This repository is based on a momentum strategy described into the books Stock on the move and Trading evolved from Andreas Clenow. The strategy looks as follows:
- From your stock universe, rank the tickers based on a momentum score
- Allocate the positions based on volatility to have a risk-balanced portfolio
- Rebalance the portfolio every weeks
- Rebalance the positions every 2 week
- Sell a stock if:
- it's not part of the universe anymore
- it's not in the top X% of the universe
- it's trading below its X SMA
- it's a gap over X%
- Trade only if the index (SP500) is above the X SMA
This repo tries to implement this strategy, with few modifications.
This tool is for educational purposes only. No tool can replace financial market knowedge and you should USE THIS AT YOUT OWN RISK.
THE AUTHORS ASSUME NO RESPONSIBILITY FOR YOUR TRADING RESULTS.
Create a virtual environment using conda
$ conda create --name momentum python=3.6
$ conda activate momentum
Install the package
$ python setup.py install
Verify installation
$ momentum --help
Usage: momentum [OPTIONS] COMMAND [ARGS]...
CLI entry point.
Options:
--config TEXT Config file path. [required]
--help Show this message and exit.
Commands:
market-status Get market status information.
portfolio Generate a new portfolio or rebalance an existing one.
Get overall market status information (SPY index)
$ momentum market-status
******* SP500 SMAs *******
| | value |
|:------|--------:|
| 30 | 364.632 |
| 60 | 353.599 |
| 90 | 348.561 |
| 120 | 343.106 |
| 200 | 338.357 |
| TODAY | 369 |
Before creating a portfolio, we need historical data to do some calculation.
$ momentum collect --help
Usage: momentum collect [OPTIONS]
Collect and store historical SP500 data.
Options:
--start TEXT Start date in Y-M-D format.
--end TEXT End date in Y-M-D format.
--help Show this message and exit.
$
$ momentum collect --start 2020-12-1
...
...
$ ls ~/.momentum
sp500-20201201-20201227.data
The configuration file (passed via --config, default to ./config.json) holds the parameters used by the engine to build the best portfolio.
Parameters:
minimum_momentum: the minimum momentum score for a stock to be considered into our calculationportfolio_size: the number of individual stocks the portfolio can be composed byportfolio: the size of the initial portfoliotrend_filter_window_far: a long window for market's momentum calculationtrend_filter_window_near: a short window for market's momentum calculationmomentum_window_near: a short window for stocks' momentum calculationmomentum_window_far: a long window for stocks' momentum calculationexclude_days: day to skip from windwows calculationvolatility_window: volatility range allowed
If no --data-file is provided, the script will pull historical data for the SPY index and its components and then it will store it into the $HOME/.momentum directory.
Multiple portfolios are supported, so a name parameter must be passed.
$ momentum portfolio --help
Usage: momentum portfolio [OPTIONS] NAME
Generate a new portfolio or rebalance an existing one.
Options:
--execution-time TEXT Time of portfolio calculation.
--data-file TEXT Pickle data file with historical records.
--rebalance / --no-rebalance Whether or not this is a rebalance from last
portfolio.
--check / --no-check If set, the calculated portfolio will not be
stored.
--help Show this message and exit.
