Online Trading Summit 2018
Momentum-based Workflow Using Simple
Quant Models and Data Visualization Techniques
Jet Mojica
Founder, BOH Society
https://www.bohsociety.com
Disclaimer
The information contained herein is not, and should not be construed
as an offer to sell or the solicitation of an offer to buy any securities.
The information set forth has been obtained from sources which we
believe to be reliable, however, these sources cannot be guaranteed as
to their accuracy or completeness. The information and content
expressed herein are subject to change without notice. Trading forex,
cryptocurrencies, stocks, and commodities carry a high degree of risk
and can result in significant losses. Investors should always operate
with a concrete risk-management plan in place, including the use of
strict stop loss points to control potential losses. All information herein
are for educational purposes only so careful discretion is advised.
In the stock market, investors
should stick to stocks that
outperform the market and sell
the laggards.
- William J. O’Neil
RETAIL INVESTORS FOCUS
EFFORT ON MARKET TIMING
TRADING
SYSTEMS
RISK
MANAGEMENT
GENERATE
IDEAS BASED ON
SIGNALS AND
FILTERS
PROFIT
OBJECTIVES
Focusing on risk-reward
and trade management
buy
A simple trend following system
using the 50-day moving average that
defines the strategic bias and
generate buy and sell signals.
sell sell
buy
buy
sell
buy
DATA
INVESTMENT
UNIVERSE
FA / TA
FRAMEWORK
IDEAS BASED
ON SIGNALS
AND FILTERS
Initial Filter:
Price > 50MA
MEETS CRITERIA
P>50MA
Price
Volume
Positioning
DATA
Financials
Economic
A TYPICAL IDEA GENERATION WORKFLOW
RISK
MANAGEMENT
RULES
PROFIT
OBJECTIVES
INVESTMENT
UNIVERSE
WATCH LIST
TRADING
SYSTEM
TRADE
EXECUTION
IDEAS BASED
ON SIGNALS
AND FILTERS
Models that make you look and
models that make you act
Outline
• In this presentation, I will outline my preferred systematic approach
to momentum-based trading.
• We always hear people talk about momentum strategies, but we
don’t really hear about their workflow.
• Whether trading equities, currencies, commodities, or
cryptocurrencies, the preferred way is to always trade with the trend.
But for whatever reason, retail traders still struggle with the concept.
• The other way to think of the trend is in terms of momentum or the
rate of change in price over a specified time horizon.
Agenda
• Momentum Strategy Workflow
• Ranking Models and Data Visualization
• An Introduction to Momentum Efficiency
What is Momentum?
12-month change
= ((Current Close / Close 12-months ago) – 1) x 100
Year-to-date change
= ((Current Close / First Day of the Year Open) – 1) x 100
3-month change
= ((Current Close / Close 3-months ago) – 1) x 100
5-day change
= ((Current Close / Close 5-days ago) – 1) x 100
2-day change
= ((Current Close / Close 2-days ago) – 1) x 100
Momentum Strategies
• A typical momentum strategy ranks securities by their 12-month change
and buying the top 30% performing securities and selling the bottom 30%
securities.
• A simpler momentum strategy is to rank securities by their YTD change.
We’ve found them to be more stable and generate higher returns than
using the 12-month change.
• You can tweak the ranking methodology (i.e. shorter or longer duration) to
better capture your trading style and investment time horizon, but the
point is to organize data in a systematic way.
• There are more advanced ranking systems, but the above strategies will
help us get started.
Ranking securities based on YTD returns
TOP 10%
Ticker
ETSY
SQ
AMD
SYNT
ESND
WIX
NFLX
TRIP
NEWR
CMG
M
DPS
HLF
AMZN
DK
SHAK
SVU
TVPT
HFC
CARA
IEP
SEDG
NTAP
Z
ADBE
ATADL
DPZ
APC
PRMW
DDS
CVRR
MSI
NOV
ANF
MRC
ENR
NSIT
ANDV
MA
RL
SGEN
TWTR
INTU
DLTH
Company Name
YTD CHG
Etsy Inc
94.44%
Square, Inc.
