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Momentum Stocks Screener in the Style of "Stocks on the Move" / "Trading Evolved" by Andreas Clenow

The idea of this script is coming from the discord server of https://www.reddit.com/r/hebelwerk/ which is https://discord.gg/hebelwerk.
My adjustments of the code are based on the initial version written by member fcyolohama.

How To Run

Run EXE

  1. Open the latest successful run here: https://github.com/skyte/momentum/actions
  2. Download exe-package at the bottom (need to be logged in into github)
  3. Exctract the momentum folder and enter it
    • If needed open config.yaml and put in your preferences
  4. Run momentum.exe

Run Python Script

  1. Open config.yaml and put in your preferences
  2. Install requirements: python -m pip install -r requirements.txt
  3. Run momentum.py

Separate Steps

Instead of running momentum.py you can also:

  1. Run momentum_data.py to aggregate the price data
  2. Run momentum_posis.py to aggregate your momentum positions list

*** Output ***

  • in the output folder you will find:
    • your default list of positions: mmtm_posis.csv
    • your default TradingView watchlist: Momentum.txt
    • as well as the same thing for all other momentum calculations that you defined
      • in config.yaml add or remove values from MOMENTUM_CALCULATION_PAST_DAYS

Config

Private File

You can create a config_private.yaml next to config.yaml and overwrite some parameters like API_KEY. That way you don't get conflicts when pulling a new version.

Data Sources

Can be switched with the field DATA_SOURCE

Yahoo Finance

(Benchmark: Loads 1500 Stocks in 20m)

  • Is default, no config necessary.
TD Ameritrade

(Benchmark: Loads 1500 Stocks in 18m)

  1. Create TDAmeritrade Developer Account and App
  2. Put in your API_KEY in config.yaml and change DATA_SOURCE.

Calculation

Momentum

Exponential regression is calculated like in this Excel graphic from the book: http://www.followingthetrend.com/stocks-on-the-move-figures-and-charts/#prettyPhoto[gallery]/15/
There is also a TradingView Indicator available: https://www.tradingview.com/script/QWHjwm4B-Exponential-Regression-Slope-Annualized-with-R-squared-Histogram/