35 stocks with momentum | stockbee

11/18/2009

35 stocks with momentum




These 33 stocks are top ranked by momentum currently. How many of these do you have in your portfolio currently. Do your trading methods identify such stocks early enough.What triggers momentum phases in stocks. Momentum is the most persistent anomaly till date. In his recent book Quantitative Strategies For Achieving Alpha, Richard Tortoriello did a exhaustive study of all the factor which drive stock prices in the short and long run.The number one factor according to the research was momentum.

ACFN
AIXG
BEXP
BUCY
CAAS
CYD
DAN
EWBC
FSYS
GAP
GY
HGSI
HL
IO
KFN
KGN
LNY
LONG
MED
MIC
MTL
NABI
NANO
OPTT
PAP
REV
RINO
SCSS
SMTL
SNIC
SVM
THM
TSTC
UFS
USEG

See my previous post:

Quantitative Strategies for Achieving Alpha (McGraw-Hill Finance & Investing)





In this book Richard Tortoriello sets out find empirical drivers for stock market returns. This is a new book published last month. The author tests 1200 strategies on stock above 500 million valuation to determine the major fundamental and market based drivers for future stock market returns.After such analysis he presents strategies that consistently outperform the market.

The author tests 7 basic categories of stocks factors:
  1. Profitability
  2. Valuation
  3. Cash flow
  4. Growth
  5. Capital allocation
  6. Price momentum
  7. Red Flags ( risk factors)

Detailed quantitative tests for each of the factors are presented in the book. As the author works for S&P, he has access to the best database on stocks and he presents his findings for multiple factors within each of the above seven categories. The testing shows that the top single factor strategy for achieving excess return is price momentum calculated using 28/16 relative strength. The best strategy using two combined factor for excess return is price momentum plus nearness 52 week high.

This book unlike other quant books is easy to understand and well presented. The biggest advantage of this book is it will give you building blocks to build your trading strategy around things that empirically work in the market. Knowing what works and why it works can help you build better trading models.



7 comments:

Ram said...

Pradeep,

May I know how you arrived at these 35 stocks? Please point me to the post if you have already written about this in your blog.

Thanks,
Sriram

Pradeep Bonde said...

it is based on 6 month momentum. So it takes top 3% stock using 6 month momentum by calculative todays price against 6 month average price.

badar_basim said...

Shalom stockbee,

i just want to know what price did you buy NANO and was there any momentum indicator that triggered the purchase?

Or did you put a stop above 7.81? if so what was the criteria for this purchase?

i was also looking at nano the day it broke out and i didnt buy it last minute because it closed below the high it made.

i currently have cyd bought on 11/10 close and rino bought 9/22 from your momo list.


thanks

Pradeep Bonde said...

Shalom
I bought it at 8.26. It was triggered by a momentum breakout scan.

badar_basim said...

8.26 is a good price

Pradeep Bonde said...

Closed the position today. Part was closed yesterday.

badar_basim said...

i've been studying your old posts.

you're self-taught right?

it's amazing someone can go it alone and develop a throrough trading method by himself.

i have some gro and cga at 14 today.

holding rino amzn cyd.

i use thinkorswim for my charts and alarms and interactive brokers for my orders.