A few weeks ago I wrote an extensive post on a simple momentum strategy in E-Mini Futures. The basic idea is to buy the S&P500 E-Mini futures when the contract makes a new intraday high. This is subject to the qualification that the Internal Bar Strength fall below a selected threshold level. In order words, after a period of short-term weakness – indicated by the low reading of the Internal Bar Strength – we buy when the futures recover to make a new intraday high, suggesting continued forward momentum.
IBS is quite a useful trading indicator, which you can learn more about in the blog post:
A characteristic of momentum strategies is that they can often be applied successfully across several markets, usually with simple tweaks to the strategy parameters. As a case in point, take our Tech Momentum strategy, listed on the Systematic Strategies Algotrading platform which you can find out more about here:
This swing trading strategy applies similar momentum concepts to exploits long and short momentum effects in technology sector ETFs, focusing on the PROSHARES ULTRAPRO QQQ (TQQQ) and PROSHARES ULTRAPRO SHORT QQQ (SQQQ). Does it work? The results speak for themselves:
In four years of live trading the strategy has produced a compound annual return of 48.9%, with a Sharpe Ratio of 1.78 and Sortino Ratio of 2.98. 2018 is proving to be a banner year for the strategy, which is up by more than 48% YTD.
A very attractive feature of this momentum approach is that it is almost completely uncorrelated with the market and with a beta of just over 1 is hardly more risky than the market portfolio.
You can find out more about the Tech Momentum and other momentum strategies and how to trade them live in your own account on our Strategy Leaderboard:
