Post #1701 by Aussi on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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Has anyone had any success with GTR1 in eliminating stocks that have peaked but are being selected by a momentum screen. It seems that many of the stocks I am selecting are past their peak. AMD is a recent example of being on the screen when it was high and then falling off the screen on the next cycle.

I have looked at eliminating a stock if the distance below short duration moving average exceeds a given value, distance below peak of various time frames (such as ratio(gprc,hgprc(1,20)) < x) etc. All my attempts have resulted in lower CAGR and SWR.

Any suggestions would be appreciated.

Aussi

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