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My version of Andreas Clenow Momentum Strategy

Thanks Andreas Clenow for the ordering logic on https://www.quantopian.com/posts/stocks-on-the-move-by-andreas-clenow. It helped me complete my algorithm. I buy stocks every day if they make a new 500 day high. I limit it to 10 stocks per day, and rank the stocks in the basket by their momentum scores. I sell the stocks if they cross below their 15 day ATR trailing stop loss. The stocks are weighted by their APR.
I just thought I would show the site my work.

source: http://www.trendfollowing.com/whitepaper/DoesTrendFollowingWorkOnStocks_120513.pdf

Thanks,

Eric

Clone Algorithm
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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: 5935ca8c25b29170122d1f31
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