$ momentum portfolio test --data-file ~/.momentum/data/sp500-20190101-20201226.data
******* NEW PORTFOLIO *******
| | price | value | amount | proposed weight | real weight | weight delta | add-on increase |
|:----------|--------:|---------:|---------:|------------------:|--------------:|---------------:|------------------:|
| OXY | 17.67 | 318.06 | 18 | 3.21269 | 3.1806 | 0.99883 | 0.1767 |
| TPR | 30.85 | 1048.9 | 34 | 10.5306 | 10.489 | 0.394574 | 0.3085 |
| DVN | 15.33 | 413.91 | 27 | 4.29499 | 4.1391 | 3.62959 | 0.1533 |
| GE | 10.65 | 894.6 | 84 | 9.0005 | 8.946 | 0.605519 | 0.1065 |
| BKR | 21.01 | 630.3 | 30 | 6.39993 | 6.303 | 1.5146 | 0.2101 |
| MRO | 6.63 | 397.8 | 60 | 4.00478 | 3.978 | 0.668766 | 0.0663 |
| HAL | 19.21 | 518.67 | 27 | 5.20949 | 5.1867 | 0.437407 | 0.1921 |
| APA | 14.43 | 346.32 | 24 | 3.51332 | 3.4632 | 1.42645 | 0.1443 |
| NOV | 13.5 | 486 | 36 | 4.88902 | 4.86 | 0.593629 | 0.135 |
| FANG | 48.25 | 337.75 | 7 | 3.60842 | 3.3775 | 6.39954 | 0.4825 |
| ALB | 149.64 | 748.2 | 5 | 7.86754 | 7.482 | 4.90041 | 1.4964 |
| FCX | 24.79 | 1065.97 | 43 | 10.6741 | 10.6597 | 0.134902 | 0.2479 |
| WYNN | 114.39 | 686.34 | 6 | 7.36193 | 6.8634 | 6.77177 | 1.1439 |
| PVH | 93.82 | 656.74 | 7 | 6.86186 | 6.5674 | 4.29121 | 0.9382 |
| ALGN | 528.03 | 1056.06 | 2 | 12.5709 | 10.5606 | 15.9915 | 5.2803 |
| TOTAL | nan | 9605.62 | nan | 100 | 96.0562 | 3.9438 | nan |
| CASH | nan | 394.38 | nan | nan | nan | nan | nan |
| PORTFOLIO | nan | 10000 | nan | nan | nan | nan | nan |
This will create a $HOME/.momentum/portfolios/test.json file.
If the --execution-time parameter is provided, the portfolio will be built based on that date's market status.
$ momentum portfolio test --data-file ~/.momentum/data/sp500-20190101-20201226.data --execution-time 2020-7-1
******* NEW PORTFOLIO *******
| | price | value | amount | proposed weight | real weight | weight delta | add-on increase |
|:----------|--------:|----------:|---------:|------------------:|--------------:|---------------:|------------------:|
| CARR | 22.61 | 859.18 | 38 | 8.71703 | 8.5918 | 1.43661 | 0.2261 |
| ETSY | 111.21 | 889.68 | 8 | 8.92851 | 8.8968 | 0.35521 | 1.1121 |
| DISH | 34.63 | 796.49 | 23 | 7.98523 | 7.9649 | 0.254546 | 0.3463 |
| HAL | 12.47 | 436.45 | 35 | 4.45039 | 4.3645 | 1.92997 | 0.1247 |
| ABMD | 255.22 | 765.66 | 3 | 10.052 | 7.6566 | 23.8302 | 2.5522 |
| PYPL | 177.43 | 1242.01 | 7 | 13.3412 | 12.4201 | 6.90433 | 1.7743 |
| VIAC | 23.6 | 519.2 | 22 | 5.24631 | 5.192 | 1.03527 | 0.236 |
| APA | 13 | 351 | 27 | 3.59873 | 3.51 | 2.46556 | 0.13 |
| TSLA | 223.926 | 671.778 | 3 | 7.13409 | 6.71778 | 5.83547 | 2.23926 |
| MPC | 35.68 | 642.24 | 18 | 6.44995 | 6.4224 | 0.427101 | 0.3568 |
| NCLH | 16.42 | 262.72 | 16 | 2.77136 | 2.6272 | 5.20168 | 0.1642 |
| RCL | 50.83 | 304.98 | 6 | 3.42609 | 3.0498 | 10.9832 | 0.5083 |
| PAYC | 320.26 | 640.52 | 2 | 7.44927 | 6.4052 | 14.0158 | 3.2026 |
| DFS | 48.22 | 626.86 | 13 | 6.55177 | 6.2686 | 4.32205 | 0.4822 |
| GPS | 12.47 | 386.57 | 31 | 3.89802 | 3.8657 | 0.829234 | 0.1247 |
| TOTAL | nan | 9395.34 | nan | 100 | 93.9534 | 6.04662 | nan |
| CASH | nan | 604.662 | nan | nan | nan | nan | nan |
| PORTFOLIO | nan | 10000 | nan | nan | nan | nan | nan |
If the --rebalance parameter is provided, the existing portfolio will be restored (stored in the $HOME/.momentum directory) and it will be adjusted based on the new market status.
