| Symbols to Hold | ||
| Hold Symbols with | weight value | |
| Rebalance Frequency |
Rotation models attempt to stay 100% in the market by rotating in and out of symbols based on a weight value. The source of the weight can be any indicator Quantacula supports. Classic oscillators like RSI and CMO are obvious choices, or you could build your own indicator in QStudio for more complex weightings.
Price Momentum Oscillator is used to identify stocks on a go-go growth trajectory. It does reasonably well with either weekly or monthly rebalancing and either weekly or monthly Data Scale settings, and seems best with the NASDAQ 100 (a fair place to look for the go-go growth jet set), and anywhere from 5-15 stocks selected. Fewer stocks gives you a bumpier ride with mildly higher returns. Default PMO params and Weekly settings (both for rebalancing and indicator) looks promising for deeper investigation.... a decent win rate, but significantly bigger average winning trades than losers.
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| Summary | Model | Benchmark |
| Profit | ||
| Profit % | ||
| APR | ||
| Sharpe Ratio | ||
| Sortino Ratio | ||
| Exposure | ||
| Alpha α | N/A | |
| Beta β | N/A | |
| Profit Factor | ||
| Recovery Factor | ||
| Drawdown | Model | Benchmark |
| Maximum Drawdown | ||
| Maximum Drawdown % | ||
| Maximum Drawdown Date | ||
| Interest and Commission | Model | Benchmark |
| Commission Paid | ||
| Cash Interest Earned | ||
| Margin Interest Paid |
| Positions | Model | Benchmark |
| Number of Positions | ||
| Number of NSF Positions (not taken) | ||
| Win Rate | ||
| Average Profit | ||
| Average Profit % | ||
| Average Hold Time (Bars) | ||
| Winning Positions | Model | Benchmark |
| Number of Winners | ||
| Winning % | ||
| Winners Avg Profit | ||
| Winners Avg Profit % | ||
| Winners Avg Hold Time (Bars) | ||
| Losing Positions | Model | Benchmark |
| Number of Losers | ||
| Losing % | ||
| Losers Avg Loss | ||
| Losers Avg Loss % | ||
| Losers Avg Hold Time (Bars) |
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
| Position | Symbol | Quantity | Entry Date | Entry Price | Last Price | Profit | Profit % |
| Position | Symbol | Quantity | Entry Date | Entry Price | Exit Date | Exit Price | Profit | Profit % |
