Just finished reading Andreas Clenow’s book Stocks on the Move which suggests a Momentum Based Strategy for equities. I have started and got as far as the first couple of rules:
https://www.portfolio123.com/app/screen/summary/145319?st=1&mt=1
The next steps involve some statistical analysis and ranking. Is anyone able to get me started here (really new setting up my own screens in Portfolio123). Based on the ranking rules in the book, he has us go through the following steps:
Rank all stocks based on “volatility adjusted momentum”:
a. Calculate the annualized exponential regression slope calculated on past 90 days and then multiply it with the coefficient of determination (Rsquared) for the same period. In Excel, I was able to replicate this by doing the following:
i. Calculate natural log on each close price for the past 90 days =Ln(close)
ii. Using results from Ln, calculate the exponential slope for thhe past 90 days =Slope(Ln,period)
iii. Annualize the exponential slope =(POWER(EXP(exponential slope),250))-1)
iv. Using the Ln results, calculate r squared for each price in the past 90 days =RSQ(Ln,period)
v. Calculate the Adjusted Slope =(annualized Exponential Slope * Rsquared) --this is ii * iii
After that there are some specific position size rules, but baby steps for now.
Is using the above criteria even possible in P123? Any suggestions on how to start - is there a ranking system or screeen that already does this - I couldn’t find one but could have missed it)
Thanks!