87.12%
Advanced Micro Devices Inc
87.09%
Syntel
76.20%
Essendant Inc
74.12%
Wix.com Ltd
73.88%
Netflix, Inc.
71.57%
TripAdvisor Inc
68.94%
New Relic
68.29%
Chipotle Mexican Grill Inc
59.72%
Macys Inc
54.48%
Dr Pepper Snapple Group, Inc.
54.02%
Herbalife
53.75%
Amazon
51.79%
Delek Us Holdings Inc
50.06%
Shake Shack Inc
47.82%
Supervalu Inc
46.89%
Travelport
45.94%
Hollyfrontier Corp
45.76%
Cara Therapeutics
43.68%
Icahn Entrpres Depositary Units Repr Units Of Lp
41.99%
Interests
SolarEdge Technologies
41.83%
NetApp Inc
41.33%
Zillow Group Inc
38.17%
Adobe Systems Inc
37.00%
Tatneft Oao
37.00%
Dominos Pizza Inc
36.29%
Anadarko Petroleum Corp
36.25%
Primo Water Corporation
35.28%
Dillards Inc
35.09%
CVR Refining
33.61%
Motorola Solutions, Inc.
33.55%
National Oilwell Varco Inc
32.99%
Abercrombie & Fitch Company
32.88%
Mrc Global Inc
32.51%
Energizer Holdings Inc
31.88%
Insight Enterprises Inc
31.67%
Andeavor
31.63%
Mastercard
31.62%
Ralph Lauren Corp
31.46%
Seattle Genetics
30.24%
Twitter
30.16%
Intuit Corp
29.23%
Duluth Holdings Inc.
29.16%
Ticker
RENN
QTM
CYOU
WIN
SUPV
PBYI
SHLD
LB
TEO
NTLA
AKRX
ZYNE
PPC
SAEX
PAM
DISH
INSY
MXL
UNFI
MHK
DB
COTY
YRCW
JMEI
CMCM
CRBP
HTZ
BPL
OC
LGF
ALB
SMG
ODP
AVP
TSN
FTR
TOL
TIVO
LAD
GE
JCP
LBTYA
FSLR
NTES
Company Name
Renren Inc.
Quantum Corp.
ChangYou.com
Windstream Holdings Inc
Grupo Supervielle S.A.
Puma Biotechnology Inc
Sears Holdings Corp
L Brands Inc
Telecom Argentina Sa
Intellia Therapeutics Inc
Akorn
Zynerba Phamaceuticals Inc
Pilgrims Pride
SAExploration Holdings
Pampa Energia S.A.
Dish Network Corp
Insys Therapeutics Inc
Maxlinear Inc
United Natural Foods Inc
Mohawk Industries Inc
Deutsche-Bank
Coty Inc
YRC Worldwide Inc
Jumei Intl Holdings
Cheetah Mobile Inc.
Corbus Phamaceuticals Holding
Hertz Global Holdings Inc
Buckeye Partners L P
Owens Corning Inc
Lions Gate
Albemarle Corporation
Scotts Miracle-Gro Company
Office Depot Inc
Avon Products Inc
Tyson Foods Inc
Frontier Communications Corporation
Toll Brothers Inc
TiVo Corporation
Lithia Motors Inc
General Electric Co
JC Penney Co Inc
Liberty Global A
First Solar, Inc.
NetEase
YTD CHG
-80.73%
-70.82%
-64.23%
-63.00%
-54.05%
-50.92%
-50.28%
-49.63%
-45.38%
-43.75%
-42.74%
-42.71%
-42.03%
-40.45%
-37.77%
-36.71%
-36.24%
-35.80%
-34.84%
-33.60%
-33.16%
-32.93%
-32.51%
-32.33%
-32.01%
-31.94%
-31.65%
-31.29%
-31.08%
-30.35%
-28.64%
-28.50%
-27.89%
-27.67%
-27.13%
-27.10%
-26.24%
-25.64%
-25.53%
-25.03%
-24.92%
-24.86%
-24.63%
-24.31%
BOTTOM 10%
ETSY
SQ
End-July +53%!
