Momentum Strategy – Lowing Drawdowns

[Anonymous]

Hi

I just finished the course and started coding a momentum strategy. Trying different universes my best result was the Russell1000 however still receiving high drawdowns. Any ideas or insights reducing it. I’m refraining a continuous optimisation to end up curve fitting my backtesting.

Ranking 10 positions and 20 (worst rank)

My current results
ROR 37.47%
Max DD 31.42%Tweaking
ROR 16.86%
Max DD 28.92%Appreciate insight, Thanks 

[TerryDunne]

Hi Christian,

Sorry, only just found your post.

Why not try under leveraging? You could potentially only trade 60% of the capital you want to allocate to this system, your returns would then be CAGR 23% with MDD of 19%?

Could you live with this?

[AnthonyFuentes]

I’m working on a similar strategy for the R1000.

So far I’m at 26/52. That 52% was during the dot com crash and still the year ended with a 39% return. That being said, there’s no way I could stomach a 50%+ DD.

My system is fairly simple and includes: A price and simple liquidity filters, index filter, stock uptrend filter, and uses ROC for the rank/score.

I’m going to keep plugging away. There’s definitely a huge hole I’m forgetting to cover here.

[GlenPeake]

Anthony F post=14085 userid=5415 wrote:

I’m working on a similar strategy for the R1000.

So far I’m at 26/52. That 52% was during the dot com crash and still the year ended with a 39% return. That being said, there’s no way I could stomach a 50%+ DD.

My system is fairly simple and includes: A price and simple liquidity filters, index filter, stock uptrend filter, and uses ROC for the rank/score.

I’m going to keep plugging away. There’s definitely a huge hole I’m forgetting to cover here.
 

For me Anthony, a monthly rotational strategy on the R1000 was one system I struggled with for a long time trying to find something that produced something acceptable….. 

For whatever reason (possibly because of the number of stocks in the universe), it took 100’s / 1000’s of tests to get it up and running OK.

[Author]

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