Pure Momentum Backtesting
Test Pure Momentum strategy with two approaches: maintain fixed portfolio size or replace non-momentum stocks daily.
About Pure Momentum Backtesting
Maintain Top N Strategy
- Buy top N momentum stocks from daily momentum picks
- Hold stocks until they appear in sell signals for 8 consecutive days
- Replace sold stocks to maintain fixed portfolio size
- Rebalances based on selected frequency (daily, weekly, bi-weekly, monthly)
- Equal weight allocation of available cash
- Uses momentum score and distance from MA30
Replace Non-Momentum Strategy
- Periodically replace stocks not in current momentum picks
- Buy stocks from current top N momentum picks
- Maintains only momentum stocks in portfolio
- Portfolio size can fluctuate naturally
- Ignores sell signals, focuses on momentum presence
- Rebalancing frequency affects trading costs and performance
Momentum Criteria
- Buy Signals: Stocks above MA30 with strong momentum
- Sell Signals: Stocks below MA30 for 2+ days or losing momentum
- Distance %: How far above moving average
- Consecutive Days: Days above MA30
- Breakout Days: Days since momentum breakout
Common Rules
- Ranking: Uses original order from momentum picks
- Position Size: Equal weight allocation
- Duration: Backtest runs for exactly the specified number of days
- Rebalancing: Portfolio adjustments occur at selected intervals
- Exit: Liquidate all positions on final date
- Tracking: Individual lots for precise P&L analysis
Note: These strategies use actual momentum picks generated by our algorithm based on moving averages, breakout patterns, and momentum indicators. Transaction costs are not included. Past performance does not guarantee future results.