Momentum portfolio
A rules-based portfolio built from the stocks on this dashboard. Every Friday it ranks them on risk-adjusted momentum, holds the top five that are in an uptrend, and weights them for the highest expected Sharpe ratio, with no stock above 25%. When the mix gets too volatile it holds part in cash. Rebuilt from the closing prices after every US session.
What it holds now
Growth of $100
The portfolio after trading costs against the same rules without the volatility control, an equal-weight basket of every dashboard stock, and the S&P 500 (SPY). Pick a range to restart every line at $100 there; drag to pan, hover to read.
Drawdown
How far each line sits below its own previous high, over the same range. The red area is the portfolio; the marker shows its deepest point in the range.
Portfolio value at each close
Max drawdown: the record and the risk ahead
The five deepest drawdowns
How the weights moved
Target weight of each stock at every weekly rebalance, with cash on top. Hover a week to see the mix.
Momentum ranking at the latest close
Every dashboard stock scored on the same rule. A stock qualifies only if it closes above its 100-day average with a positive score; the top five that qualify are the candidates for Friday's rebalance.