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.
Screener
Specify quantitative volatility and trend filters to screen the cached ticker universe.
Screener Matches
Found 1 symbols matching criteria
| Rank | Ticker | Price | 12-1 Return | Annual Volatility How much the price swings day to day, scaled to a yearly figure. Higher means a bumpier, riskier ride. Details → | Risk-Adj Score A name's ranking score divided by its 1-year annualised volatility, so a big move on a wild stock isn't flattered. Details → | Trend | Actions |
|---|---|---|---|---|---|---|---|
| 1 | AAPL | $342.96 | +34.28% | 24.4% | 1.41 | Bullish |