Tickfloor

Momentum Trading Strategy Backtests: 210 Tested

Data last updated

Rules that buy what has recently risen, or rank assets by recent gain and hold the leaders.

59 of 210 strategies finished ahead of the benchmark on the raw number, and 5 had an unadjusted p-value under 0.05. None cleared the correction for trying 1,774 tests in total (a q-value below 0.10), so no result here is a confirmed edge. Scored 2026-10-31, using data up to 2025-03-15.

Strategies here tested on crypto, ETFs, US stocks. See the full family index, the full method and every result, or download the raw registry (JSON).

Results

RuleMarketVs benchmarkSamplep-valueCorrected qReceipt
Alt/BTC ratio above its 50-day SMA (alts that beat Bitcoin) receipt
Source: c1022/retail		crypto+130.8 pts/yr1,444 rebalances0.0150.692On-site receipt
Alt/BTC ratio above its 50-day SMA, restricted to the 9 alts with the lowest 90-day BTC beta (A x B) receipt
Source: c1023/r2		crypto+87.9 pts/yr1,402 rebalances0.0570.902On-site receipt
Crypto momentum consensus: top half on every horizon of 14/21/28 days receipt
Source: c1022/redteam		crypto+56.9 pts/yr390 rebalances0.0080.634On-site receipt
Two-week momentum only in greed, BTC in fear receipt
Source: Antoniou, Doukas & Subrahmanyam 2013 JFQA (sentiment and momentum); alternative.me F&G		crypto+39.5 pts/yr393 rebalances0.0500.870On-site receipt
Full test: Fear & Greed Timing
Crypto 3-week momentum with a 50% hold buffer receipt
Source: u/VettaQ, r/CryptoMarkets 1wp3tyi (the cost objection / zero-fee rerun); Novy-Marx & Velikov 2016 RFS (buffer rules cut anomaly trading costs); Liu, Tsyvinski & Wu 2022 JF. Follow-up of r25-crypto-mom3w (p = 0.139); a new test		crypto+31.6 pts/yr395 rebalances0.0610.940On-site receipt
Momentum acceleration (recent momentum minus scaled longer momentum) receipt
Source: c1022/crypto		crypto+30.3 pts/yr391 rebalances0.1151.000On-site receipt
Vol-neutralized cross-sectional momentum (crypto) receipt
Source: Asness, Moskowitz, Pedersen (2013) JF 'Value and Momentum Everywhere'		crypto+29.2 pts/yr2,377 rebalances0.2371.000On-site receipt
Crypto 3-week momentum, rank weights across the whole cross-section (no top-K cut) receipt
Source: c1022/redteam		crypto+24.0 pts/yr395 rebalances0.0080.618On-site receipt
Volume-weighted moving average (VWMA) cross receipt
Source: TradingView VWMA strategy scripts, YouTube 'volume-weighted MA' tutorials		crypto+23.2 pts/yr2,248 trades0.2441.000On-site receipt
Full test: Moving Average Crossover
Crypto 3-week cross-sectional momentum, weekly receipt
Source: Liu, Tsyvinski & Wu 2022 JF (common risk factors in cryptocurrency)		crypto+20.6 pts/yr395 rebalances0.1391.000On-site receipt
12-1 cross-sectional momentum, top 4 of 40 large caps, monthly (wide US stocks) receipt
Source: Jegadeesh & Titman 1993		US stocks+18.8 pts/yr90 rebalances0.0470.870On-site receipt
Dispersion-conditioned momentum: pick winners only when coins disagree receipt
Source: c1022/crypto		crypto+17.5 pts/yr395 rebalances0.2741.000On-site receipt
Crypto momentum with the most recent week skipped (28-7) receipt
Source: c1022/redteam		crypto+11.0 pts/yr395 rebalances0.2801.000On-site receipt
Crypto residual momentum: BTC-beta-adjusted 4-week return (skip 3 days) scaled by residual vol, weekly receipt
Source: c1022/acad		crypto+10.5 pts/yr334 rebalances0.3871.000On-site receipt
Crypto dual momentum (top 30% by 3 weeks, above SMA20 and positive), weekly receipt
Source: Liu, Tsyvinski & Wu 2022 JF; Liu & Tsyvinski 2021 RFS (risks and returns of cryptocurrency)		crypto+10.3 pts/yr350 rebalances0.3181.000On-site receipt
Crypto-style top-N cross-sectional momentum, long-only (wide US stocks) receipt
Source: Jegadeesh-Titman style cross-sectional momentum applied to crypto; long-only rewrite of wide-equity-factors-crypto-cross-sectional-momentum-topn		US stocks+9.7 pts/yr437 rebalances0.2311.000On-site receipt
Crypto nearness to the 365-day high receipt
Source: George & Hwang 2004 JF (52-week-high momentum); Li & Yu 2012 JFE (anchoring on the 52-week high)		crypto+9.3 pts/yr395 rebalances0.3041.000On-site receipt
12-1 cross-sectional momentum, top 4 of 40 large caps, monthly receipt
Source: Jegadeesh & Titman 1993		US stocks+8.8 pts/yr90 rebalances0.1371.000On-site receipt
Full test: 12-1 Month Momentum
Absolute strength momentum: long only when 12-1 return clears a fixed historical percentile (Gulen-Petkova) receipt
Source: c1022/acad		US stocks+8.3 pts/yr78 rebalances0.1321.000On-site receipt
Rising relative-strength rank: the 8 large caps in the top half on 126-day return whose rank improved most over the last 63 days, monthly receipt
