Momentum (12-1)

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Price-based

Long recent winners and short recent losers based on intermediate-term momentum while skipping the most recent month.

Performance Summary

Annual Return

+7.46%

Sharpe

0.399

Max Drawdown

-31.32%

Win Rate

+55.93%

Annual Volatility

+18.71%

Cumulative Return

+42.46%

Rebalance Periods

59

Avg Long / Short Basket

49.4 / 49.4

Methodology

  • Compute monthly returns from yfinance daily adjusted closes.
  • Use months t-12..t-2 average return as the signal (12-1 momentum).
  • Long top decile and short bottom decile each month.

Minimum symbols required: 40 | Feasibility note: Implemented successfully.

Equity Curve (Long-Short)

Drawdown

Rolling Sharpe (12M)

Monthly Long / Short / L-S Returns

Latest Signal Snapshot

As of: 2026-06-30

Top Longs

WDC: 0.225, STX: 0.202, MU: 0.193, INTC: 0.173, TER: 0.142, AMD: 0.142, GLW: 0.125, LRCX: 0.121, WBD: 0.114, ALB: 0.113

Top Shorts

IT: -0.077, GDDY: -0.061, CHTR: -0.060, NOW: -0.059, CSGP: -0.054, WDAY: -0.053, CPRT: -0.048, FICO: -0.047, FDS: -0.047, TTD: -0.046

Individual Stock Stats (Latest Signal)

Long count

10

Short count

10

Avg long score

0.155

Avg short score

-0.055

Strongest long score: 0.225 | Most negative short score: -0.077
SymbolSideRankScore
WDCLong10.225
STXLong20.202
MULong30.193
INTCLong40.173
TERLong50.142
AMDLong60.142
GLWLong70.125
LRCXLong80.121
WBDLong90.114
ALBLong100.113
ITShort1-0.077
GDDYShort2-0.061
CHTRShort3-0.060
NOWShort4-0.059
CSGPShort5-0.054
WDAYShort6-0.053
CPRTShort7-0.048
FICOShort8-0.047
FDSShort9-0.047
TTDShort10-0.046
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