Weight by Inverse Momentum

A practical guide to ETF trading systems

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AFJ Garner
Roundtable Knight
Roundtable Knight
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Joined: Fri Apr 25, 2003 3:33 pm
Location: London

Weight by Inverse Momentum

Post by AFJ Garner »

Weighs Positions By Inverse Momentum

Those who do not own Trading Blox can test this system using a free on-line demonstration. Go to https://virtual.tradingblox.net/ and enter “ETFDemo” as the license name and key.

It is often claimed that stocks (or perhaps financial instruments generally) are mean reverting over the period of a month. If a stock does well in the last 30 days then it is in for a reversal. It is for that reason that many venerable Gurus recommend cutting the last month out of a longer term momentum calculation.

With that in mind you might like to try rebalancing on the basis of Inverse Momentum. Inverse momentum weighs stocks with poor or negative momentum more heavily than those with positive momentum.

The format of these simple weighting systems should be familiar by now so I will digress no further.

Please point out errors and feel free to make any comment.
Export Periodic Rebalance Inverse Momentum.zip
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