Source: c1031/stockxs		US stocks+6.0 pts/yr92 rebalances0.0811.000On-site receipt
13-week up/down volume ratio leaders receipt
Source: Investor's Business Daily Up/Down Volume Ratio and Accumulation/Distribution rating (O'Neil)		US stocks+5.8 pts/yr430 rebalances0.0690.956On-site receipt
12-1 momentum among high-volatility stocks with the sleeve volatility-scaled to a 10% tracking target (wide US stocks), monthly receipt
Source: c1023/r2		US stocks+5.1 pts/yr102 rebalances0.0520.870On-site receipt
Dual momentum QQQ or GLD, AGG as the safe asset receipt
Source: Antonacci 2014 'Dual Momentum Investing'; Moskowitz, Ooi & Pedersen 2012 JFE. Follow-up of r25-qqq-agg-dualmom (p = 0.044); a new test. Static-tilt risk declared: it holds a risk asset most months against a 1/3 AGG benchmark share, so the static twin decides		ETFs+4.7 pts/yr242 rebalances0.0710.976On-site receipt
12-7 Momentum receipt
Source: Novy-Marx 2012 (momentum in intermediate past)		US stocks+4.3 pts/yr102 rebalances0.1061.000On-site receipt
Continuing overreaction (signed-volume-weighted past returns) receipt
Source: Byun, Lim & Yun 2016 JFQA ('Continuing overreaction and stock return predictability')		US stocks+3.4 pts/yr90 rebalances0.1961.000On-site receipt
Momentum switched off when comomentum is high receipt
Source: Lou & Polk 2022 RFS ('Comomentum: inferring arbitrage activity from return correlations')		US stocks+3.3 pts/yr90 rebalances0.1621.000On-site receipt
Volatility-managed 12-1 momentum sleeve (wide US stocks) receipt
Source: Barroso & Santa-Clara 2015 JFE; Daniel & Moskowitz 2016 JFE (momentum crashes, risk-managed momentum)		US stocks+3.2 pts/yr102 rebalances0.1571.000On-site receipt
Momentum among high-volatility stocks: 12-1 winners within the top half by volatility (Bandarchuk-Hilscher) receipt
Source: c1022/acad		US stocks+3.2 pts/yr90 rebalances0.2101.000On-site receipt
12-1 momentum among high-volatility, top-half dollar-volume names with the sleeve volatility-scaled to a 10% tracking target (wide US stocks), monthly receipt
Source: c1024/r3		US stocks+3.1 pts/yr102 rebalances0.1981.000On-site receipt
12-1 momentum scaled in over three months (wide US stocks) receipt
Source: u/IndependentCause9435, r/ASX_Bets 1wo5lrs (split an entry into smaller pieces); Jegadeesh & Titman 1993 JF (overlapping holding periods phase positions in); Novy-Marx & Velikov 2016 RFS		US stocks+2.8 pts/yr102 rebalances0.1991.000On-site receipt
IBD-style relative strength rating: the 8 large caps with the highest 0.4/0.2/0.2/0.2 weighted four-quarter return, monthly receipt
Source: c1031/stockxs		US stocks+2.8 pts/yr89 rebalances0.3201.000On-site receipt
Consistent Momentum receipt
Source: Grinblatt & Moskowitz 2004 (consistent winners)		US stocks+2.7 pts/yr102 rebalances0.2051.000On-site receipt
Momentum Pullback receipt
Source: Jegadeesh & Titman 1993 plus Jegadeesh 1990 short-term reversal		US stocks+2.5 pts/yr102 rebalances0.2031.000On-site receipt
Top-decile 12-1 momentum held only while the EW universe is above its 200-day SMA, equal weight otherwise (wide US stocks) receipt
Source: c1023/r2		US stocks+2.3 pts/yr102 rebalances0.3131.000On-site receipt
Commodity ETF 12-1 momentum, top 2 of 5 receipt
Source: Miffre & Rallis 2007 JBF (momentum strategies in commodity futures); Erb & Harvey 2006 FAJ		ETFs+1.9 pts/yr242 rebalances0.2321.000On-site receipt
Stock momentum in trending markets, reversal in choppy ones (wide US stocks) receipt
Source: u/GemeriCorp, r/Trading 1wop3th (regime drift); u/ImNotSelling (adapt to conditions); Kaufman 2013; Jegadeesh & Titman 1993; Jegadeesh 1990		US stocks+1.7 pts/yr102 rebalances0.3321.000On-site receipt
Momentum without event days: 12-1 return after removing each stock's 8 highest-volume days, top 8, monthly receipt
Source: c1031/stockxs		US stocks+1.6 pts/yr89 rebalances0.3731.000On-site receipt
Cross-asset 12-1 momentum, top 5 of 20 ETFs receipt
Source: u/QuanTradin, r/Trading 1wop3th; Asness, Moskowitz & Pedersen 2013 JF 'Value and momentum everywhere'. The universe is the 25-ETF list minus the futures-based USO, UNG, DBC, UUP and the cash-like SHY, fixed now		ETFs+1.4 pts/yr242 rebalances0.0931.000On-site receipt
Low-volume momentum winners (wide US stocks) receipt
Source: Lee & Swaminathan 2000 JF 'Price momentum and trading volume' (low-volume winners beat high-volume winners)		US stocks+1.4 pts/yr102 rebalances0.2921.000On-site receipt
Sector momentum, top 3 of 11 sectors, 266-name map (wide US stocks) receipt
Source: Moskowitz & Grinblatt 1999 JF (do industries explain momentum?)		US stocks+1.3 pts/yr102 rebalances0.3281.000On-site receipt
