PSE Momentum and Relative/ Absolute Ranks, Sector Analysis EOD Feb. 26, 2018

See below for the End of Day Feb. 26, 2018 Momentum Ranks for the Philippine Stock Exchange.
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Relative and Absolute Momentum Ranks

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Sector Analysis

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Attempt to replicate Dual Momentum Part 2

This is an update to the Dual Momentum Portfolio that was begun in End of Day Feb. 8, 2018. You can read the article here: Attempt to replicate Dual Momentum Part 1.

Due to my work, I changed my selected day of transactions from Thursdays to Mondays.

These were the positions then:

I completely forgot to post an update of the actions taken on the portfolio last week, but these were what was done on Feb. 15, 2018 at the open:

So 2 things happened:
1.) We sold all 140 shares of ECP for falling below our stop loss point of -6% on transaction day. This is included in our blacklist and will remain there until recorded entry price becomes less than current price.
2.) We sold all 13,000 shares of TBGI for falling below our stop loss point of -6% on transaction day. This will be included in our blacklist and remain there until recorded entry price becomes less than current price.

Transaction day shifted to Mondays beginning Feb. 19, 2018. Based on Feb. 15, 2018, here are the momentum ranks:

So action taken this morning were as follows:

STR, ALHI, and WPI were added to the blacklist.

Here are our current holdings:

A 2.71% overall portfolio gain in 1 week++. Sadly, IMI fell near end of day today, so I can't touch that until next transaction day.

Remember the following rules:
1.) We check if the PSE Index is above MA 200. If index is below ma200, we sell all our positions and do not buy.
2.) Capital is equally (or as equal as I could make them) distributed over the 11 holdings.
3.) If a stock is no longer in our top 11, we sell it but only on transaction day.
4.) If the stock is below -6%, we sell it but only on transaction day.
5.) No consideration is given to entry price. Whether it is near resistance or support, we simply don't care. What matters is if it is included in the top 11 momentum ranks.

I am following a strict rule for the once a week transaction days because if I were to be managing multiple portfolios, it would be very difficult for me to check multiple ports on 1 day.

I'm currently managing 6 portfolios, with 3 more incoming. Imagine if it reaches 20 or more...it would be very hectic to check all of them mid-day so I can perform transactions while the market is open, all the more while I have a day job.

I'm quite disappointed with the results so far. My other momentum ranking model is doing much better. Here is a snapshot of that portfolio using a different momentum system but only with a 60k starting capital.

Anyway, let's see if the Dual Momentum model catches up.

Until the next update, God bless!

PSE Momentum and Relative/ Absolute Ranks, Sector Analysis EOD Feb. 15, 2018

See below for the End of Day Feb. 15, 2018 Momentum Ranks for the Philippine Stock Exchange.
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Relative and Absolute Momentum Ranks

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Sector Analysis

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PSE Momentum and Relative/ Absolute Ranks, Sector Analysis EOD Feb. 12, 2018

See below for the End of Day Feb. 12, 2018 Momentum Ranks for the Philippine Stock Exchange.
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Relative and Absolute Momentum Ranks

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Sector Analysis

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Scan Results and Sector Analyis of Stocks in PSE EOD Feb. 8, 2018

Scan Results of Philippine Stocks end of day February 8, 2018

Sector Analysis

Attempt to replicate Dual Momentum Part 1

I recently just got the book of Gary Antonacci titled Dual Momentum Investing. Before reading the entire book, I usually cheat by checking out the table of contents and going directly to the chapter that catches my eye.

So I skipped to the chapter about relative momentum and absolute momentum. I recall seeing this in Betting On Harmonic's (BOH) model. Too bad I was too much of a newbie back then to fully appreciate it. On a side note, if you want to learn a systematic way of trading, I suggest you join BOH (but they recently increased their pricing, ouch!). 

Anyway, on to the replication. The first step is relative momentum which is to pick the best performing security out of a group. For this, I used sector analysis including the index. As expected, the Index had the highest momentum out of the group with a score of 16.76 (yay for Index tracking funds and ETFs!). 

The second step is to get absolute momentum and investing in a stock when its return is positive over a period of time....yeah...so I just used rate of change over a period of 12 months. These stocks need to have a higher score than 16.76. Dunno if its right but the testing is free anyway so let's get on with it!

Data used for portfolio creation was End-Of-Day (EOD) Feb. 6, 2018 and the shares were purchased at market open of Feb. 7, 2018 without regard for entry price nor looking at the charts except to check if the Index was above Moving Average 200 (this tells us if the market, in general, is bullish or bearish).

Capital is 100,000 allocating equal shares over 11 stocks. Why 11? Because 100k divided by 11 gives me approximately 9k pesos to allocate to each share and gives me leeway to go above the 8,000 peso "minimum" purchase amount against commissions, taxes, and fees as well as staying above 8k pesos when cutting losses. 

