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Momentum Plus

Posted: Sat Mar 16, 2019 1:11 pm
by AFJ Garner
A Trend Following System.

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

Identical to Periodic Rebalance Simple Momentum except for the addition of a MACD filter (30/90 day moving averages). No trade can be taken unless the short moving average is above the long moving average.

Roll Period. This system allows you to choose a roll period in calendar days. The default is set to 30. This means that the portfolio will be rebalanced every 30 calendar days. Or 20, 60, 90 - whatever you set as the parameter.

Momentum Lookback. While the default is set to 30 trading days you should experiment with your own parameters. Each instrument's return is calculated over the chosen look back period and then ranked best to worst. The best performing stock is ranked 1.

Ranking Limit. If the portfolio contains 10 instruments and Ranking Limit is set to 5, on each re-allocation day the portfolio will be re-adjusted to invest in the 5 best performing stocks.

Allocation. This is the percentage of the portfolio which will be invested in a single stock at the beginning of each period. If your ranking limit is set to 5 and your Allocation set to 5 then each of the 5 top ranked stocks will be allocated 5% of total equity, giving total investment of 25%. The remaining 75% of the portfolio will earn interest as cash.