Basket Momentum Rotation with Breakout Entries and Leadership Exits
Summary
This strategy compares the rate of change of eight user-selected symbols and ranks them by recent momentum. It enters a long position on the chart symbol only when that symbol leads the basket and closes above its own prior high over a configurable lookback. If the held symbol loses leadership, the strategy exits immediately or after a configurable confirmation period. A moving-average regime filter can require price to be above its long-term average.
Position size is calculated from a chosen fraction of equity and an ATR-based stop distance, with a reward target set as a multiple of that risk. The code also displays a momentum leaderboard, a breadth measure based on the share of symbols with positive momentum, and alerts when leadership changes. It disables lookahead for its cross-symbol momentum requests and specifies commission and slippage assumptions. The document offers implementation details, not performance results; it does not establish that the rotation rule is profitable, and the example basket and settings need independent testing for the intended universe and timeframe.
Key ideas
- The strategy ranks a configurable basket by lookback rate of change and trades only its current leader.
- An entry requires the leader to break above its own recent high and pass an optional regime filter.
- Positions exit at an ATR-based stop or reward target, or when the held asset loses leadership.
- Risk-based sizing links quantity to equity at risk and the stop distance.
- A breadth dashboard summarizes how many basket members have positive momentum, but no performance evidence is supplied.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.