Momentum Strategy with Market Cap and EV/EBITDA

This momentum universe selection strategy is converted from Johnny Wu's EV/EBITDA Value, then momentum. 

In coarse universe selection, the algorithm picked the stocks with fundamental data and excluded the stocks with low price. In fine universe selection, filtered the stocks with the positive EV/EBITDA ratio and high market cap. Here market cap was calculated by using the BasicAverageShares in earnings reports. price per share was extracted from history request. In fine universe selection, self.Porfolio[symbol].Price cannot be used to get the current price as the price data are not subscribed. 

Then the universe was ranked by EV/EBITDA and top 100 stocks were selected. The resulting screen was sorted according to the return of past 200 days. The algorithm picked the top  10 high momentum stocks. The universe is rescreened and rebalanced every month.

The strategy also added a moving average(SPY) market exit towards long-term treasuries TLT to control the downside risk. If the current SPY price is lower than last N-day moving average price, then liquidate all the open positions and buy TLT.

Update Backtest

Hi Jing Wu and community,

Thanks for sharing! I noticed that the code, as originally written, seems to produce an oscillation with moving into/out of TLT while SPY is below its moving average. Here is a track record of the trades executed during 2008:

Not sure if this is intended?

Kind Regards.


Update Backtest


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