Update: Stocks on the Move January 2019
Rules-Based Strategy Update: Stocks on the Move January 2019
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.
I am trading this system and using it in my own personal account. I started using it in September 2018 and will continue to update progress each month.
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:.
- Determine Market Trend. Buy only if S&P500 is trading above 200 day moving average.
- Calculate momentum scores for each of the stocks in the S&P500.
- Disqualify any stocks that are trading below their 100 day simple moving average.
- Disqualify any stocks that have gapped up or down 15% in the past 90 days.
- Build initial portfolio with the strongest trending momentum stocks in the S&P500 using position sizing method.
- 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.
- 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). If you want to learn how I use TC2000 to use Stocks on the Move, check out this post.
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.
The portfolio can change every week, as well as rebalancing happens every two weeks. The monthly updates will be performance reviews versus updated signals.
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 NOT above that level so the system is NOT free to trade.
Using TC2000 to do the stock ranking, here are the results for the beginning of January 2019). 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.
Do not use these as the signal, as they are out of date by the time of this writing. If you want to learn how to get the ranking yourself, head over to my post on setting up Stocks on the Move using TC2000.
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.
This portfolio was started on September 4, 2018.
Note: When reviewing the performance chart, compare only the Total Return to the Index return. The personal return is inaccurate due to how Morningstar handles cash.
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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