Rules are:

1. Portfolio transactions, such as buying and selling, will only happen once a week (Thursdays, since this is when I started this).
2. Cutloss: -6% or if the stock is no longer included in the top 11 rank.

This was what it looked like right before purchasing:

As of EOD Feb. 8, 2018, here are the results:

The 1.25% gain after 2 days was unexpected because it usually takes 3 weeks for blind entries like this to show gains, so it was a nice surprise. Other than TBGI at -5.6% so far so good. I'll update you next Thursday.

If you have suggestions on how to go about it, feel free to leave a comment below. Constructive criticism is always welcome.

Caveat and God Bless.

February 7, 2018 EOD Momentum and Scan Results

Feb. 7 Momentum Ranks

Scan Results

Sector Analysis

February 5, 2018 EOD Momentum Ranks

See Below.

Caveat and God bless.

Feb. 2, 2018 Momentum Ranks

Below are the Momentum Ranks EOD Feb. 2, 2018. I also uploaded the excel form of it into my google drive. You can access it HERE.

All Shares						Index Stocks
Ticker	Date/Time	Price	ATR	Rank		Ticker	Date/Time	Price	ATR	Rank
ECP	2/2/2018	49.4	8.3389	1		SMC	2/2/2018	152	3.473	1
IDC	2/2/2018	8.07	0.7521	2		LTG	2/2/2018	23.15	0.802	2
GSMI	2/2/2018	30	1.5096	3		MER	2/2/2018	336.2	5.369	3
TUGS	2/2/2018	5.37	0.3117	4		SM	2/2/2018	1030	30.63	4
PF	2/2/2018	630	18.4064	5		BPI	2/2/2018	120	2.909	5
HVN	2/2/2018	173	11.552	6		GTCAP	2/2/2018	1350	34.07	6
MJC	2/2/2018	4.89	0.3985	7		JFC	2/2/2018	294	5.269	7
ALHI	2/2/2018	15.5	1.7564	8		URC	2/2/2018	162.2	3.82	8
TBGI	2/2/2018	0.6	0.0636	9		ICT	2/2/2018	110	2.733	9
NOW	2/2/2018	5.64	0.412	10		ALI	2/2/2018	45.85	0.962	10
STR	2/2/2018	19.1	2.6951	11		AC	2/2/2018	1050	23.98	11
SMC	2/2/2018	152	3.4729	12		JGS	2/2/2018	77.4	2.185	12
MAC	2/2/2018	23.65	1.0774	13		PGOLD	2/2/2018	53	1.024	13
NRCP	2/2/2018	1.5	0.1251	14		RRHI	2/2/2018	96.9	2.661	14
HOUSE	2/2/2018	6.18	0.1656	15		AEV	2/2/2018	75.3	2.073	15
LTG	2/2/2018	23.15	0.8019	16		AP	2/2/2018	41	0.726	16
TECH	2/2/2018	51	2.3845	17		DMC	2/2/2018	14.56	0.33	17
ATNB	2/2/2018	0.57	0.0416	18		PCOR	2/2/2018	9.8	0.185	18
DNL	2/2/2018	11.82	0.2795	19		TEL	2/2/2018	1558	41.6	19
MER	2/2/2018	336.2	5.3687	20		GLO	2/2/2018	1899	47.81	20
SM	2/2/2018	1030	30.6332	21		SCC	2/2/2018	37.9	0.98	21
BPI	2/2/2018	120	2.9087	22
MWIDE	2/2/2018	21.5	0.5608	23
^FINANCIAL	2/2/2018	2223.55	27.2051	24
TFC	2/2/2018	37	4.705	25
GTCAP	2/2/2018	1350	34.068	26
EMP	2/2/2018	8.06	0.2306	27
CHI	2/2/2018	5.89	0.1122	28
BLOOM	2/2/2018	12.1	0.4279	29
JFC	2/2/2018	294	5.2692	30
ATN	2/2/2018	0.55	0.036	31
PIZZA	2/2/2018	15.44	0.4224	32
ANI	2/2/2018	12.8	0.3949	33
CHIB	2/2/2018	36.15	0.3493	34
SLF	2/2/2018	1995	22.5794	35
^PSEi	2/2/2018	8810.75	110.451	36
URC	2/2/2018	162.2	3.8199	37
MRP	2/2/2018	8.87	0.3332	38
^HOLDING	2/2/2018	9007.76	150.3424	39
FMETF	2/2/2018	134	1.3139	40
ICT	2/2/2018	110	2.7328	41
