Tuesday, February 19, 2019

Systematic Trading: Week 1

This weekend the Russel 3000 index has been above its 200 MA for 3 days.


Who knows if it will continue?  It could be a false breakout.  Or it could be like 1998: a correction before a final 18 month melt-up.  I will trade the system regardless.

Value (The Acquirer's Multiple)

Yesterday, bought the top 3 stocks from The Acquirer's Multiple All Investable Stock Screener.

I will continue to buy and sell as the number of days the index is above the moving average. (N) changes.

After each stock has been held for 1 quarter, I'll rebalance.  i.e.: replace it with another stock if it is no longer within the top N rated stocks.

Momentum (Clenow)

Bought 3 stocks yesterday:
  • LIVX (Livexlive media Inc), bought 673 shares @ $5.95
  • LCI  (Lannet Company Inc), bought 389 shares @ $10.28
  • EHTH (EHealth Inc), bought 64 shares @ $62.66