I edited this post because I finally made some changes I thought were worth sharing (I think). My problem is I don't understand why it backtests so well. This comes from the "Momentum Anomaly screen in the anomaly folder. I tweaked some of the parameters and the attached file is the result. I called it "anomaly_5". The 5 is for a 5 stock strategy to be traded and rebalanced each week. I backtested for the same period of time that Zacks uses in their advertising (1/1/10 - the current week). Let me know what you think.



Attach file (image (.gif, or .jpg), screen (.und) or report (.rpd))
TopcatTrader
at 07/06/16 9:48 PM : RE: Momentum Anomaly

RW9089
at 05/09/15 3:09 PM : RE: Momentum Anomaly


maximum draw down of -66% and putting it through the acid test period from 6/29/08 to 6/19/09 the net on this strategy was -59% while the market was down -22%. Seems to capture down momentum too. So needs some work.


Attach file (image (.gif, or .jpg), screen (.und) or report (.rpd))

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