DWC	2/2/2018	2.76	0.2481	42
ISM	2/2/2018	1.63	0.0917	43
RFM	2/2/2018	4.95	0.0631	44
IPO	2/2/2018	13.28	0.5605	45
^ALLSHARES	2/2/2018	5181.82	49.7946	46
^INDUSTRIAL	2/2/2018	11891.59	118.9783	47
PNX	2/2/2018	12.7	0.4771	48
JOH	2/2/2018	5.36	0.3277	49
UBP	2/2/2018	91	1.0554	50
POPI	2/2/2018	2.64	0.1096	51
ALCPB	2/2/2018	109	0.3311	52
FFI	2/2/2018	12.1	0.713	53
^PROPERTY	2/2/2018	3993.89	60.1584	54
ALI	2/2/2018	45.85	0.9616	55
PXP	2/2/2018	9.13	0.5286	56
AC	2/2/2018	1050	23.9759	57
JAS	2/2/2018	3.36	0.1564	58
SHNG	2/2/2018	3.26	0.0347	59
CPM	2/2/2018	1.62	0.0346	60
WLCON	2/2/2018	9.62	0.2731	61
PBB	2/2/2018	13.4	0.3144	62
PSE	2/2/2018	246	2.8922	63
ACPB2	2/2/2018	527	5.3812	64
CIP	2/2/2018	189	9.8987	65
DFNN	2/2/2018	8.7	0.4822	66
AEV	2/2/2018	75.3	2.0733	67
ANS	2/2/2018	7.05	0.0845	68
VLL	2/2/2018	6.7	0.2438	69
PBC	2/2/2018	25.95	0.3661	70
AT	2/2/2018	5	0.0968	71
MVC	2/2/2018	3.29	0.1372	72
JGS	2/2/2018	77.4	2.1848	73
MFIN	2/2/2018	3.06	0.1243	74
CEI	2/2/2018	0.25	0.0075	75
SMC2C	2/2/2018	81	0.5839	76
APL	2/2/2018	0.05	0.0023	77
2GO	2/2/2018	19.6	1.0724	78
PRC	2/2/2018	9.35	0.459	79
PGOLD	2/2/2018	53	1.024	80
RRHI	2/2/2018	96.9	2.6611	81
GMAP	2/2/2018	5.78	0.1005	82
CSB	2/2/2018	9.99	0.3559	83
LR	2/2/2018	4.14	0.167	84
EDC	2/2/2018	5.68	0.0818	85
IMI	2/2/2018	21.2	0.6865	86
PHEN	2/2/2018	1.66	0.0465	87
SLI	2/2/2018	1.04	0.0203	88
LBC	2/2/2018	15.5	0.4269	89
SMC2F	2/2/2018	81	0.7348	90
SUN	2/2/2018	0.86	0.0323	91
AP	2/2/2018	41	0.7264	92
BSC	2/2/2018	0.23	0.0074	93
PNB	2/2/2018	57.7	1.0282	94
GMA7	2/2/2018	5.9	0.0578	95
IMP	2/2/2018	2.85	0.1893	96
COL	2/2/2018	15.6	0.219	97
PRIM	2/2/2018	1.25	0.1031	98
DD	2/2/2018	39.5	1.0036	99
^SERVICE	2/2/2018	1718.11	23.0915	100
PAX	2/2/2018	3.02	0.1332	101
EEI	2/2/2018	12.36	0.3613	102
VITA	2/2/2018	2.07	0.0669	103
BMM	2/2/2018	122	10.2097	104
PTC	2/2/2018	104.1	4.4832	105
NIKL	2/2/2018	6.89	0.2268	106
SBS	2/2/2018	6.39	0.2219	107
LPZ	2/2/2018	5.69	0.1411	108
ELI	2/2/2018	0.66	0.0217	109
FPH	2/2/2018	63.05	0.8738	110
MBC	2/2/2018	18.42	1.2467	111
CYBR	2/2/2018	0.46	0.0151	112
FLI	2/2/2018	1.87	0.0392	113
DNA	2/2/2018	4.02	0.3448	114
PHA	2/2/2018	0.37	0.0149	115
VUL	2/2/2018	0.84	0.0276	116
LMG	2/2/2018	4.2	0.151	117
ABG	2/2/2018	19.2	0.9829	118
DMC	2/2/2018	14.56	0.3302	119
MAXS	2/2/2018	18.18	0.2578	120
PIP	2/2/2018	2.89	0.0961	121
CEB	2/2/2018	100.9	1.3108	122
PCOR	2/2/2018	9.8	0.1854	123
ORE	2/2/2018	0.92	0.0271	124
TEL	2/2/2018	1558	41.597	125
CLC	2/2/2018	9.16	0.262	126
PPG	2/2/2018	2.16	0.0876	127
IRC	2/2/2018	0.79	0.0343	128
IS	2/2/2018	0.15	0.0047	129
DAVIN	2/2/2018	5.55	0.1535	130
AR	2/2/2018	0	0.0001	131
UNI	2/2/2018	0.25	0.0146	132
GLO	2/2/2018	1899	47.8054	133
^MINING-OIL	2/2/2018	12083.05	241.8464	134
SCC	2/2/2018	37.9	0.9801	135
PX	2/2/2018	6.94	0.2432	136
LIHC	2/2/2018	0.74	0.0311	137
LCB	2/2/2018	0.16	0.0031	138
AGF	2/2/2018	3.51	0.248	139