12-1 Relative Strength (Top-5 Rotation)

Strategy Backtests

Cross-sectional relative-strength ranking and backtests over the cached ticker universe, plus a single-ticker trend-following view.

AAPL · Rank #2 of 2
Universe Ranking & Backtest Single-Ticker Scanner Screener
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.

Single-Ticker Scanner

Evaluate a specific ticker's trend strength and historical trend-following backtest net returns.

12-1 Momentum Score

+34.28%

1yr return ex-last 21d · risk-adj A name's ranking score divided by its 1-year annualised volatility, so a big move on a wild stock isn't flattered. Details → 1.41 ( vol How much the price swings day to day, scaled to a yearly figure. Higher means a bumpier, riskier ride. Details → 24.4%)

Current Trend Regime

BULLISH (Long)

Based on positive/negative 12-1 momentum

Universe Rank

#2 of 2

Relative position in the ranked universe

Current Spot Price

$342.96

Last daily close price

Multi-Horizon Returns

1 Month +3.51%
3 Months +3.0%
6 Months +28.95%
12-1 Momentum +34.28%

Trend-Following Backtest

Cumulative return comparison versus buying and holding the stock, trading long while the 12-1 score is positive and cash otherwise.

Number of Trades 12
Win Rate 66.7%
Profit Factor 3.65
Time Invested 80.1%
Strategy Total Return CAGR Volatility How much the price swings day to day, scaled to a yearly figure. Higher means a bumpier, riskier ride. Details → Sharpe Return earned per unit of risk taken. Higher is better; above 1 is generally considered strong. Details → Sortino Sharpe's cousin: excess return per unit of *downside* volatility only, so big up-days aren't counted as risk. Details → Max DD The worst peak-to-trough drop over the period — the deepest loss you'd have sat through if you bought the top. Details → Calmar Annualised return divided by the worst drawdown — reward per unit of maximum pain. Details →
12-1 Relative Strength (Top-5 Rotation) 94.1% 18.2% 24.1% 0.65 0.88 -33.4% 0.54
Buy & Hold AAPL 145.5% 25.4% 26.8% 0.83 1.19 -33.4% 0.76

Historical Momentum Score

Rolling 12-1 momentum score over time. Positive zones indicate periods of trend accumulation; crossings mark trend-regime shifts.

Notes

Drawdown control: the strategy exits to cash once the ticker's own 12-1 momentum score turns negative, rather than staying fully exposed through sustained downtrends.

Trend capture: because it only enters on positive 12-1 momentum, it participates in sustained uptrends while sitting out extended sideways or declining periods.