Strategy Backtests
Cross-sectional relative-strength ranking and backtests over the cached ticker universe, plus a single-ticker trend-following view.
Methodology
1. 12-1 cross-sectional momentum
Each ticker is ranked by its trailing 12-month return, excluding the most recent month (Jegadeesh & Titman, 1993). Excluding the last 21 trading days removes short-term reversal effects driven by liquidity and market-impact noise rather than the underlying medium-term trend. There is no absolute gate — the top 5 are always held, even in a broadly falling market.
2. Risk-adjusted ranking
The Risk-Adj column divides the 12-1 return by trailing 1-year annualised volatility, so a name isn't flattered purely for being erratic. Note the leaderboard itself still sorts on the raw 12-1 return — the risk-adjusted score is shown alongside it, and it is the Screener's Min Risk-Adjusted Score filter that actually acts on it.
3. Universe backtest
The universe chart simulates an equal-weight portfolio of the top 5 ranked names, rebalanced monthly, with a 7.5 bps round-trip cost charged on turnover at each rebalance.
4. Single-ticker backtest
The single-ticker view runs a time-series variant on that same ticker, under the same cost assumption: long when its own 12-1 score is positive, flat (cash) otherwise.
Strategy & Backtest Horizon
Pick the ranking strategy and the lookback period for the historical portfolio growth simulation and benchmarks
466.8%
Total Return since 2022-10-18
121.0%
Total Return since 2022-10-18
177.1%
Total Return since 2022-10-18
Backtest Trajectory
Growth of an initial $10,000 investment over time, assuming a 7.5 bps round-trip transaction cost
Performance Notes
Returns: Over 2022-10-18 → 2026-10-14, the strategy returned a cumulative 466.8% (54.8% CAGR) and outperformed both benchmarks — S&P 500 at 121.0% and Nasdaq 100 at 177.1% over the same window.
Risk-adjusted: Sharpe Return earned per unit of risk taken. Higher is better; above 1 is generally considered strong. Details → 1.31 and Sortino Sharpe's cousin: excess return per unit of *downside* volatility only, so big up-days aren't counted as risk. Details → 2.15 vs SPY's 1.11 / QQQ's 1.15 Sharpe (all net of a 4.0% risk-free rate). Versus the S&P 500 the strategy carried a beta How much the stock moves for each 1% move in the S&P 500. >1 = more volatile than the market. Details → of 1.67, generated 18.6% of annualised alpha Return left over after paying for the market exposure the strategy actually took. Positive means it added something beta alone wouldn't. Details → on top of that beta exposure, and posted an information ratio How consistently the strategy beat its benchmark: average outperformance divided by how erratic that outperformance was. Details → of 1.1.
Execution & risk: Monthly (21-day) rebalance, equal-weight top 5, ~0.0% annual one-way turnover. Worst drawdown The worst peak-to-trough drop over the period — the deepest loss you'd have sat through if you bought the top. Details → was -42.8% ( Calmar Annualised return divided by the worst drawdown — reward per unit of maximum pain. Details → 1.28); SPY -18.8%, QQQ -22.8%. Costs of 7.5 bps are charged on traded notional at each rebalance. Backtest on a fixed large-cap universe — survivorship and small-sample caveats apply; not investment advice.