Post #1974 by Aussi on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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In addition to look back duration, for smaller stocks like the SP400 universe, using GTR1, eliminating biotech and mining stocks improves the backtest results. My thoughts are that both groups are more prone to sudden jumps and drops than the average stock due to news releases rather than long term trends. I did not find any benefit eliminating mining and biotech stocks from the SP500 universe when checking momentum screens.

Antidotally, I think each group of stocks, SP500, NAS100, SP400, etc., have different momentum characteristics (look back duration, hold period and type of stock to exclude from constituents).

Aussi

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