HLF
Mid-February up +23%
NEWR
Know Thy Market Capitalization
Number of Stocks
PHILIPPINE CASE
42
Micro Cap (Less than US$60 million)
44
Small Cap (Less than US$200 million but Greater than US$60 million)
43
Mid Cap (Less than US$1 billion but Greater than US$200 million)
51
Large Cap (Greater than US$1 billion)
YTD benchmark returns: PH CASE
Large caps can gain 10% to 30% per annum
Mid caps can gain 30% to 100% per annum
Small caps can gain 100% to 200% per annum
Micro caps can gain 200% to 400% per annum
LEADERS
LAGGARDS
Ticker
USDTRY
USDINR
USDZAR
EURSEK
USDCAD
EURAUD
GBPAUD
USDCHF
EURNZD
EURCAD
GBPNZD
GBPCAD
EURGBP
NZDCAD
USDNOK
EURCHF
GBPCHF
AUDNZD
USDJPY
AUDCAD
EURUSD
GBPUSD
CHFJPY
NZDUSD
AUDCHF
EURJPY
GBPJPY
CADJPY
AUDUSD
NZDJPY
USDMXN
XAUUSD
AUDJPY
XAGUSD
Name
US Dollar Turkish Lira
US Dollar Indian Rupee
US Dollar South African Rand
Euro Swedish Krona
US Dollar Canadan Dollar
Euro Australian Dollar
Britsh Pound Australian Dollar
US Dollar Swiss Franc
Euro New Zealand Dollar
Euro Canadian Dollar
Britsh Pound New Zealand Dollar
Britsh Pound Canadian Dollar
Euro British Pound
New Zealand Dollar Canadan Dollar
US Dollar Norwegian Krone
Euro Swiss Franc
Britsh Pound Swiss Franc
Australian Dollar New Zealand Dollar
US Dollar Japanese Yen
Australian Dollar Canadian Dollar
Euro US Dollar
Britsh Pound US Dollar
Swiss Franc Japanese Yen
New Zealand Dollar US Dollar
Australian Dollar Swiss Franc
Euro Japanese Yen
Britsh Pound Japanese Yen
Canadian Dollar Japanese Yen
Australian Canadian Dollar US Dollar
New Zealand Dollar Japanese Yen
US Dollar Mexican Peso
Gold
Australian Dollar Japanese Yen
Silver
Close
4.890
68.645
13.148
10.246
1.302
1.581
1.774
0.988
1.715
1.525
1.924
1.711
0.891
0.889
8.133
1.158
1.299
1.085
110.970
0.965
1.171
1.314
112.310
0.683
0.732
130.000
145.850
85.270
0.741
75.780
18.531
1,223.190
82.230
15.514
YTDCHG RANK YTD
29.17%
1
7.50%
2
6.25%
3
4.06%
4
3.47%
5
2.74%
6
2.38%
7
1.40%
9
1.27%
10
0.99%
11
0.91%
12
0.62%
13
0.37%
14
-0.29%
15
-0.94%
16
-1.04%
17
-1.39%
18
-1.46%
19
-1.51%
20
-1.73%
21
-2.40%
22
-2.75%
23
-2.89%
24
-3.64%
25
-3.70%
26
-3.89%
27
-4.22%
28
-4.82%
29
-5.04%
30
-5.09%
31
-5.73%
32
-6.16%
33
-6.47%
34
-8.77%
35
What do we know?
• Emerging market FX badly
battered by the US dollar
• Commodity currencies have been
hardest hit by the appreciation of
the US Dollar and Japanese Yen
• Leaders: USD and JPY
• The rest of FX crosses have been
choppy and ranged bound this
2018.