Within-Sector 12-1 Momentum receipt
Source: Asness, Porter & Stevens 2000 (industry-neutral momentum)		US stocks+1.2 pts/yr102 rebalances0.3101.000On-site receipt
Alpha momentum: long the quintile with the highest 12-1 month CAPM alpha against the equal-weight market (Huehn-Scholz) receipt
Source: c1024/acad3		US stocks+1.1 pts/yr90 rebalances0.3731.000On-site receipt
Top 5 of 20 ETFs by 12-1 momentum with a 20% volatility-managed overlay (remainder in AGG/IEF) receipt
Source: c1023/r2		ETFs+1.1 pts/yr242 rebalances0.1571.000On-site receipt
Accelerating dual momentum (1+3+6 month) across QQQ, DIA, GLD with TLT fallback receipt
Source: c1022/macro		ETFs+1.1 pts/yr242 rebalances0.2661.000On-site receipt
QQQ or DIA by 6-month relative strength receipt
Source: u/AlgoTradingQuant, r/Trading 1wop3th (of thousands of rules tested on SPY/QQQ only a dozen or two beat buy-and-hold); Barberis & Shleifer 2003 JFE (style investing and style momentum)		ETFs+1.0 pts/yr242 rebalances0.1591.000On-site receipt
Jegadeesh-Titman 6/6 overlapping momentum (six monthly cohorts, 1-week skip) receipt
Source: c1022/acad		US stocks+1.0 pts/yr90 rebalances0.3581.000On-site receipt
Relative win rate: the 8 large caps that beat the equal-weight basket in the most 5-day blocks of the past 26 weeks, monthly receipt
Source: c1031/stockxs		US stocks+0.9 pts/yr95 rebalances0.4221.000On-site receipt
Sector ETF nearness to the 52-week high, top 3 receipt
Source: George & Hwang 2004 JF (52-week-high momentum, with an industry version)		ETFs+0.7 pts/yr102 rebalances0.3881.000On-site receipt
Full test: 52-Week High
25% QQQ plus 75% in the best 6-month bond ETF receipt
Source: Moskowitz, Ooi & Pedersen 2012 JFE; Asness, Moskowitz & Pedersen 2013 JF. Near-miss follow-up of r25-duration-mom-6040 (p = 0.002), which held 60% QQQ against a 25% benchmark share; 25% here matches the benchmark, so only the duration choice is tested. A new test		ETFs+0.6 pts/yr242 rebalances0.1831.000On-site receipt
Leader persistence: the 8 large caps that have been in the top quarter on 12-1 momentum at the most of the last 6 month-ends, monthly receipt
Source: c1031/stockxs		US stocks+0.6 pts/yr84 rebalances0.4631.000On-site receipt
12-7 momentum restricted to the top-half dollar-volume names (wide US stocks), monthly receipt
Source: c1023/r2		US stocks+0.6 pts/yr102 rebalances0.4331.000On-site receipt
12-1 momentum top 20% with the sleeve volatility matched to the EW universe, residual in cash, exposure check (e) as a hard gate (wide US stocks), monthly receipt
Source: c1024/r3		US stocks+0.5 pts/yr102 rebalances0.4261.000On-site receipt
Frog in Pan receipt
Source: Da, Gurun & Warachka 2014		US stocks+0.5 pts/yr102 rebalances0.4301.000On-site receipt
Single-stock time-series momentum, long-only (wide US stocks) receipt
Source: Lim, Wang & Yao 2018 JBF (time-series momentum in nearly 100 years of stock returns); Moskowitz, Ooi & Pedersen 2012 JFE		US stocks+0.5 pts/yr102 rebalances0.3921.000On-site receipt
Cross-asset 12-1 momentum, top 5 of 20, with a vol-regime cash override receipt
Source: c1022/macro		ETFs+0.4 pts/yr242 rebalances0.3941.000On-site receipt
Keller BAA-lite: 13612W canary with offensive/defensive sleeves receipt
Source: c1022/macro		ETFs+0.3 pts/yr242 rebalances0.4191.000On-site receipt
Sector ETF 6-month momentum, top 3 of 11 receipt
Source: Moskowitz & Grinblatt 1999 JF; same rule as the never-scored r24b-sector-etf-mom (rejected on a meta bug), re-registered with a valid meta		ETFs+0.3 pts/yr102 rebalances0.4541.000On-site receipt
Sector dual momentum: top 3 sectors by 12-month return, each held only if it beats SHY (Antonacci) receipt
Source: c1022/acad		ETFs+0.2 pts/yr230 rebalances0.4171.000On-site receipt
Momentum's January reversal: hold 12-1 winners Feb-Dec, 12-1 losers in January (Jegadeesh-Titman) receipt
Source: c1022/acad		US stocks+0.1 pts/yr90 rebalances0.4791.000On-site receipt
Bond dual momentum: best of HYG/LQD/TLT by 12-month return, held only if it beats SHY (Antonacci) receipt
Source: c1022/acad		ETFs−0.1 pts/yr90 rebalances1.0001.000On-site receipt
Sector momentum, rank averaged over 3/6/12 months, top 3, own-trend gate to IEF receipt
Source: c1022/redteam		ETFs−0.5 pts/yr102 rebalances1.0001.000On-site receipt
Bond ETF 12-1 momentum, top 2 of 5 receipt
Source: Asness, Moskowitz & Pedersen 2013 JF (value and momentum everywhere); Jostova, Nikolova, Philipov & Stahel 2013 RFS		ETFs−0.6 pts/yr102 rebalances1.0001.000On-site receipt
Risk-adjusted 12-1 momentum, inverse-vol weights (wide US stocks) receipt
