Midcap Momentum Portfolio

@Keyur_Joshi Couple of things if we have to simplify momentum investing (not in any specific order).

1. We are identifying which stocks are in upward momentum in any universe and ranking them.
2. After that we have two choices only – if we find equity as a class is going down, we can shift the entire pf to cash or gold. If we want to remain invested, look at relative performance of the stocks in the universe and choose the strongest ones.
3. Price change is the only true reflection of momentum. Every other operation we do on the price change will only reduce the returns (but can reduce drawdowns as well).
4. Even parameters like Standard deviation or any other factor will depress returns only.
5. Momentum investing is rule based, non-discretionary investment.
6. Build ones own system with specific rules and stick to it.

Others:

1. Instead of using momentum ratio and Z scores, wanted to check if there could be any difference with Sharpe returns. The calculations below the yellow line are for that purpose. However, I continue to use momentum ratio and Z score only.
2. No, I have not used any backtesting library.