Momentum Investment Model

Last Updated - 06/25/2017, this algorithmic model shows what returns would have been if an investor shifted allocation globally to the 2 markets (50% portfolio allocation each) with the greatest momentum, measured as the 2 markets with the largest gap between the current price and the 120 day moving average. Trades are made quarterly, or if a stop loss is breached. A stop loss is set on the portfolio level. Both positions are liquidated if the portfolio falls 6% from it's value at the start of the quarter. If 5 markets are not trending up (defined as price above the 120 day moving average), the model stays in 100% cash. (Disclosure: This backtest is for modeling purposes only and does not constitute a recommendation to invest.)

Current Holdings

EWP EWQ
Yahoo Code: NYSE_EWP NYSE_EWQ
Shares: 26645 30054
PnL: $2931 $-14125

Portfolio Metrics

Standard Deviation 0% 0%
Annualized Return: 0% 0%
Max Drawdown: 0% 0%
Information Ratio: 0 0
View the code behind the model and dashboard.