Source: Barroso & Santa-Clara 2015 JFE; Daniel & Moskowitz 2016 JFE (volatility-scaled momentum)		US stocks−0.6 pts/yr102 rebalances1.0001.000On-site receipt
12-1 momentum top 15% with a 10% basket drawdown circuit breaker (cash for the next month) receipt
Source: c1022/redteam		US stocks−0.7 pts/yr97 rebalances1.0001.000On-site receipt
Dispersion-conditioned momentum versus reversal (wide US stocks) receipt
Source: Stivers & Sun 2010 JFQA (return dispersion negatively predicts the momentum premium)		US stocks−0.8 pts/yr102 rebalances1.0001.000On-site receipt
12-1 momentum, equal weight while the VIX curve is inverted (wide US stocks) receipt
Source: Daniel & Moskowitz 2016 JFE 'Momentum crashes' (crashes come in panic states with high volatility); Barroso & Santa-Clara 2015 JFE; Simon & Campasano 2014		US stocks−1.0 pts/yr2,136 rebalances1.0001.000On-site receipt
Sector ETF 1-month momentum, top 3 of 11 receipt
Source: Moskowitz & Grinblatt 1999 JF 'Do industries explain momentum?' (industry momentum is strongest at the 1-month horizon, opposite to stock-level 1-month reversal)		ETFs−1.0 pts/yr102 rebalances1.0001.000On-site receipt
Rank-weighted 3-week momentum with a BTC volume-share veto (cash when BTC's 7-day share is above its 60-day mean), weekly receipt
Source: c1023/r2		crypto−1.2 pts/yr193 rebalances1.0001.000On-site receipt
Overnight-return 12-1 momentum (wide US stocks) receipt
Source: Lou, Polk & Skouras 2019 JFE (a tug of war: overnight versus intraday expected returns)		US stocks−1.2 pts/yr102 rebalances1.0001.000On-site receipt
Weekly-return momentum with a one-week skip: twelve overlapping one-week cohorts (Gutierrez-Kelley) receipt
Source: c1022/acad		US stocks−1.4 pts/yr426 rebalances1.0001.000On-site receipt
Buy last week's winners: top 5 of 40 large caps by 1-week return, rebalanced weekly receipt
Source: c1023/pop		US stocks−1.7 pts/yr437 rebalances1.0001.000On-site receipt
Composite momentum: average rank of 12-1, 6-1 and distance to 52-week high, top 15% receipt
Source: c1022/redteam		US stocks−1.8 pts/yr102 rebalances1.0001.000On-site receipt
Sector momentum while VIX3M trends down, defensives otherwise receipt
Source: c1022/macro		ETFs−1.9 pts/yr98 rebalances1.0001.000On-site receipt
Capital gains overhang: unrealised-gain proxy from a volume-weighted reference price (Grinblatt-Han) receipt
Source: c1022/acad		US stocks−2.1 pts/yr89 rebalances1.0001.000On-site receipt
Calmar ranking: the 8 large caps with the best one-year return per unit of maximum drawdown, monthly receipt
Source: c1031/stockxs		US stocks−2.1 pts/yr89 rebalances1.0001.000On-site receipt
Sector momentum with an a-priori macro-driver veto receipt
Source: c1022/macro		ETFs−2.1 pts/yr91 rebalances1.0001.000On-site receipt
Dispersion-gated sector momentum: momentum only in low-dispersion months, equal-weight otherwise (Stivers-Sun) receipt
Source: c1031/etfxs		ETFs−2.3 pts/yr89 rebalances1.0001.000On-site receipt
Short-Term Momentum High Turnover receipt
Source: Medhat & Schmeling 2022		US stocks−2.4 pts/yr102 rebalances1.0001.000On-site receipt
Value-and-momentum combo across asset-class ETFs (Asness-Moskowitz-Pedersen 'everywhere') receipt
Source: c1022/acad		ETFs−2.5 pts/yr206 rebalances1.0001.000On-site receipt
12-1 momentum with a 10% per-holding stop-loss and cash-to-SHY, monthly entry, daily checks (Han-Zhou-Zhu) on 25 ETFs receipt
Source: c1031/etfxs		ETFs−2.7 pts/yr1,872 rebalances1.0001.000On-site receipt
Crypto momentum consensus (14/21/28) with the most recent week removed from every horizon, weekly receipt
Source: c1023/r2		crypto−2.8 pts/yr386 rebalances1.0001.000On-site receipt
Sector residual momentum: rank sectors by the Sharpe of their market-residual return over months 12-2 (Blitz-Huij-Martens) receipt
Source: c1022/acad		ETFs−2.9 pts/yr90 rebalances1.0001.000On-site receipt
Commodity dual momentum: top 2 of GLD/SLV/USO/DBC/UNG by 12-month return, else SHY (Antonacci) receipt
Source: c1022/acad		ETFs−3.0 pts/yr184 rebalances1.0001.000On-site receipt
Clenow dual-momentum ETF rotation receipt
Source: Antonacci/Clenow-style dual momentum rotation		ETFs−3.1 pts/yr90 rebalances1.0001.000On-site receipt
Sector momentum rotation only while credit is in an uptrend (HYG/LQD ratio) receipt
Source: c1022/macro		ETFs−3.3 pts/yr101 rebalances1.0001.000On-site receipt
Factor momentum across five stock sleeves (wide US stocks) receipt
Source: u/ImNotSelling, r/Trading 1wop3th (people who make it adapt strategies to conditions and drop what stops working); Ehsani & Linnainmaa 2022 JF 'Factor momentum and the momentum factor'; Gupta & Kelly 2019 JPM		US stocks−3.4 pts/yr102 rebalances1.0001.000On-site receipt
