How My First Quant Strategy Outperformed the Market

My First Strategy and Its Market-Beating Returns

Three months ago, I started to manage a stock account of a friend of mine. The strategy is as follows. We calculate a proprietary momentum index on SP500 stocks. If GSPC price is trading above its 200-day SMA (simple moving average), we buy 10 stocks with the highest momentum metric. Otherwise, we don’t do anything and stay in cash.

Momentum index I’m ta…