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|