{"id":40889163,"date":"2022-12-04T12:49:57","date_gmt":"2022-12-04T07:19:57","guid":{"rendered":"https:\/\/stockviz.biz\/index.php\/?p=40889163"},"modified":"2022-12-04T13:05:32","modified_gmt":"2022-12-04T07:35:32","slug":"trending-momo-models","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2022\/12\/04\/trending-momo-models\/","title":{"rendered":"Trending Momo Models"},"content":{"rendered":"\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/stockviz.biz\/index.php\/2022\/11\/27\/trending-momentum\/\" target=\"_blank\">Previously<\/a>, we discussed how applying a trend filter to a midcap momentum index could make sense. Then, we <a rel=\"noreferrer noopener\" href=\"https:\/\/stockviz.biz\/index.php\/2022\/11\/28\/trending-momentum-models\/\" target=\"_blank\">extended<\/a> that to our homegrown momentum models. In both cases, there are certain situations where trended momentum side-steps deep drawdowns. However, if you are only looking at &#8220;raw&#8221; returns, you would be better off with monthly rebalanced momentum versions.<\/p>\n\n\n\n<p>In this post, we run a similar test on the Momo versions of our homegrown momentum models.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/raw.githubusercontent.com\/stockviz\/blog\/master\/trend-momentum-models\/momo.1A6C40B8-BDF1-43E5-829C-E3265BDB7F1A.inspect.cumulative.png\" alt=\"\" \/><figcaption>Momentum (momo)<\/figcaption><\/figure>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/raw.githubusercontent.com\/stockviz\/blog\/master\/trend-momentum-models\/momo.AFD0DFFF-2EA7-4E4D-BA50-D9CC0E4B5052.inspect.cumulative.png\" alt=\"\" \/><figcaption>Velocity (momo)<\/figcaption><\/figure>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/raw.githubusercontent.com\/stockviz\/blog\/master\/trend-momentum-models\/momo.22849AAA-554B-4859-B06E-760B1902104B.inspect.cumulative.png\" alt=\"\" \/><figcaption>Acceleration (momo)<\/figcaption><\/figure>\n\n\n\n<p>The problem with high turnover strategies, beyond transaction costs, is the higher operational risk it entails. You could probably get away with postponing trades by a day or two in the monthly rebalance strategies but with these, you need automated trading systems. <\/p>\n\n\n\n<p>You can track these strategies here: <a href=\"https:\/\/stockviz.biz\/theme-eq\/33A1722D-FC93-4ADC-BED6-76B6573CADA8\" target=\"_blank\" rel=\"noreferrer noopener\">Tactical Momo (Momentum)<\/a>, <a href=\"https:\/\/stockviz.biz\/theme-eq\/78330F31-4655-45F7-B176-85390D507C37\" target=\"_blank\" rel=\"noreferrer noopener\">Tactical Momo (Velocity)<\/a> and <a href=\"https:\/\/stockviz.biz\/theme-eq\/3F75FD6D-06F5-42FE-AE6F-4A036552FFBA\" target=\"_blank\" rel=\"noreferrer noopener\">Tactical Momo (Acceleration<\/a>).<\/p>\n\n\n\n<p>Code and charts: <a href=\"https:\/\/github.com\/stockviz\/blog\/tree\/master\/trend-momentum-models\" target=\"_blank\" rel=\"noreferrer noopener\">github<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Previously, we discussed how applying a trend filter to a midcap momentum index could make sense. Then, we extended that to our homegrown momentum models. In both cases, there are certain situations where trended momentum side-steps deep drawdowns. However, if you are only looking at &#8220;raw&#8221; returns, you would be better off with monthly rebalanced &hellip; <\/p>\n","protected":false},"author":2,"featured_media":2091073,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471],"tags":[3491,3793],"class_list":["post-40889163","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","tag-momentum","tag-trend-following","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40889163","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=40889163"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40889163\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2091073"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=40889163"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=40889163"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=40889163"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}