Frog-in-the-pan continuous momentum on ETFs: among the top 10 by 12-1, hold the 5 with the smoothest path receipt
Source: c1031/etfxs		ETFs−3.4 pts/yr89 rebalances1.0001.000On-site receipt
BTC-only when VIX is above its yearly median, top alts otherwise receipt
Source: c1022/macro		crypto−3.5 pts/yr395 rebalances1.0001.000On-site receipt
Sector momentum acceleration receipt
Source: Gettleman & Marks 2006 SSRN ('Acceleration strategies'); Chen & Yu 2014		ETFs−3.6 pts/yr96 rebalances1.0001.000On-site receipt
Sector momentum in trending markets, reversal in choppy ones receipt
Source: u/GemeriCorp, r/Trading 1wop3th (regime drift); Kaufman 2013 (efficiency ratio); Moskowitz & Grinblatt 1999; Jegadeesh 1990		ETFs−3.6 pts/yr102 rebalances1.0001.000On-site receipt
Crypto intermediate momentum echo: long the top 6 by the week-5-to-week-12 return, weekly (Novy-Marx transfer) receipt
Source: c1023/acad2		crypto−3.6 pts/yr365 rebalances1.0001.000On-site receipt
Vol-neutralized cross-sectional momentum (crypto) (wide US stocks) receipt
Source: Asness, Moskowitz, Pedersen (2013) JF 'Value and Momentum Everywhere'		US stocks−3.8 pts/yr2,045 rebalances1.0001.000On-site receipt
Tranched weekly momentum: average of the last four weekly top-5 12-1 portfolios (rebalance-timing-luck fix) receipt
Source: c1031/etfxs		ETFs−3.9 pts/yr391 rebalances1.0001.000On-site receipt
Real-yield factor momentum: hold the 5 of 25 ETFs with the highest (rising yields) or lowest (falling yields) 52-week beta to weekly real-yield changes receipt
Source: c1031/macro		ETFs−4.0 pts/yr1,001 rebalances1.0001.000On-site receipt
Unanimous multi-horizon momentum: 5 of 25 ETFs with the best worst-rank across 1, 3, 6 and 12 month returns receipt
Source: c1031/etfxs		ETFs−4.0 pts/yr90 rebalances1.0001.000On-site receipt
12-1 momentum with a 10% per-name stop-loss receipt
Source: Han, Zhou & Zhu 2016 JFE ('Taming momentum crashes: a simple stop-loss strategy')		US stocks−4.1 pts/yr1,867 rebalances1.0001.000On-site receipt
Dominance extreme mean-reversion: rotate into alts after BTC has outrun them receipt
Source: c1022/crypto		crypto−4.2 pts/yr395 rebalances1.0001.000On-site receipt
Intermediate momentum: top 6 of 25 ETFs by the return from 12 to 7 months ago (skips the latest 7 months), monthly receipt
Source: c1031/etfxs		ETFs−4.2 pts/yr90 rebalances1.0001.000On-site receipt
Value-and-momentum combo in stocks (12-1 momentum + 24-month reversal skipping 12) receipt
Source: c1022/acad		US stocks−4.3 pts/yr66 rebalances1.0001.000On-site receipt
Crypto dollar-volume-share momentum (30 vs 180 sessions), weekly receipt
Source: Liu, Tsyvinski & Wu 2022 JF (volume factors); Barber & Odean 2008 RFS (attention)		crypto−4.3 pts/yr395 rebalances1.0001.000On-site receipt
Recency of the 52-week high: near the high AND the high was set recently (Bhootra-Hur) receipt
Source: c1022/acad		US stocks−4.3 pts/yr90 rebalances1.0001.000On-site receipt
Sector and metal ETFs catch up to their underlying drivers receipt
Source: Hong, Torous & Valkanov 2007 JFE; Driesprong, Jacobsen & Maat 2008 JFE		ETFs−4.4 pts/yr304 rebalances1.0001.000On-site receipt
Sharpe-ranked ETF rotation: top 6 of 25 by 126-day return/volatility, inverse-volatility weights, positive scores only receipt
Source: c1031/etfxs		ETFs−4.4 pts/yr95 rebalances1.0001.000On-site receipt
Correction-state resilience: equal-weight all 40 until the average name is 7% off its 63-day high, then hold only the 8 shallowest drawdowns receipt
Source: c1031/stockxs		US stocks−4.5 pts/yr98 rebalances1.0001.000On-site receipt
Asset-class-neutral momentum: best 2 equity ETFs, best bond, best commodity by 12-1, inverse-volatility weighted receipt
Source: c1031/etfxs		ETFs−4.6 pts/yr90 rebalances1.0001.000On-site receipt
Acceleration: long stocks whose last-6-month return most exceeds the prior 6 months (Ardila-Alvarez-Forro-Sornette) receipt
Source: c1022/acad		US stocks−4.7 pts/yr90 rebalances1.0001.000On-site receipt
12-1 momentum excluding the top tercile by idiosyncratic risk (wide US stocks) receipt
Source: Ben-David et al. via SSRN top-20 #12		US stocks−4.7 pts/yr86 rebalances1.0001.000On-site receipt
Fresh momentum: recent winners whose prior six months were losers (Chen-Kadan-Kose) receipt
Source: c1022/acad		US stocks−4.9 pts/yr90 rebalances1.0001.000On-site receipt
Index-level overnight-return momentum: long QQQ/DIA while the trailing 20-day overnight return is positive receipt
Source: c1022/acad		ETFs−5.0 pts/yr359 trades1.0001.000On-site receipt
