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Author Topic: An example of the Price Momentum delay filter  (Read 9822 times)
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« on: January 02, 2007, 12:55:50 PM »


In order to explain more how the various Ultimate Price Momentum portfolios are built, here is an example of the delay filter.

Let's take as an example what's happening today.

DML is recommended as a sell in all the Price Momentum portfolios. This is because all the Ultimate Series portfolios sell at the same time as the Price Momentum Weekly portfolio.

Now, let's have a look how DML has been bought into those portfolios.

The Price Momentum Weekly portfolio does not use any delay, so it has bought DML as soon as it has popped up through our filters. It has been bought on the 2006-11-06.
One week later, it was still recommended as a buy into the Price Momentum Weekly portfolio, so it also became a buy for the Ultimate Price Momentum v1 portfolio. This portfolio has bought DML on the 2006-11-13.
And one other week later, it is the Ultimate Price Momentum v2 portfolio that has bought DML, on the 2006-11-20.
And the same goes on until 5 weeks later, for the Ultimate Price Momentum v5 portfolio.

Then, of course, those delayed buys affect how the portfolios behave. That is why we have published this study to explain how it changes the numbers of stocks to hold, the numbers of orders to execute and the volatility of the portfolios:

I hope that this example makes it more clear than ever.
« Last Edit: May 04, 2008, 10:44:37 PM by Super Stock Picker » Logged
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