Trade only on a single designated day per week

1. Open positions only if S&P500 above its 200 days MA

Rank all stocks based on volatility adjusted momentum

1. Slop exponential regression based on past 90 days
2. Multiply with the coefficient of determination R^2 for the same period
3. Disqualify stocks which is trading below 100 days moving average or a recent gap in excess of 15%
4. Calculate position sizes using the Average True Range (ATR) formula for 20 days
   1. Account_Value * Risk_Factor / ATR20

Re-balance portfolio once a week on the designated day

1. Check if a stock needs to be sold

   1. No longer in the top 20% of the volatility adjusted momentum ranking
   2. Trading below its 100 days MA
   3. A gap over 15%
   4. Is not anymore a part of the index

2. If cash available after the portfolio re-balancing process

   1. Check if the index in positive trend by verifying it is above its 200 days MA
   2. Buy from the top of the list following the same ranking rule as described in step 2 by verifying
      1. The stock is not already owned (and)
      2. It is in the top 20% of the momentum ranked list
      3. buy till we run out of cash

Re-balance portfolio positions every other time of the designated day

1. Re-calculate the target size same as step 2.4 but with the updated portfolio size value and ATR20 values
2. Compare target size with actual size
3. re-balance if needed

1. Example: portfolio/start_date.xlsx