Calmar-ranked ETFs: top 6 of 25 by 252-day return divided by 252-day maximum drawdown, monthly receipt
Source: c1031/etfxs		ETFs−5.0 pts/yr90 rebalances1.0001.000On-site receipt
Momentum plus low-volatility rank combination: 6 of 25 ETFs with the best sum of 12-1 rank and 252d low-volatility rank receipt
Source: c1031/etfxs		ETFs−5.1 pts/yr90 rebalances1.0001.000On-site receipt
Exclusion screen: hold the other 32 of 40 large caps after dropping the 8 weakest 12-1 momentum names, monthly receipt
Source: c1031/stockxs		US stocks−5.2 pts/yr89 rebalances1.0001.000On-site receipt
Market-state momentum: 12-1 momentum only after a positive 24-month market (Cooper-Gutierrez-Hameed) receipt
Source: c1022/acad		US stocks−5.3 pts/yr76 rebalances1.0001.000On-site receipt
Sector momentum top 3 (6 months) gated by sector breadth hysteresis, else IEF receipt
Source: c1022/redteam		ETFs−5.4 pts/yr102 rebalances1.0001.000On-site receipt
Correlation-capped diversified momentum: walk down the 12-1 ranking, skip any ETF with 126-day correlation > 0.7 to a holding receipt
Source: c1031/etfxs		ETFs−5.7 pts/yr89 rebalances1.0001.000On-site receipt
Low-volume momentum winners (Lee-Swaminathan): among the top 7 of 13 equity ETFs by 12-1, hold the 4 with the lowest recent volume receipt
Source: c1031/etfxs		ETFs−5.8 pts/yr90 rebalances1.0001.000On-site receipt
Williams %R(14) momentum: long on the cross above -20 while the close is above the 50-day SMA receipt
Source: c1031/retailta		ETFs−5.8 pts/yr1,864 trades1.0001.000On-site receipt
Three-factor residual momentum across 22 ETFs (factors QQQ, IEF, DBC), months 12-2 residual, monthly receipt
Source: c1031/etfxs		ETFs−5.9 pts/yr90 rebalances1.0001.000On-site receipt
Momentum crash gate: 12-1 momentum scaled down in bear + high-vol states (Daniel-Moskowitz) receipt
Source: c1022/acad		US stocks−6.0 pts/yr77 rebalances1.0001.000On-site receipt
12-1 momentum top 15% only when market breadth (% above 200-day) is at least 50% receipt
Source: c1022/redteam		US stocks−6.3 pts/yr81 rebalances1.0001.000On-site receipt
Elder-Ray: bear power rising from below with a rising EMA receipt
Source: c1022/retail		ETFs−6.5 pts/yr3,482 trades1.0001.000On-site receipt
Cross-asset time-series momentum (bonds signal stocks, stocks signal bonds) receipt
Source: Pitkajarvi, Suominen & Vaittinen 2020 JFE ('Cross-asset signals and time series momentum')		ETFs−6.5 pts/yr90 rebalances1.0001.000On-site receipt
True Strength Index (25,13) signal cross while TSI is above zero receipt
Source: c1031/retailta		ETFs−6.6 pts/yr1,167 trades1.0001.000On-site receipt
Volume-return dynamics: continuation where trading is informed receipt
Source: Llorente, Michaely, Saar & Wang 2002 RFS ('Dynamic volume-return relation of individual stocks')		US stocks−6.8 pts/yr350 rebalances1.0001.000On-site receipt
VIX-curve dispatch on sectors: momentum while the curve is in contango, short-term reversal when it is inverted, weekly receipt
Source: c1031/macro		ETFs−6.8 pts/yr430 rebalances1.0001.000On-site receipt
Dollar-factor momentum in stocks: hold the 8 of 40 large caps with the highest (dollar rising) or lowest (dollar falling) 52-week beta to weekly dollar changes receipt
Source: c1031/macro		US stocks−6.9 pts/yr386 rebalances1.0001.000On-site receipt
Overnight-return momentum across 13 equity ETFs: top 4 by 12-1 sum of overnight (close-to-open) log returns receipt
Source: c1031/etfxs		ETFs−6.9 pts/yr90 rebalances1.0001.000On-site receipt
Volatility-contraction momentum: among sectors with positive 126-day return, hold the 4 with the lowest 21d/126d volatility ratio receipt
Source: c1031/etfxs		ETFs−7.0 pts/yr404 rebalances1.0001.000On-site receipt
Nearness to the 52-week high predicts the index: hold QQQ/DIA only when within 5% of the 252-day closing high (Li-Yu) receipt
Source: c1031/acad4		ETFs−7.2 pts/yr150 trades1.0001.000On-site receipt
Hidden bullish RSI(14) divergence in an uptrend: higher price low with a lower RSI low receipt
Source: c1031/retailta		ETFs−7.4 pts/yr231 trades1.0001.000On-site receipt
Crypto frog-in-the-pan: among 12-week winners, long the 5 with the most continuous (least discrete) information arrival (Da-Gurun-Warachka transfer) receipt
Source: c1023/acad2		crypto−7.5 pts/yr251 rebalances1.0001.000On-site receipt
Elastic Asset Allocation (golden defensive) receipt
Source: Keller & Butler 2014 SSRN ('Elastic Asset Allocation (EAA)')		ETFs−7.6 pts/yr102 rebalances1.0001.000On-site receipt
Skip-week quarterly momentum, weekly rebalance: top 4 of 13 equity ETFs by the 13-week return ending one week ago receipt
Source: c1031/etfxs		ETFs−7.6 pts/yr429 rebalances1.0001.000On-site receipt