$ momentum portfolio test --data-file ~/.momentum/data/sp500-20190101-20201226.data --execution-time 2020-8-3 --rebalance
******* SELL *******
| | price | value | amount |
|:------|--------:|--------:|---------:|
| DISH | 33.96 | 781.08 | 23 |
| HAL | 14.53 | 508.55 | 35 |
| VIAC | 25.71 | 565.62 | 22 |
| APA | 15.72 | 424.44 | 27 |
| MPC | 38.57 | 694.26 | 18 |
| NCLH | 13.06 | 208.96 | 16 |
| RCL | 47.39 | 284.34 | 6 |
| PAYC | 288.08 | 576.16 | 2 |
| DFS | 49.5 | 643.5 | 13 |
| TOTAL | nan | 4686.91 | nan |
******* REMAINING *******
| | price | value | amount |
|:----------|--------:|---------:|---------:|
| CARR | 27.62 | 1049.56 | 38 |
| ETSY | 126.62 | 1012.96 | 8 |
| ABMD | 308.35 | 925.05 | 3 |
| PYPL | 197.07 | 1379.49 | 7 |
| TSLA | 297 | 891 | 3 |
| GPS | 13.11 | 406.41 | 31 |
| TOTAL | nan | 5664.47 | nan |
| CASH | nan | 5291.57 | nan |
| PORTFOLIO | nan | 10956 | nan |
******* NEW PORTFOLIO *******
| | price | value | amount | proposed weight | real weight | weight delta | add-on increase |
|:----------|--------:|---------:|---------:|------------------:|--------------:|---------------:|------------------:|
| FCX | 13.1 | 956.3 | 73 | 8.85129 | 8.72852 | 1.38707 | 0.119569 |
| TER | 90.26 | 722.08 | 8 | 6.88284 | 6.5907 | 4.24442 | 0.823838 |
| EBAY | 56.57 | 848.55 | 15 | 7.9957 | 7.74504 | 3.13486 | 0.516336 |
| TSCO | 147.42 | 884.52 | 6 | 9.27055 | 8.07335 | 12.914 | 1.34556 |
| FDX | 169.22 | 846.1 | 5 | 8.93509 | 7.72268 | 13.5691 | 1.54454 |
| AMZN | 3111.89 | 0 | 0 | 5.41366 | 0 | 100 | 28.4034 |
| CINF | 78.4 | 705.6 | 9 | 6.78645 | 6.44028 | 5.10083 | 0.715587 |
| LRCX | 381.41 | 762.82 | 2 | 7.09911 | 6.96255 | 1.92359 | 3.48128 |
| NVDA | 440.41 | 440.41 | 1 | 6.58459 | 4.01979 | 38.9515 | 4.01979 |
| TSLA | 297 | 297 | 1 | 3.07839 | 2.71083 | 11.9399 | 2.71083 |
| ETSY | 126.62 | 379.86 | 3 | 4.3248 | 3.46713 | 19.8316 | 1.15571 |
| ABMD | 308.35 | 925.05 | 3 | 8.46373 | 8.44329 | 0.241507 | 2.81443 |
| CARR | 27.62 | 718.12 | 26 | 6.64715 | 6.55456 | 1.39293 | 0.252098 |
| GPS | 13.11 | 353.97 | 27 | 3.35591 | 3.23082 | 3.72759 | 0.11966 |
| PYPL | 197.07 | 591.21 | 3 | 6.31075 | 5.3962 | 14.4919 | 1.79873 |
| TOTAL | nan | 9431.59 | nan | 100 | 86.0857 | 13.9143 | nan |
| CASH | nan | 1524.45 | nan | nan | nan | nan | nan |
| PORTFOLIO | nan | 10956 | nan | nan | nan | nan | nan |