Is it possible to create momentum portfolios and backtest them on Streak?
This is a portfolio of stocks created using Momentum strategy. This strategy is becoming popular. Based on rate of change of individual stock price over 6m or 1 year.
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Hi @visuarchie
Yes, a Momentum portfolio can be created in Streak. For this, you need to follow the step mentioned below –
- Filter Stocks - We have to filter the stocks which have given the highest returns in terms of percentage from our tracking universe. In our case, we will be running this scan on the Nifty 100 basket which will be our tracking universe. Please note that currently, it is not possible to derive the exact return a stock has given hence we have to specify a minimum percentage return. Therefore we will be scanning for stocks that have given at least a 20% return in the last year (i.e. 250 trading days from the current day).
To do so, we have to write down the formula to find the stocks with a minimum 20% return.
We will be taking 250 as the number of trading days for last year. So for example, if today is 20th May 2022 and we want the results for an exact 1 year (i.e. 20th May 2021) then in terms of trading days it comes down to 250 trading days.
- The formula –
The formula to calculate the percentage return = {(ending value/starting value) – 1]*100
Now, to search for stocks that have given more than 20% return in the last year we can use the modified version of the same formula. We just need to input the following condition in the Streak scanner –
After inputting these conditions, run the scanner on the Nifty 500 basket and on a daily timeframe and the system will display all the stocks which have given more than 20% return in one year’s time. From this, you can select the stocks that you want to add to your portfolio. Refer to the below image to see the results as per the above conditions as of 20th May 2022 (9:40 PM).
You can click on the following link and copy the scanner that we created into your system and search for stocks as per your percentage return requirement.
- Now that you are aware of how to filter out the stocks which have given the highest return(20% minimum). You can create a basket of these stocks directly from these scan results and add that basket into a strategy to trade or you can also directly buy these stocks from the scanned results page itself.
Refer to the below images to learn how to create a basket of these stocks and how to directly place an order.
How to create a basket –
How to place an order through Streak –
Hope this helps.
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Momentum portfolio have only started to shine against the major indexes. Such a strategy also falls more than the market. As such, one should be careful when creating such a portfolio.
Note: This is not an investment advice.
@Vasu_patel As I said, I created a momentum screen using multiple indices. Do I need to subscribe to Streak to be able to do screeing in future or subscription is required for back testing only?
@Vasu_patel One more question. Is it possible to screen for another condition like volatility? ie, choose stocks with high returns and low volatility. Is it also possible to get the actual values of returns?
Hi @visuarchie,
You will need an active Streak subscription to run scans and backtest your strategies. Click on the below link to see the available plans.
You can use various indicators such as Volume, India Vix, Average True Range, and Bollinger Bands to determine the market volatility. You can use them in a scanner and find stocks with high or low volatility over a period of time. You can also create a strategy and backtest it on your favorite stocks on historical data and find out the percentage returns your strategy gave over the period of time. Please refer to the following link to learn more about volatility and various ways to implement it in Streak.
All new users get a free trial to explore the platform. You can write to [email protected] with your broker ID if you are having further queries about plans.