Ticker
USDTRY
USDINR
USDZAR
EURSEK
USDCAD
EURAUD
GBPAUD
USDCHF
EURNZD
EURCAD
GBPNZD
GBPCAD
EURGBP
NZDCAD
USDNOK
EURCHF
GBPCHF
AUDNZD
USDJPY
AUDCAD
EURUSD
GBPUSD
CHFJPY
NZDUSD
AUDCHF
EURJPY
GBPJPY
CADJPY
AUDUSD
NZDJPY
USDMXN
XAUUSD
AUDJPY
XAGUSD
Name
US Dollar Turkish Lira
US Dollar Indian Rupee
US Dollar South African Rand
Euro Swedish Krona
US Dollar Canadan Dollar
Euro Australian Dollar
Britsh Pound Australian Dollar
US Dollar Swiss Franc
Euro New Zealand Dollar
Euro Canadian Dollar
Britsh Pound New Zealand Dollar
Britsh Pound Canadian Dollar
Euro British Pound
New Zealand Dollar Canadan Dollar
US Dollar Norwegian Krone
Euro Swiss Franc
Britsh Pound Swiss Franc
Australian Dollar New Zealand Dollar
US Dollar Japanese Yen
Australian Dollar Canadian Dollar
Euro US Dollar
Britsh Pound US Dollar
Swiss Franc Japanese Yen
New Zealand Dollar US Dollar
Australian Dollar Swiss Franc
Euro Japanese Yen
Britsh Pound Japanese Yen
Canadian Dollar Japanese Yen
Australian Canadian Dollar US Dollar
New Zealand Dollar Japanese Yen
US Dollar Mexican Peso
Gold
Australian Dollar Japanese Yen
Silver
Close
4.890
68.645
13.148
10.246
1.302
1.581
1.774
0.988
1.715
1.525
1.924
1.711
0.891
0.889
8.133
1.158
1.299
1.085
110.970
0.965
1.171
1.314
112.310
0.683
0.732
130.000
145.850
85.270
0.741
75.780
18.531
1,223.190
82.230
15.514
YTDCHG RANK YTD
29.17%
1
7.50%
2
6.25%
3
4.06%
4
3.47%
5
2.74%
6
2.38%
7
1.40%
9
1.27%
10
0.99%
11
0.91%
12
0.62%
13
0.37%
14
-0.29%
15
-0.94%
16
-1.04%
17
-1.39%
18
-1.46%
19
-1.51%
20
-1.73%
21
-2.40%
22
-2.75%
23
-2.89%
24
-3.64%
25
-3.70%
26
-3.89%
27
-4.22%
28
-4.82%
29
-5.04%
30
-5.09%
31
-5.73%
32
-6.16%
33
-6.47%
34
-8.77%
35
TOP 30%
Ticker
USDTRY
USDINR
USDZAR
EURSEK
USDCAD
EURAUD
GBPAUD
USDCHF
EURNZD
EURCAD
Name
US Dollar Turkish Lira
US Dollar Indian Rupee
US Dollar South African Rand
Euro Swedish Krona
US Dollar Canadan Dollar
Euro Australian Dollar
Britsh Pound Australian Dollar
US Dollar Swiss Franc
Euro New Zealand Dollar
Euro Canadian Dollar
Close
4.890
68.645
13.148
10.246
1.302
1.581
1.774
0.988
1.715
1.525
YTDCHG
29.17%
7.50%
6.25%
4.06%
3.47%
2.74%
2.38%
1.40%
1.27%
0.99%
Close
15.514
82.230
1,223.190
18.531
75.780
0.741
85.270
145.850
130.000
0.732
YTDCHG
-8.77%
-6.47%
-6.16%
-5.73%
-5.09%
-5.04%
-4.82%
-4.22%
-3.89%
-3.70%
BOTTOM 30%
Ticker
XAGUSD
AUDJPY
XAUUSD
USDMXN
NZDJPY
AUDUSD
CADJPY
GBPJPY
EURJPY
AUDCHF
Name
Silver
Australian Dollar Japanese Yen
Gold
US Dollar Mexican Peso
New Zealand Dollar Japanese Yen
Australian Canadian Dollar US Dollar
Canadian Dollar Japanese Yen
Britsh Pound Japanese Yen
Euro Japanese Yen
Australian Dollar Swiss Franc
USD/TRY
YTD scorecard approach
• All securities “reset” to zero percent at the start of the year. In short, it’s a level
playing field and anyone can be a momentum leader.
• The YTD scorecard approach is very useful during the first 3 weeks to 3 months of
the year because tracking the performance of leaders and laggards is still easy.
• The premise of the YTD approach is that once a security has an established trend
early in the year, it will continue to move in the direction of the trend until some
outside force stops it or it gets “overbought”.
