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Momentum Trade

Close to a 100% gain on a AAPL 2 year simple momentum trading model. Buying when benchmark moves up .5%, and selling when benchmark moves down .5%

Also, check out my website Financial Insight

Clone Algorithm
1067
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 510b5c7a1b1f0407b42bc910
This backtest was created using an older version of the backtester. Please re-run this backtest to see results using the latest backtester. Learn more about the recent changes.
There was a runtime error.
5 responses

Thanks for the share.

It looks like your'e triggering on .5% change, not 5%, FYI.

Did you try it with other stocks than Apple?

Thanks!

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Thanks Dan for catching that.

I've backtested a few others; WFC, MPC, URS... though none have come up with the near linear consistency that backtesting this model on AAPL has.

Is there any hard evidence (e.g. rigorous academic or industry studies) that momentum strategies work? Seems that the return of a high-flying stock can be amped up, but isn't there a look-ahead bias going on here? Before the backtest was written, it was known that Apple would be trending upward, right?

Probably there is not Grant but it simply happens. I am poised to believe that it matters those qualities of no memory beyond the present what i try to relate it to participant responding to immediate price level and from there trends and momentum grows. Not that easy momentum trade fades a lot but i believe in thepositive prospect of the approach.. Just my believe which doesn't matter either ha.

Hi Guys,

The Apple stock has given a return of 36.69 % during the time period discussed.I think that's why the momentum strategy has given a 100% return.I have done the same test with a few other stocks.It didn't fare well.

I have done a backtest for Apple for the time period between Aug and January using vwap of 3 days.I have found these results.It has given 1.07% return compared to the benchmark;s return of 8.24% while the Apple stock's return is -22.61%.
Clearly,this strategy didn't beat the benchmark because the stock's return itself didn't beat it.

I can induce that this strategy can give better returns when compared to the stock but it can beat the benchmark only when the stock beats it.
I will something fishy about my conclusion!

Clone Algorithm
53
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5124510fa0b4ff7b8f23afc0
This backtest was created using an older version of the backtester. Please re-run this backtest to see results using the latest backtester. Learn more about the recent changes.
There was a runtime error.