Velocity

A momentum strategy that looks at the most recent returns of a stock. Higher the returns, greater its rank. Filters are applied to avoid stocks with parabolic moves.

Positions have a 5% trailing stop-loss that is checked once a day and rebalanced.

This model was created on 2018-May-03 and was last updated on 2024-Mar-29
Minimum investment: $25000
Created by: FreeFloat
Cumulative Returns
lookback (days) strategy SPY MTUM
{{item.LB === 2147483647 ? 'inception' : item.LB}}
{{numeral(item.MODEL).format('+,.00%')}}
{{numeral(item.SPY).format('+,.00%')}}
{{numeral(item.MTUM).format('+,.00%')}}
Metrics
{{item.NAME}}
{{numeral(item.VAL).format(',.0000')}}
risk-free rate: 2.5%; MAR: 0%; benchmark: SPY
Portfolio
symbol weightage
{{p.SYMBOL === 'LIQUIDBEES' ? 'CASH' : p.SYMBOL}}
{{numeral(p.WEIGHTAGE/100).format(",0.00%")}}
Drawdowns
From Trough To Depth Length To Trough Recovery
{{dd.FROM_DT ? moment(dd.FROM_DT).format('YYYY-MMM-DD') : '-'}} {{dd.TROUGH_DT ? moment(dd.TROUGH_DT).format('YYYY-MMM-DD') : '-'}} {{dd.TO_DT ? moment(dd.TO_DT).format('YYYY-MMM-DD') : '-'}} {{numeral(dd.DEPTH).format('#,0.00%')}} {{dd.LENGTH}} {{dd.TROUGH}} {{dd.RECOVERY}}
Strategy vs. SPY and MTUM