• After the third month, you’ll need more sophisticated ranking models to capture
momentum rotation and to always be on fast horses.
Ticker
USDTRY
USDZAR
CHFJPY
EURGBP
USDINR
USDCAD
EURCAD
NZDCAD
USDNOK
EURAUD
USDJPY
AUDCAD
EURNZD
EURJPY
EURSEK
AUDNZD
NZDJPY
GBPCAD
AUDUSD
AUDJPY
NZDUSD
GBPAUD
CADJPY
USDCHF
GBPNZD
GBPJPY
EURCHF
EURUSD
GBPUSD
AUDCHF
GBPCHF
XAGUSD
XAUUSD
USDMXN
Name
US Dollar Turkish Lira
US Dollar South African Rand
Swiss Franc Japanese Yen
Euro British Pound
US Dollar Indian Rupee
US Dollar Canadan Dollar
Euro Canadian Dollar
New Zealand Dollar Canadan Dollar
US Dollar Norwegian Krone
Euro Australian Dollar
US Dollar Japanese Yen
Australian Dollar Canadian Dollar
Euro New Zealand Dollar
Euro Japanese Yen
Euro Swedish Krona
Australian Dollar New Zealand Dollar
New Zealand Dollar Japanese Yen
Britsh Pound Canadian Dollar
Australian Canadian Dollar US Dollar
Australian Dollar Japanese Yen
New Zealand Dollar US Dollar
Britsh Pound Australian Dollar
Canadian Dollar Japanese Yen
US Dollar Swiss Franc
Britsh Pound New Zealand Dollar
Britsh Pound Japanese Yen
Euro Swiss Franc
Euro US Dollar
Britsh Pound US Dollar
Australian Dollar Swiss Franc
Britsh Pound Swiss Franc
Silver
Gold
US Dollar Mexican Peso
Close
4.890
13.148
112.310
0.891
68.645
1.302
1.525
0.889
8.133
1.581
110.970
0.965
1.715
130.000
10.246
1.085
75.780
1.711
0.741
82.230
0.683
1.774
85.270
0.988
1.924
145.850
1.158
1.171
1.314
0.732
1.299
15.514
1,223.190
18.531
3MCHG RANK 3M
10.78%
1
5.70%
2
1.86%
3
1.71%
4
1.28%
5
1.10%
7
0.99%
8
0.78%
9
0.67%
10
0.63%
11
0.56%
12
0.35%
13
0.19%
14
-0.26%
15
-0.32%
16
-0.43%
17
-0.47%
18
-0.81%
19
-0.83%
20
-0.89%
21
-0.99%
22
-1.16%
23
-1.23%
24
-1.32%
25
-1.60%
26
-2.05%
27
-2.08%
28
-2.28%
29
-2.69%
30
-2.70%
31
-3.83%
32
-5.30%
33
-5.31%
34
-5.32%
35
YTDCHG RANK YTD
29.17%
1
6.25%
3
-2.89%
24
0.37%
14
7.50%
2
3.47%
5
0.99%
11
-0.29%
15
-0.94%
16
2.74%
6
-1.51%
20
-1.73%
21
1.27%
10
-3.89%
27
4.06%
4
-1.46%
19
-5.09%
31
0.62%
13
-5.04%
30
-6.47%
34
-3.64%
25
2.38%
7
-4.82%
29
1.40%
9
0.91%
12
-4.22%
28
-1.04%
17
-2.40%
22
-2.75%
23
-3.70%
26
-1.39%
18
-8.77%
35
-6.16%
33
-5.73%
32
What do we know?
• Dollar strengthened sharply against base
metals, British Pound, and the Euro in the
last 3 months.
• But USD strength unable to push commodity
currencies like AUD, NZD and CAD lower
over the same 3 month period unlike at the
start of the year.
• JPY no longer appreciating as much
compared to the first three months of the
year and appears stuck in a tight range.
