Long-Only Momentum Strategy with Profit, Loss, and Time Exits

Summary

This long-only stock strategy selects strong performers using a six-month price-index comparison, with the code expressing entry as a gain above 44% over 130 bars. It exits when a profit target is reached, when a stop loss is triggered, or after 130 bars if neither threshold has fired. The prose describes a 40% gain target and a 20% loss limit, while allowing other target values and a shorter maximum holding period. It also suggests selecting the strongest stocks within each sector by relative strength.

The author reports using the approach with real-money portfolios across countries for about five and a half years, citing annualized returns of about 26% for portfolios of 30 to 50 stocks and about 35% when choosing sector leaders. These are personal, unverified results; the document supplies no benchmark, risk statistics, transaction-cost analysis, or backtest details. The code’s fixed cash purchase and bar-based timing also leave position sizing and market-specific implementation assumptions unresolved.

Key ideas

• The strategy buys stocks after a strong six-month price gain and holds long positions only.
• It uses a profit target, a stop loss set at half the target, and a maximum holding period.
• The example parameters are a 40% gain target, a 20% loss threshold, and 130 bars.
• The author reports personal annualized portfolio returns, but provides no independently verifiable analysis.
• Choosing top relative-strength stocks within sectors is presented as a possible enhancement.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.