Recently for my own trading, I have been researching rotational strategies on both the weekly and monthly timeframes. The most common indicator that I use for ranking stocks is Rate of Change (ROC) of the closing price. I read about using Rate of Change on the EMA to rank stocks. I liked a small twist on the idea and wanted to know how it compared to what I am using.
Then this led me down another path of trying other ranking methods with an interesting result using historical volatility (HV) that I did not expect.
Click here for the spreadsheet.
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Good Quant Trading,
Cesar
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