Relative Rotation Graph: sectors in the leading quadrant receipt
Source: de Kempenaer, JdK RS-Ratio and RS-Momentum (Relative Rotation Graphs, Bloomberg/StockCharts)		ETFs−7.8 pts/yr322 rebalances1.0001.000On-site receipt
Dollar-neutral sector momentum: long the top 3, short the bottom 3 of 11 sectors by 12-1, monthly (Moskowitz-Grinblatt) receipt
Source: c1031/etfxs		ETFs−8.6 pts/yr90 rebalances1.0001.000On-site receipt
Crypto momentum crash gate: 3-week cross-sectional momentum scaled down after a bear year with high vol (Daniel-Moskowitz in crypto) receipt
Source: c1022/acad		crypto−9.9 pts/yr289 rebalances1.0001.000On-site receipt
True strength momentum receipt
Source: none published (Tickfloor research-desk test)		US stocks−10.0 pts/yr249 trades1.0001.000On-site receipt
Triple-smoothed rate of change receipt
Source: none published (Tickfloor research-desk test)		US stocks−10.0 pts/yr188 trades1.0001.000On-site receipt
Beta-hedged sector momentum: long the top 3 sectors by 12-1, short QQQ for their beta, monthly (relative strength only) receipt
Source: c1031/etfxs		ETFs−10.2 pts/yr90 rebalances1.0001.000On-site receipt
Daily Coppock curve receipt
Source: none published (Tickfloor research-desk test)		US stocks−10.5 pts/yr361 trades1.0001.000On-site receipt
Pring Know Sure Thing (KST) trend receipt
Source: Pring 1992 'Martin Pring on Market Momentum' (KST oscillator)		crypto−10.6 pts/yr705 trades1.0001.000On-site receipt
Raschke 3/10 oscillator first cross receipt
Source: c1022/retail		US stocks−10.7 pts/yr5,172 trades1.0001.000On-site receipt
Crypto one-week cross-sectional momentum, weekly (Liu-Tsyvinski-Wu r1,0) receipt
Source: c1022/acad		crypto−11.8 pts/yr377 rebalances1.0001.000On-site receipt
Ichimoku Kijun-sen bounce in an uptrend receipt
Source: c1022/retail		US stocks−13.9 pts/yr1,786 trades1.0001.000On-site receipt
Clenow 100-day momentum + volatility parity rebalance (wide US stocks) receipt
Source: Andreas Clenow, 'Stocks on the Move' (2015)		US stocks−14.1 pts/yr404 rebalances1.0001.000On-site receipt
Episodic pivot breakout (gap + consolidation + breakout) (wide US stocks) receipt
Source: Kristjan Qullamaggie 'episodic pivot' setup (public trading blog/threads)		US stocks−14.2 pts/yr40 trades1.0001.000On-site receipt
RSI(14) above 70 as a momentum buy on US stocks: enter on the cross above 70, exit below 50 receipt
Source: c1023/pop		US stocks−14.3 pts/yr749 trades1.0001.000On-site receipt
Pocket pivot volume signature receipt
Source: Morales & Kacher 2010 'Trade Like an O'Neil Disciple' (pocket pivots)		US stocks−14.8 pts/yr2,278 trades1.0001.000On-site receipt
Breakout and retest: buy the first pullback to a broken 50-day high within 15 bars, stop 3% under the level receipt
Source: c1023/pop		US stocks−14.9 pts/yr1,296 trades1.0001.000On-site receipt
Al Brooks H2 second-entry buy above the 20 EMA receipt
Source: c1022/retail		US stocks−16.0 pts/yr1,629 trades1.0001.000On-site receipt
Weekly RSI > 50 trend, daily RSI 40 pullback (multi-timeframe RSI) receipt
Source: c1022/retail		US stocks−16.0 pts/yr483 trades1.0001.000On-site receipt
RSI bull-range support test (Cardwell/Brown range rules) receipt
Source: c1022/retail		US stocks−16.1 pts/yr241 trades1.0001.000On-site receipt
On-Balance Volume (OBV) divergence (wide US stocks) receipt
Source: YouTube 'OBV divergence secret' and r/algotrading OBV threads		US stocks−16.2 pts/yr16,773 trades1.0001.000On-site receipt
Cross-sectional 20-day OVERNIGHT-return momentum (close-to-open component only) receipt
Source: Lou, Polk & Skouras (2019), 'A tug of war: Overnight versus intraday expected returns', JFE 134(1)		US stocks−16.3 pts/yr439 rebalances1.0001.000On-site receipt
O'Neil 50-day line: buy the first pullback that touches a rising 50-day SMA above the 200-day, sell 3% below it receipt
Source: c1023/pop		US stocks−16.7 pts/yr344 trades1.0001.000On-site receipt
Semiconductors lead downstream tech (supply-chain lead-lag) receipt
Source: Menzly & Ozbas 2010 JF ('Market segmentation and cross-predictability of returns'); Cohen & Frazzini 2008 JF (economic links)		US stocks−16.8 pts/yr109 rebalances1.0001.000On-site receipt
Crypto breadth thrust (Zweig-style) receipt
Source: Zweig 1986 'Winning on Wall Street' (breadth thrust)		crypto−16.8 pts/yr1,385 rebalances1.0001.000On-site receipt
TRIX(15) signal-line cross: long when TRIX crosses above its 9-period EMA receipt
Source: c1031/retailta		crypto−17.1 pts/yr863 trades1.0001.000On-site receipt
Landry three-bar pullback in a rising 50-day SMA receipt
