Price-based
Long recent winners and short recent losers based on intermediate-term momentum while skipping the most recent month.
Annual Return
+8.74%
Sharpe
0.503
Max Drawdown
-31.47%
Win Rate
+55.93%
Annual Volatility
+17.40%
Cumulative Return
+51.00%
Rebalance Periods
59
Avg Long / Short Basket
49.6 / 49.6
Minimum symbols required: 40 | Feasibility note: Implemented successfully.
As of: 2026-04-30
Top Longs
WDC: 0.170, MU: 0.148, STX: 0.138, TER: 0.106, LRCX: 0.106, GLW: 0.106, NEM: 0.100, WBD: 0.096, GEV: 0.090, HII: 0.085
Top Shorts
IT: -0.085, TTD: -0.066, GDDY: -0.056, FDS: -0.056, WDAY: -0.051, KMX: -0.046, LULU: -0.046, TYL: -0.042, PAYC: -0.041, ROP: -0.040
Long count
10
Short count
10
Avg long score
0.115
Avg short score
-0.053
| Symbol | Side | Rank | Score |
|---|---|---|---|
| WDC | Long | 1 | 0.170 |
| MU | Long | 2 | 0.148 |
| STX | Long | 3 | 0.138 |
| TER | Long | 4 | 0.106 |
| LRCX | Long | 5 | 0.106 |
| GLW | Long | 6 | 0.106 |
| NEM | Long | 7 | 0.100 |
| WBD | Long | 8 | 0.096 |
| GEV | Long | 9 | 0.090 |
| HII | Long | 10 | 0.085 |
| IT | Short | 1 | -0.085 |
| TTD | Short | 2 | -0.066 |
| GDDY | Short | 3 | -0.056 |
| FDS | Short | 4 | -0.056 |
| WDAY | Short | 5 | -0.051 |
| KMX | Short | 6 | -0.046 |
| LULU | Short | 7 | -0.046 |
| TYL | Short | 8 | -0.042 |
| PAYC | Short | 9 | -0.041 |
| ROP | Short | 10 | -0.040 |
