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