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Investment Thesis
The algorithm's objective is to select stocks from the SP500 universe that exhibit the fastest rising prices, high sentiment, and limited volatility.
- Market: SP500 universe
- Trading Schedule: Trades are executed on Wednesday
- Regular Selling/Buying: Stocks are bought and sold every week.
- Rebalancing: Positions are rebalanced twice a month to manage risk.
- Top Ranking Stocks: The algorithm selects the top 100 (or 20%) ranked stocks from the SP500 as determined by sentiment.
- Sentiment Filter: Only purchasing stocks with a average weekly sentiment score of over |0.8|
- Moving Average Filter: Stocks below their 100-day moving average are sold.
- Gap Filter: Stocks with a gap of more than 15% over the last 90 days are not bought.
- Index Membership Filter: Stocks that leave the SP500 index are sold.
- Market Regime Filter: Stocks are bought only when the SP500 is above its 200-day moving average
- Position Sizing: Position sizes are calculated based on a 0.15% risk of the total portfolio value using the Average True Range (ATR) of the last 20 days.
- Momentum Calculation: Momentum is calculated based on the annualized exponential regression slope over the past 90 days.
- Momentum Weighting: Momentum values are weighted for volatility adjustment using the coefficient of determination (R-squared).
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