Thursday, July 06, 2017

Still Thinking About Momentum and MFI

Still Thinking

I did a little more database building today on the idea that MFI stocks on the screen today that have positive price momentum over the past 6 months outperform.

I will try and make final push over the weekend and then try to make a backtest that would match an approach I could/would use going forward.  That being said, it does seem to me to be a viable strategy.

I was thinking if I went forward with it, how would I do it?  I already have 8 MFI tranches going at any one time.

  • I could turn a couple of those into momentum plays.  
  • I could adjust the dates a bit and start 4 momentum tranches and then have a new tranche of some sort starting every month.
  • Or I could just have one or two "super" MFI momentum tranches a year with perhaps 20 stocks.

I did play around a little bit with excel today.  I created a pretty snappy workbook.  You simply drop in (via cut and paste) 50 stocks from the official screen.  In then automatically populates the current price, the price from 6 months ago, the change and the ranks to 50 stocks.  Finally it publishes a subset of the stocks with the most change in past six months.

Here is a screenshot





Then here is the output table from the raw data (top 20 in this case):



Top 20 from 50 over $200m List
Ticker Mkt Cap Price Past Price Index Rank
AOBC 1,147  22.05   20.90   1.06  12
AVID 211  5.12   4.59   1.12  9
HRB 6,431  31.34   22.59   1.39  1
BPT 461  21.14   21.61   0.98  19
CSCO 155,488  30.78   29.58   1.04  13
GHC 3,355  596.20   535.21   1.11  10
HPQ 29,711  17.13   14.63   1.17  7
KLAC 14,468  92.49   77.30   1.20  6
MCFT 363  19.15   14.74   1.30  4
MSGN 1,671  22.33   22.60   0.99  17
NHTC 319  27.99   23.93   1.17  8
NSR 1,850  33.38   33.30   1.00  15
OMC 19,528  81.61   83.44   0.98  20
PDLI 405  2.44   2.30   1.06  11
PBI 2,795  14.84   15.10   0.98  18
RGR 1,089  62.95   51.22   1.23  5
TDC 3,795  28.55   28.64   1.00  16
USNA 1,574  63.85   62.60   1.02  14
VEC 360  32.20   24.37   1.32  3
WNC 1,332  22.03   16.12   1.37  2

1 comment:

Paul T said...

Marsh, Momentum is very often a good trailing indicator of performance. If you've read James O'Shaughnessy's What Works on Wall Street, you'll see his best historical returns were mostly based around momentum plays.

I'm watching your research with a lot of interest :)