Rotating into the Strongest Recent Performer with Momentum

Summary

This strategy ranks a chosen set of assets by their return over a configurable lookback period, then invests the portfolio in the strongest performer. The example universe contains a US equity ETF, an international equity ETF, and a bond ETF. It checks the ranking at the start and after each holding interval, retaining the current asset when its return ties the top-ranked candidate. When the leader changes, it sells the existing position and buys as many whole shares of the new leader as portfolio value permits.

The implementation uses daily bars, defaults to a short lookback and holding interval, and includes hooks for logging holdings and asset returns. It also shows how the strategy can be run in a historical simulation or connected to a broker. No performance results are reported, and the code does not describe transaction costs, slippage, taxes, or risk controls beyond switching assets. Its example settings and universe are illustrative; they do not establish that the approach will work across assets or market periods.

Key ideas

• The strategy ranks its asset universe by returns over a recent lookback window.
• It invests fully in the strongest performer and reassesses after the holding interval.
• When the incumbent remains tied for the top return, the strategy keeps that position.
• Position quantity is calculated from portfolio value and the selected asset's latest price.
• The document provides implementation structure but no evidence of profitability or treatment of trading frictions.

Tags

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