Enter a symbol:
For Toronto: TSX:TD
 



 
You are here :  Home > Articles > Page 4 > Ultimate Price Momentum Series Study > Part 2
 ULTIMATE PRICE MOMENTUM SERIES STUDY - PART 2
 

   This is the continuation of the first part of this study in which has been explained how much the performances of the portfolios were improved by adding various length delay filters to the former Price Momentum Weekly portfolio. Let's see now what happens to the number of orders to execute and the number of stock to hold in the Ultimate Price Momentum Series portfolios.

  • Lower number of orders to execute

   Another benefit from this delay filtering strategy is that it reduces by a lot the number of trades to execute in order to build the portfolio as shown in the following table:

 Portfolio Name
Number of trades since inception
Number of winning trades
Number of losing trades
Ratio winning/losing trades
Mean number of orders per week
40
22
18 1.22 2.21
25
16
9 1.77 1.36
17
10
7 1.43 1.03
10
7
3 2.33 0.62
9
7
2 3.5 0.6
7
5
2 2.5 0.48

   This is a very interesting fact about using those delay filters because not only it had improved by a lot the overall return of the portfolios but it had also reduced the number of transactions by a factor of 4 for 3 of the portfolios (v3, v4 and v5). So, not only, you can expect more from your investments in terms of returns but it also cost you less (in commissions) to build those high-performance portfolios.
   Also, note how the mean number of orders per week goes lower when the filter delay increases. This is a big asset for those portfolios which could expect less than one order(a buy or a sell) per week, and that is very convenient for people who want an easy way to manage their portfolio.

  • Lower number of stocks to hold

   Something else that appears with this study is that the Ultimate Price Momentum portfolios hold less stocks than the former Price Momentum Weekly portfolio. See the figures in the following table:

 Portfolio Name
Minimum number of stocks hold
Maximum number of stocks hold
Mean number
of stocks hold
3
7
4.79
2
6
3.87
1
5
3.23
1
4
2.83
1
4
2.57
1
4
2.37

   Of course, as everybody would have expected these results, using the delay filtering strategy reduces the number of stocks to hold in the portfolio.
   As far as the Price Momentum Weekly portfolio is concerned, it has a fixed limit of 3 stocks minimum and 10 stocks maximum to hold at any time.
   Theoretically, the Ultimate Price Momentum Series portfolios have a minimum limit of 0 (that has quite some chance to be reached one day) and the same maximum limit of 10 (That has very low probability to be ever reached, even for the 1-week delay portfolio). But practically, those limits (especially the upper one) have very little chance to be ever reached, and it could expected that the trend showing in the above table will continue, so that you can expect that the longer the delay, the lower number of stocks to hold. That is a great improvement for those that want to invest a lower capital but do not want to have too small holdings killed by commission costs, but at the same time, reducing the number of stocks hold also increases the volatility of the portfolio, and that is the main drawback of the longest delay filtered portfolios.

 

   What conclusion to draw?
   So, everybody should now be wondering "which one is the best, then?". Well, there is no obvious answer.
   What is clear after this study is that if you want to copy the orders of one of our portfolios, then do not choose the Price Momentum Weekly, it is now obsolete. Any of the Ultimate Price Momentum portfolios shows better performances, triggers less trades and holds less stocks.
   But which one of the five to use? It all depends on your investor profile. The performances of the five Ultimate Price Momentum portfolios have to be seen as comparable because it is not clear yet if one can sustain the lead. But what is sure is that the longer the delay filter, the less trades you have to do and the lower number of stocks you have to hold. The portfolio with the longest delay filter also show the best ratio of winning/losing trades. But they also come with the highest volatility, so the highest risk.
   Nobody then will be surprised to hear as a conclusion that the best Ultimate Price Momentum portfolio for you is the one that matches the more your own risk versus return profile. That is the same old story you will here everywhere in the investment world...

 
 
 
Copyright 2004-2019 Agnosoft