FOCUS ON
EXTREMES
IGNORE
Compare short-term and
longer term percentage
change to find the best
momentum trades
Ticker
USDTRY
USDZAR
CHFJPY
EURGBP
USDINR
USDCAD
EURCAD
NZDCAD
USDNOK
EURAUD
USDJPY
AUDCAD
EURNZD
EURJPY
EURSEK
AUDNZD
NZDJPY
GBPCAD
AUDUSD
AUDJPY
NZDUSD
GBPAUD
CADJPY
USDCHF
GBPNZD
GBPJPY
EURCHF
EURUSD
GBPUSD
AUDCHF
GBPCHF
XAGUSD
XAUUSD
USDMXN
Name
US Dollar Turkish Lira
US Dollar South African Rand
Swiss Franc Japanese Yen
Euro British Pound
US Dollar Indian Rupee
US Dollar Canadan Dollar
Euro Canadian Dollar
New Zealand Dollar Canadan Dollar
US Dollar Norwegian Krone
Euro Australian Dollar
US Dollar Japanese Yen
Australian Dollar Canadian Dollar
Euro New Zealand Dollar
Euro Japanese Yen
Euro Swedish Krona
Australian Dollar New Zealand Dollar
New Zealand Dollar Japanese Yen
Britsh Pound Canadian Dollar
Australian Canadian Dollar US Dollar
Australian Dollar Japanese Yen
New Zealand Dollar US Dollar
Britsh Pound Australian Dollar
Canadian Dollar Japanese Yen
US Dollar Swiss Franc
Britsh Pound New Zealand Dollar
Britsh Pound Japanese Yen
Euro Swiss Franc
Euro US Dollar
Britsh Pound US Dollar
Australian Dollar Swiss Franc
Britsh Pound Swiss Franc
Silver
Gold
US Dollar Mexican Peso
Close
4.890
13.148
112.310
0.891
68.645
1.302
1.525
0.889
8.133
1.581
110.970
0.965
1.715
130.000
10.246
1.085
75.780
1.711
0.741
82.230
0.683
1.774
85.270
0.988
1.924
145.850
1.158
1.171
1.314
0.732
1.299
15.514
1,223.190
18.531
3MCHG RANK 3M
10.78%
1
5.70%
2
1.86%
3
1.71%
4
1.28%
5
1.10%
7
0.99%
8
0.78%
9
0.67%
10
0.63%
11
0.56%
12
0.35%
13
0.19%
14
-0.26%
15
-0.32%
16
-0.43%
17
-0.47%
18
-0.81%
19
-0.83%
20
-0.89%
21
-0.99%
22
-1.16%
23
-1.23%
24
-1.32%
25
-1.60%
26
-2.05%
27
-2.08%
28
-2.28%
29
-2.69%
30
-2.70%
31
-3.83%
32
-5.30%
33
-5.31%
34
-5.32%
35
YTDCHG RANK YTD
29.17%
1
6.25%
3
-2.89%
24
0.37%
14
7.50%
2
3.47%
5
0.99%
11
-0.29%
15
-0.94%
16
2.74%
6
-1.51%
20
-1.73%
21
1.27%
10
-3.89%
27
4.06%
4
-1.46%
19
-5.09%
31
0.62%
13
-5.04%
30
-6.47%
34
-3.64%
25
2.38%
7
-4.82%
29
1.40%
9
0.91%
12
-4.22%
28
-1.04%
17
-2.40%
22
-2.75%
23
-3.70%
26
-1.39%
18
-8.77%
35
-6.16%
33
-5.73%
32
Relative
Performance
Summary
Ticker
USDTRY
USDINR
USDZAR
EURSEK
USDCAD
EURAUD
GBPAUD
USDCHF
EURNZD
EURCAD
GBPNZD
GBPCAD
EURGBP
NZDCAD
USDNOK
EURCHF
GBPCHF
AUDNZD
USDJPY
AUDCAD
EURUSD
GBPUSD
CHFJPY
NZDUSD
AUDCHF
EURJPY
GBPJPY
CADJPY
AUDUSD
NZDJPY
USDMXN
XAUUSD
AUDJPY
XAGUSD
Name
US Dollar Turkish Lira
US Dollar Indian Rupee
US Dollar South African Rand
Euro Swedish Krona
US Dollar Canadan Dollar
Euro Australian Dollar
Britsh Pound Australian Dollar
US Dollar Swiss Franc
