Hey guys just thought I’d share Andres F. Clenows momentum strategy from his book stocks on the move. Here is the strategy: 

Buy on Wednesday, if the spy is above the 200 SMA, the stock is above the 100 SMA and the security has not gapped in price more or equal to 15% over the past 90 days.

Rebalance every second Wednesday if the price of the stock is below the 100 day SMA sell, if the price gapped over the past 90 days sell, if the security has becoming a larger % of the portfolio than desired, we sell the difference in that amount so that we’re maintaining the same amount of risk as intended.

Ranking Methodology

Rank based off Annualized exponential regression slope -- buy the stocks with the greatest slope (I went with the top 10 %).

Position Sizing

Based off of the average true range of the security. Formula --Account value * 0.001/ATR (20 period)

Goal is to have the position only affect the portfolio by 10 basis points. The original strategy is performed on securities of the S&P 500, I did it on securities with some volume and trading above a price of 20 (to weed out smaller priced stocks)

Anyways that’s all cheers!