Execution of Timeseries Momentum Strategy

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?

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

ok thanks, Rushda