Quantamental Momentum Edge (QME) Strategy
Delivering consistent alpha by combining value, momentum, and trend strength across stocks and ETFs using a rules-based system.
Strategy Framework
Multi-Factor + Trend Confirmation
1. Quant Value Filter
Fundamental Edge- Piotroski F-Score ≥ 7
- Low EV/EBITDA or P/E ratio
- Positive Free Cash Flow & ROE > 15%
- Debt/Equity < 0.5
Filters out weak companies to focus on fundamentally strong players.
2. Momentum & Relative Strength
Quantitative Edge- 12-month momentum rank in top 20%
- 6-month price momentum > 15%
- Analyst earnings revisions positive last 90 days
Identifies leaders with continued institutional interest and trend power.
3. Trend Confirmation
Technical Edge- Price > SMA(200)
- Golden cross: SMA(50) > SMA(200)
- MACD Histogram > 0 and rising
- RSI(14) between 50–70
Confirms that momentum stocks are in a sustained, healthy trend.
4. Volume Confirmation
Smart Money Signal- OBV trending up with price
- Chaikin Money Flow > 0.1
- Optional: Volume spike 1.5x 20-day average on breakout
Avoids false breakouts by confirming institutional buying.
5. Timing Entry
Tactical Edge- RSI(2) < 20 on daily timeframe (short-term dip)
- Pullback to 21-day EMA with holding OBV support
Optimized entry for better risk/reward instead of chasing.
Risk Management & Position Sizing
- Max 2% risk per position based on ATR or support level
- Stop loss: Below recent swing low / SMA(50)
- Trailing stop: 20% profit or SMA(21) cross
- Portfolio cap: Max 25–30% in a single sector
Strategy Insights
Sample Scoring Model
| Factor | Score |
|---|---|
| F-Score ≥ 7 | +2 |
| EV/EBITDA < Sector Avg | +1 |
| 12m Momentum > 80th %ile | +2 |
| SMA(50) > SMA(200) | +1 |
| MACD Positive & Rising | +1 |
| OBV > 30-day average | +1 |
| RSI(2) < 20 (entry only) | +1 |
| Total Score ≥ 7 | Buy Candidate |
Use Cases
- Swing trades (2-6 week holding period)
- Core portfolio positions (3-12 month holding period)
- Weekly rebalanced algo portfolios
- Automated trading systems
QME Strategy Screener
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