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Testing A New Stock Model (4)

This is a blog post, not an article.

In November I started trading a new 7-stock Momentum & Value model (previous post on this topic is here). The idea is to pick stocks based on momentum, fundamental ratios, and recent bullish price action. The model is supposed to own no more than 20% in an industry and 50% in a sector. It buys stocks with a minimum daily average liquidity of $400k. Some positions may be in cash when no stock passes the criteria. This morning is the 1st time I see all positions in green:

It is still in drawdown by a few % after a high mark in early December, and just at break-even YTD. The max drawdown in March was 20% (it trades volatile stocks). Here is the performance in the recovery:

No regular update will be provided here, this is just an example at one point in time. Holdings are evaluated once a week and stay more than 1 month on average. They may become available in a subscription service in the future, I don’t know yet when and how. The concept of "expected performance" doesn't exist for me. Speaking backtest, the current version simulated since 2002 is at CAGR 46%, Sharpe 1.8, 60% winning trades, w/l=1.48 on about 700 simulated trades. This includes realistic trading costs and entry points (not opening price). Past performance is not a guarantee for the future. Disclosure: I am long all the stocks in the screenshot (also 25 other stocks, plus ETPs). You may use them as trading ideas for the short/mid-term, but do your own research. This is not investment advice.