM performance does not represent actual fund or portfolio performance". "Hypothetical performance results are presented for illustrative purposes". They never invested at all - a farce - just worthless - Grade F
There’s tons of academic research on momentum. Typically, the idea is that investors over or under react to news, and that generally a catalyst will drive a price to a new level. Uninformed trading creates transient volatility — where price operates as a non-stationary geometric random walk. The secret sauce to momentum trading is knowing what it’s actually capturing, analyzing periodic returns, and developing a theory of catalysts that drive the factor. At the simplest, time series momentum is not as good as cross sectional momentum. This is because time series is easy to track which means that prices are more efficient (everyone can see this). So step one is to rank returns within a peer group, and then rank those within a sector, and then market. Betting on winners vs. losers is what allows you to harvest the raw risk premia of the momentum factor. Anyway, this is where I have an operational and analytical edge over you, but if you start reading into the actual research on momentum (and start analyzing the data yourself), you should get to where I am today in about 10 years.
tons of data -what a joke - there are only whispers and silly charts - there are no trade results or performance; data without performance is worthless; get a grip dandelion; momentum trading cannot be found or if it can, tell me 10 sites that trade momentum (for sure) and publish performance or quit. There are over 18 sites that claim to trade Fibonacci and none actually trade and none have performance data. Take momentum off of life support and bury it alongside Fibonacci.
That’s because you’re looking at the wrong sites lol. If you don’t know Jegadeesh Titman then you’re in the wrong industry.
He is not a site, his publications are from the last millennia, are in rag journals and he does not have performance data; if you think that is a valid reference you are in the wrong industry. Remember: 10 sites with actual trade performance data, not old papers.