Implementing the Momentum-Based Systematic Portfolio

Now that you know what the process is, I will now teach you on how to actually go about trading systematically using momentum ranks based on quantitative analysis, or "quants" for short.

If you don't know what I'm talking about, then you probably need to read the article before this. You can read about it here: How to implement a Systematic Portfolio Trading Strategy thru Momentum


First off, join my Facebook Group: Weekend Traders

Once in, access the Files section of the Group and look/ download 2 things:
a.) MOMENTUM Dashboard 2
b.) Momentum Rank mm-dd-yyyy

• The MOMENTUM Dashboard -  is where all the work takes place.The dashboard will only be downloaded once and updated by you as your portfolio takes shape. We get data from the Momentum Ranks sheet, and paste it into the dashboard. Don't worry. I'll be giving a very detailed step-by-step guide in the Implementation Guide on how to go about it. Certain cells of this excel workbook are locked so that you will not mistakenly delete or edit pre-programmed cells. If for whatever reason, you want to unlock it, there is no password necessary to unlock it.

• Momentum Rank sheet - is where I will provide the momentum ranks of all stocks that fit the quant profile that we want which means stocks with good momentum based on linear regression. I will post the ranks every SUNDAY and only on Sundays. It is not healthy for your port to be dancing in and out of stocks. So your transactions with your online broker should be performed on Mondays, and due diligence on Sundays.

1.) Open the Momentum Rank Sheet first. You’ll see something like the image below (click to enlarge).

2.) Next, open the MOMENTUM Dashboard excel file. It will look like this (click on the image to enlarge).

3.) Next, go back to the Momentum Ranks sheet and copy all the data from columns A to D. The stocks here have already been ranked from top to bottom, so please take care in not deleting or changing them.

4.) Switch to the MOMENTUM Dashboard, click cell A1 (the cell with "Ticker" word in it), and right click then paste or CTRL + V. This should update the Dashboard's data with the latest one.

Please note that all the areas in the Dashboard sheet colored yellow are cells that will need your input. They are as follows:

• Ticker/ Date & Time/ Price - Columns A to C, this we get from the Momentum Ranks sheet. Column D or ATR is simply hidden from view since it will be shown elsewhere. 

• Stock - Column H. This is where you input the stock's ticker symbol so that the dashboard calculates the appropriate position size for you. If this is the first time for you to do this, kindly delete the symbols from cell H2 to H26. I didn't delete them yet so you'll know how it'll look like once you enter a symbol. Simply check the top ranked stock to the left and type in the ticker symbol.

• Actual Size to Buy - Column N. Once you enter the ticker symbols under Stock, the ATR Position is computed automatically, however, these do not fit into the PSE's boardlot sizes. So, you have to manually input the size under Column M (Actual Size to Buy). For example, for IRC, the ATR Size as of June 25, 2018 should be that we buy 2,712 shares. However, after looking up at the Boardlot sizes according to price (columns W to Z), we can only buy 1,000 share lots. So we buy 2,000 shares and input that into the Actual Size to Buy column.

•  Capital - Cell P1. Type in the amount of capital you have or willing to allocate for this system.

• Risk Appetite - cell P2. Remember the Risk Factor table below. Choose which one suits you. I use 0.004.
• 0.001 = Low Risk Appetite 
• 0.002 = Moderately Low Risk Appetite
• 0.003 = Moderate Risk Appetite
• 0.004 = High Risk Appetite
• 0.005 = Very High Risk Appetite 

• Date Started = date of when you begun so you can keep track of when you started this system.

• Stock Rebal = cells P5 and downward is the date that you checked and rebalanced your porfolio...which should be every monday.

• Status = cells Q5 and downward to tell yourself if you've completed rebalancing or not.

• Blacklist = cells S2 and downward. This is where we enter the symbols of stocks that we have cut. Cut rules are shown in sheet Buy Sell Cut Rules of the same excel workbook.

• Remarks = reason why the stock was cut or let go to remind yourself.

5.) The momentum ranks under Column A are already ranked from top to bottom. So the idea is to buy each stock from the top and move on down to the next stock until we run out of capital. We only buy the number of shares that ATR tells us to buy

6.) After completing the ATR and Actual Position Sizes to buy, it is time to execute the trade with your online broker, but first, check if the PSE Index is above SMA 200. This tells us that the overall market is bullish. If the index is below SMA200 then it is bearish. I usually don't trade bearish seasons, but if you really want to, I'd advise you to change your risk factor to 0.002.

7.)  Once you are done executing your trades, copy and paste the appropriate date from columns F to L. Go to sheet Action Taken and paste it there. This step is not really necessary, but I like to keep a record of all my trade histories and to keep track of the stocks I've traded.

8.) Rinse and repeat every Sundays and Mondays.

And that's it! I know that it can be very overwhelming at first, but believe me, it will become habitual. What you can do is to practice the system first with Investagrams' virtual port. Also, if you have any questions, feel free to add and chat with me in Facebook. This is my FB profile page.

Expectations:
It usually takes the system 3 weeks to become profitable. Rest assured that we will be able to ride those big movers like how MAC, ANI, TUGS, and HVN moved before...believe me..I've back tested them.

And that's it for now! God bless!