Execution of Timeseries Momentum Strategy

AI & Machine learning
1

Hi,



I am going through "Momentum Trading Strategy" and am following the Timeseries Momentum Strategy on NSE stocks. I have a doubt about how to interpret the recommendation that this strategy throws up.



Every day I run it with dates moving from now to 1 year back. A list of stocks are recommended by this strategy. But everyday 1 or more stocks from earlier runs are gone and new ones are added. How is this supposed to be managed? Should I exit the position the moment the strategy stops listing it or should I wait till the holdtime suggested when the stock was picked up by the strategy?

2

Hi Shreyas,



You need not check the stock recommendations everyday. If you have set the holding period as 1 month for example, then every month, you can check the new signals and rebalance your portfolio.



Thanks

Rushda

3

ok thanks, Rushda