Euro New Zealand Dollar
Euro Canadian Dollar
Britsh Pound New Zealand Dollar
Britsh Pound Canadian Dollar
Euro British Pound
New Zealand Dollar Canadan Dollar
US Dollar Norwegian Krone
Euro Swiss Franc
Britsh Pound Swiss Franc
Australian Dollar New Zealand Dollar
US Dollar Japanese Yen
Australian Dollar Canadian Dollar
Euro US Dollar
Britsh Pound US Dollar
Swiss Franc Japanese Yen
New Zealand Dollar US Dollar
Australian Dollar Swiss Franc
Euro Japanese Yen
Britsh Pound Japanese Yen
Canadian Dollar Japanese Yen
Australian Canadian Dollar US Dollar
New Zealand Dollar Japanese Yen
US Dollar Mexican Peso
Gold
Australian Dollar Japanese Yen
Silver
Close
4.890
68.645
13.148
10.246
1.302
1.581
1.774
0.988
1.715
1.525
1.924
1.711
0.891
0.889
8.133
1.158
1.299
1.085
110.970
0.965
1.171
1.314
112.310
0.683
0.732
130.000
145.850
85.270
0.741
75.780
18.531
1,223.190
82.230
15.514
1DCHG
2DCHG 5DCHG 1MCHG 3MCHG 12MCHG
0.67%
0.76%
0.08%
6.48%
10.78%
40.36%
0.03%
0.06%
-0.44%
-0.34%
1.28%
7.18%
-0.32%
-0.24%
-1.04%
-2.88%
5.70%
-0.42%
-0.54%
-0.59%
-0.55%
-0.03%
-0.32%
7.64%
-0.38%
-0.28%
-1.05%
-0.89%
1.10%
3.67%
0.31%
0.37%
0.39%
-0.11%
0.63%
5.87%
0.08%
0.12%
0.13%
-0.95%
-1.16%
9.49%
-0.60%
-0.64%
-0.55%
-0.51%
-1.32%
2.36%
-0.05%
-0.10%
-0.17%
-0.45%
0.19%
4.89%
0.11%
0.20%
-0.81%
-0.69%
0.99%
3.24%
-0.27%
-0.35%
-0.43%
-1.28%
-1.60%
8.47%
-0.12%
-0.04%
-1.06%
-1.52%
-0.81%
6.77%
0.24%
0.26%
0.27%
0.85%
1.71%
-3.36%
0.15%
0.30%
-0.64%
-0.25%
0.78%
-1.58%
-0.71%
-0.67%
-0.56%
0.89%
0.67%
3.69%
-0.13%
-0.16%
-0.30%
-0.30%
-2.08%
1.63%
-0.36%
-0.40%
-0.57%
-1.14%
-3.83%
5.10%
-0.36%
-0.47%
-0.56%
-0.34%
-0.43%
-0.92%
0.03%
-0.07%
-0.21%
0.32%
0.56%
1.78%
-0.22%
-0.17%
-1.19%
-0.58%
0.35%
-2.50%
0.48%
0.49%
0.25%
0.64%
-2.28%
-0.90%
0.25%
0.30%
-0.02%
-0.64%
-2.69%
2.68%
0.65%
0.58%
0.35%
0.84%
1.86%
-1.03%
0.52%
0.57%
0.41%
0.65%
-0.99%
-5.35%
-0.45%
-0.52%
-0.68%
-0.19%
-2.70%
-4.01%
0.49%
0.42%
0.05%
0.52%
-0.26%
0.57%
0.28%
0.18%
-0.23%
-0.32%
-2.05%
4.01%
0.41%
0.22%
0.86%
1.23%
-1.23%
-2.57%
0.16%
0.12%
-0.15%
0.31%
-0.83%
-6.25%
0.53%
0.52%
0.20%
0.96%
-0.47%
-4.14%
-0.49%
-0.52%
-1.85%
-3.56%
-5.32%
4.53%
0.05%
0.01%
-0.17%
-2.72%
-5.31%
-4.69%
0.18%
0.05%
-0.35%
0.62%
-0.89%
-5.01%
0.15%
0.06%
0.15%
-3.38%
-5.30%
-9.17%
YTDCHG
29.17%
7.50%
6.25%
4.06%
3.47%
2.74%
2.38%
1.40%
1.27%
0.99%
0.91%
0.62%
0.37%
-0.29%
-0.94%
-1.04%
-1.39%
-1.46%
-1.51%
-1.73%
-2.40%
-2.75%
-2.89%
-3.64%
-3.70%
-3.89%
-4.22%
-4.82%
-5.04%
-5.09%
-5.73%
-6.16%
-6.47%
-8.77%
Use data visualization to identify
the best opportunities
Look for outliers!
