Update: Stocks on the Move September 2018

Update: Stocks on the Move September 2018

September 14, 2018 0 By Jeremy




Rules-Based Strategy Update: Stocks on the Move September 2018

The Stocks on the Move strategy is based on the book by Andreas Clenow, aptly titled Stocks on the Move. It is a momentum based system that calculates the statistical slope and regression for all the stocks in the S&P 500. The top momentum stocks are held and replaced each week depending on the rules of the system.

In last month’s update and the strategy summary, I said I was not going to trade this strategy and would be tracking a modified version.  However, I have changed my mind and will be in fact trading this system and using it in my own personal account.  As a result, starting in October the updates for this strategy will be as I trade it which is closer to how the book does.

You can continue to see the progress results of this system by subscribing to the Robotic Investing newsletter. I will email you whenever a new post goes live, including all of the strategy updates I track on the site.

Stocks on the Move Rules-Based Investing

As a reminder, this portfolio trades based on specific rules that tell the investor what stocks in the S&P 500 to buy and when. Here are the rules of the strategy (but keep in mind the tweaks of how I manage the portfolio as per above).

  1. Determine Market Trend. Buy only if S&P500 is trading above 200 day moving average.
  2. Calculate momentum scores for each of the stocks in the S&P500.
  3. Disqualify any stocks that are trading below their 100 day simple moving average.
  4. Disqualify any stocks that have gapped up or down 15% in the past 90 days.
  5. Build initial portfolio with the strongest trending momentum stocks in the S&P500 using position sizing method.
  6. Rebalance portfolio weekly by recalculating momentum and sell any stock that has moved below its 100 day moving average, is no longer in the top 100 momentum stocks, had a 15% gap up or down, or has left the S&P 500. Replace those stocks with next highest momentum stock.
  7. Rebalance positions bi-weekly to correct position sizing amounts

This system does take some work to calculate the statistics required to rank the stocks. I have been able to replicate that in TC2000 so the calculations are done automatically for me (including position sizing).

Monthly Signals: Stocks on the Move Investing

Each month I generate the signals for the portfolio using TC2000. If you want to give TC2000 a try in order to generate the signals for the strategies on Robotic Investing, then use this link for $25 off.

As mentioned above, I am going to initiating this portfolio shortly in my own account.  As a result, the signals and results presented below will change going forward.

One of the rules is that the S&P 500 must be trading above its 200 day moving average in order to make any buys. The S&P 500 is above that level so the system is free to trade.

SPY Monthly Market Trend - September 2018

Using TC2000 to do the stock ranking, here are the results for September 2018. You can see I have flagged any stocks with a 15% gap as well as any stocks that are trading below their 100 day moving average.

Stocks on the Move Ranking - September 2018

Strategy Tracking & Performance: Stocks on the Move Investing

Here is the portfolio tracker and performance chart for Stocks on the Move. I use the Morningstar Portfolio Tracker to track all the systems at Robotic Investing. As you can see the strategy lagged the S&P500 a bit over the month, but let’s give it more time to see how it really does.

Each of the portfolios tracked use a hypothetical $50,000 starting value. This portfolio was started on August 1st, 2018.

Portfolio Value:

Stocks on the Move Portfolio - September 2018

Portfolio Performance:

Stocks on the Move Portfolio Performance - September 2018

I update all of the strategies at Robotic Investing on a monthly basis. If you want to get notified when each strategy is updated, then please consider subscribing to my newsletter. You will only receive emails when posts have been updated.

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