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.
Single-Ticker Scanner
Evaluate a specific ticker's trend strength and historical trend-following backtest net returns.
Scan Failed
Ticker 'A' has insufficient price history (need at least 273 trading days).