Wikipedia defines an
outlier as an observation
point that is distant from
other observations.
YTD % CHANGE
3 MONTHS % CHANGE
SHORT-TERM % CHANGE
+-
++
- -
- +
LONGER TERM % CHANGE
SHORT-TERM % CHANGE
IMPROVING
LEADING
LAGGING
WEAKENING
LONGER TERM % CHANGE
SHORT-TERM % CHANGE
IMPROVING
LEADING
LAGGING
WEAKENING
LONGER TERM % CHANGE
Use multi-duration scatter plot to identify outliers…
Improving
Leading
Lagging
Weakening
Use multi-duration scatter plot to identify outliers…
Improving
Leading
Lagging
Weakening
H1 chart
CAD/JPY
CAD/JPY still
supported by 5D
and 1M
momentum.
(See scatter plot
on previous slide.)
H1 chart
USD/MXN
Multi-Duration Combinations
2 days versus 5 days
5 days versus 1 month
1 month versus 3 months
3 months versus YTD
* Can also be applied to intraday multi-duration combination, but only if you can link realtime database to your scatter plot models.
Otherwise, too tedious.
Scalping
Scalping / Swing
Position Trading
Trend Following
So far…
 We’ve covered how to generate ideas using a YTD scorecard
model. Helpful in identifying leaders, laggards and themes.
 We’ve covered how to track momentum rotation using a multiduration table and scatter plot model.
 We’ve also covered how scatter plot models are not just useful for
momentum trades. How these types of visualization models are
good for generating ideas for various types of trading strategies.
Momentum = Return
Volatility = Risk
It’s never just one thing.
A MORE ROBUST IDEA GENERATION WORKFLOW
DATA
RISK
MANAGEMENT
RULES
INVESTMENT
UNIVERSE
FACTOR 1
FACTOR 2
PROFIT
OBJECTIVES
TARGET
PORTFOLIO
FACTOR 3
FACTOR 4
TRADE
EXECUTION
TRADE IDEAS
BASED ON A
COMBINATION
OF FACTORS
High Volatility
Volatility is a measure
of the variation of
returns of a security
or market index
Low Volatility
Efficiency Frontier
LOW RISK, HIGH REWARD
HIGH RISK, HIGH REWARD
LOW RISK, LOW REWARD
HIGH RISK, LOW REWARD
HEALTHCARE SECTOR
TECHNOLOGY SECTOR
CONSUMER GOODS SECTOR
Summary
• Momentum strategies can be as simple as ranking securities based 12-month change or
their YTD performance, which help us buy leaders and sell laggards systematically.
• A powerful extension to simple ranking models is to rank in terms of short and long period
momentum. While long period momentum help us define big picture trends, knowing short
term swings will help us avoid consolidation or identify possible momentum rotation
among leaders just before a new rally phase.
• Using scatter plot models to analyze momentum can enhance trade identification. Through
scatter plots, trade selection can be reduced to just focusing on outliers.
• Finally, we showed that it’s never just one thing. While simple momentum ranking models
will always tell us which trades are relevant, the approach does not take into account
volatility. Combining momentum and volatility into a unified framework brings us much
closer to finding the best opportunities in the market.
With a momentum efficiency framework, idea generation
stops being just about what trade is moving.
The workflow becomes about looking for ideas that that
capture traits and characteristics that can give you the
best possible risk-adjusted returns.
Learn how you can be an extraordinary
trader by visiting www.bohsociety.com