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See the code and backtest below for my take on implementing a simple trend following strategy inspired by Andreas Clenow's "Stocks on the Move".
The implementation uses a slope as trend indicator and rebalances the portfolio based on the ranked table of these slopes.
Any comments are appreciated, particular regarding the following problems:
- The strategy doesn't make any trades during the backtest period, which might be connected to problem 2
- The ATR which is used as a volatility indicator to calculate the position size often is 0. How can I make sure that sufficient data is available from the get go?
- The size of the universe is 1 in the beginning and then 55, which is far off the intended universe size of 22.
- ...
Peter Mack
Have you read through these threads:
https://www.quantconnect.com/forum/discussion/3106/stocks-on-the-move-equity-momentum
Filib Uster
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