NQ Trend Following OMX

Definition

NQ Trend Following OMX is a trend-following equity strategy with a medium to long horizon that aims to follow trends on the Stockholm Stock Exchange through breakouts.

Purpose

To follow trends on the Stockholm Stock Exchange by identifying stocks that break out to new price levels.

Method

Weekly trend following on stocks. The strategy selects companies that break new 52-week highs and uses the 100-day low as a stop loss. The strategy filters out stocks with large gaps and applies volatility-adjusted portfolio weights.

Key parameters

TypeTrend following
AssetsShares
HorizonMedium/long
Signal updateWeekly
Stop loss100-day low
Outbreak levelNew 52-week highs
Position sizeVolatility-adjusted

Peer-reviewed

Research by Erik Hansén (CFTe) and Jens Lennen (AFA, CIIA)

Read more about Erik and Jens →

Developed by Erik Hansén (CFTe), NeuroQuant (NQ NeuroQuant AB)

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