This screener uses a modified Sharpe index to identify stocks with a strong momentum. The rules are as follows:
1. screen the markets and select the strongest 20-30 stocks (the first stocks on the screener are the strongest)
2. buy those stocks position-sizing them based on the Yhang-Zhan variation of Garman-Klass volatility (indicator I posted previously) :
3. after 3 months run the same procedure and get rid of the stocks that are out of the first tier of the list and get the new entries
3. hold the stocks for 1 year and then sell.
I’ve been using this portfolio for 6 years now and the average gain of the folio was excellent for me. You can improve the profit by buying at the SMA60 point.
//computation of return and volatility on annual bases
//computation of modified Sharpe index
//launch of screener
c1 = (sharpe > 0)
SCREENER[c1] (sharpe AS "SHARPE index")
No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.ProRealTime ITF files and other attachments :