2Mês
Interesting to note: There is a wikifolio that almost exactly replicates this strategy, only with Top10 instead of Top2 and without pre-selection (pool) as far as I know.
However, it has performed very lousily so far and has tended to move sideways.
ISIN: DE000LS9SHS4
Have you ever thought about publishing your strategy as a wikifolio?
However, it has performed very lousily so far and has tended to move sideways.
ISIN: DE000LS9SHS4
Have you ever thought about publishing your strategy as a wikifolio?
•
11
•
2Mês
@Simon_n Thanks, I'll take a look at that. The lousy performance may be the result of what I told you before. Top 10 and no preselection is probably counterproductive - as there is no "high conviction" And I'll think again about my own wikifolio if there is enough demand
•
22
•2Mês
@Krush82 Or too frequent a rotation. The chart looks very "jagged", i.e. always phases of good and then bad performance.
This may suggest that the lack of pre-selection means that frequent false signals lead to the temporary inclusion of stocks that are only experiencing hype.
Unfortunately, the method of calculating the relative momentum is not described in the wikifolio, but this could also be a source of error.
And I think there is demand for a post like this 💪 As far as I know, it doesn't cost anything either
This may suggest that the lack of pre-selection means that frequent false signals lead to the temporary inclusion of stocks that are only experiencing hype.
Unfortunately, the method of calculating the relative momentum is not described in the wikifolio, but this could also be a source of error.
And I think there is demand for a post like this 💪 As far as I know, it doesn't cost anything either
••
2Mês
@Simon_n I took a look at it. There are definitely a lot of trades he has made. Very high turnover, I haven't counted how many different shares he has bought / sold, but it seems to be quite a lot. I would also be interested to know over what period he measures the momentum. I would mostly agree with the current allocation, I think he only looks at the 6M momentum or something like that. Oh yes, what I wanted to say about the top 10 instead of top 2 or top 3. I think it would be better not to have an equally weighted allocation, but to weight them according to the momentum score
•
22
•2Mês
@Krush82 Interesting, did that come out of the backtests? In GTAA Top 3, for example, it makes no difference whether you weight the assets in descending order or equally, but there are only three of them.
I'm still generally surprised that less diversification makes such a huge difference here. Couldn't quite understand why exactly this is the case 🤔
I'm still generally surprised that less diversification makes such a huge difference here. Couldn't quite understand why exactly this is the case 🤔
••
2Mês
@Krush82 and regarding the backtest: you said you do it with PV, you just need to know the stocks that are currently on: But then how did you test that since 2000? You would need the historical data for all stocks in the S&P500 at every point in time for 26 years, wouldn't you? That would be practically impossible to recalculate everything by hand
••
2Mês
@Simon_n the simplest and most pragmatic way was to display the top stocks for each year. Only much later, for further optimization purposes, I obtained historical data of 500 stocks from period xy
•
11
•2Mês
@Simon_n Too much diversification also means sacrificing returns. Especially with such a high conviction model/strategy
•
11
•
2Mês
@Krush82 How often will you replace the shares or how often will you check your system?
••
2Mês
@Olli68 The share pool is reviewed/updated twice a year if necessary. This gives you flexibility and allows you to react to changing market conditions
•
11
•