Hello, may I ask what factors are used to calculate the ranking and how you select the stocks from the indices before analyzing them? I generally find the momentum strategies discussed on the platform very interesting.
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@gorehammer Hey, there are six factors: Quality, Momentum, Value, Growth, Balance, Volatility.
For the universe, I automatically pull the index constituents and then filter out secondary listings, share classes, and stocks with corrupted data. If data is provided incorrectly, I calculate it myself. That currently leaves 845.
Selection is based on rank: buy from the top 25, sell below rank 40, on a quarterly basis.
I’ve tested momentum on its own—it fluctuates much more significantly than the combination.
For the universe, I automatically pull the index constituents and then filter out secondary listings, share classes, and stocks with corrupted data. If data is provided incorrectly, I calculate it myself. That currently leaves 845.
Selection is based on rank: buy from the top 25, sell below rank 40, on a quarterly basis.
I’ve tested momentum on its own—it fluctuates much more significantly than the combination.
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