Source: c1022/retail		US stocks−17.1 pts/yr1,048 trades1.0001.000On-site receipt
Relative-strength line at a new high before price receipt
Source: O'Neil / IBD 'RS line leads price' rule; Bulkowski 2005		US stocks−17.3 pts/yr78 rebalances1.0001.000On-site receipt
Stockbee 4% momentum burst: 4%+ up day on 1.5x volume, strong close, quiet prior 3 days, 5-day hold receipt
Source: c1023/pop		US stocks−17.4 pts/yr307 trades1.0001.000On-site receipt
MACD histogram bullish divergence: lower price low, higher histogram low, confirmed pivot receipt
Source: c1031/retailta		US stocks−17.5 pts/yr686 trades1.0001.000On-site receipt
The Strat 2-1-2 bullish reversal receipt
Source: c1022/retail		US stocks−17.9 pts/yr1,285 trades1.0001.000On-site receipt
Crypto cross-sectional momentum, top/bottom 2 of dollar-volume universe (wide US stocks) receipt
Source: Jegadeesh-Titman style cross-sectional momentum applied to crypto		US stocks−17.9 pts/yr437 rebalances1.0001.000On-site receipt
Clenow 100-day momentum + volatility parity rebalance receipt
Source: Andreas Clenow, 'Stocks on the Move' (2015)		US stocks−17.9 pts/yr404 rebalances1.0001.000On-site receipt
Episodic pivot breakout (gap + consolidation + breakout) receipt
Source: Kristjan Qullamaggie 'episodic pivot' setup (public trading blog/threads)		US stocks−17.9 pts/yr15 trades1.0001.000On-site receipt
Serial-correlation momentum gate receipt
Source: none published (Tickfloor research-desk test)		US stocks−19.7 pts/yr268 trades1.0001.000On-site receipt
Crypto cross-sectional momentum, flat when VIX is above 25 receipt
Source: c1022/macro		crypto−20.0 pts/yr327 rebalances1.0001.000On-site receipt
Donchian cross-sectional momentum (top/bottom 2, 30d reb) (wide US stocks) receipt
Source: Donchian-style trend-following adapted cross-sectionally		US stocks−20.2 pts/yr102 rebalances1.0001.000On-site receipt
Vol-neutralised 90-day momentum (top 20%) with a 50% hold buffer, daily receipt
Source: c1023/r2		crypto−20.4 pts/yr2,377 rebalances1.0001.000On-site receipt
Cross-sectional 20-day TOTAL-return momentum (matched control for the overnight version) receipt
Source: none published (Tickfloor research-desk test)		US stocks−20.7 pts/yr439 rebalances1.0001.000On-site receipt
Altcoin Season Index regime switch receipt
Source: blockchaincenter.net Altcoin Season Index (75% of alts beating BTC over 90 days = alt season, 25% = BTC season)		crypto−22.5 pts/yr395 rebalances1.0001.000On-site receipt
Large-cap vs mid-cap crypto rotation by relative momentum receipt
Source: c1022/crypto		crypto−22.9 pts/yr395 rebalances1.0001.000On-site receipt
BTC-only when the dollar is rising, top alts when it is falling receipt
Source: c1022/macro		crypto−26.2 pts/yr395 rebalances1.0001.000On-site receipt
Carry-adjusted momentum: 28-day return net of cumulative funding paid receipt
Source: c1022/crypto		crypto−27.0 pts/yr1,290 trades1.0001.000On-site receipt
Does ranking crypto by gain-to-pain beat chasing the biggest winners? receipt
Source: retail trading content: Jack Schwager gain to pain ratio crypto portfolio ranking		crypto−27.1 pts/yr365 rebalances1.0001.000On-site receipt
Crypto cross-sectional momentum, top/bottom 2 of dollar-volume universe receipt
Source: Jegadeesh-Titman style cross-sectional momentum applied to crypto		crypto−29.3 pts/yr356 rebalances1.0001.000On-site receipt
Previous-day-high close-through continuation receipt
Source: c1022/retail		crypto−35.6 pts/yr5,290 trades1.0001.000On-site receipt
Liquidity-improvement momentum: Amihud illiquidity falling receipt
Source: c1022/crypto		crypto−35.9 pts/yr370 trades1.0001.000On-site receipt
Idiosyncratic volume shock relative to the market receipt
Source: c1022/crypto		crypto−42.4 pts/yr97 rebalances1.0001.000On-site receipt
Crypto momentum gap: 3-week momentum top 6 only when the winner-loser spread is below its historical median, weekly (Huang transfer) receipt
Source: c1023/acad2		crypto−45.5 pts/yr171 rebalances1.0001.000On-site receipt
Buy the alts that held up best on a BTC crash day receipt
Source: O'Neil 1988 'How to Make Money in Stocks' (relative strength in market corrections); Ang, Chen & Xing 2006 (downside risk)		crypto−45.8 pts/yr850 rebalances1.0001.000On-site receipt
Online recursive least-squares adaptive momentum weight receipt
Source: Cont, R. (various) market microstructure and adaptive filtering literature		crypto−46.7 pts/yr277 trades1.0001.000On-site receipt
Up-volume to down-volume ratio (volume flow) over 20 days receipt
Source: c1022/crypto		crypto−48.2 pts/yr3,142 trades1.0001.000On-site receipt
Stochastic pop (Bernstein/Steckler): buy %K crossing above 80 receipt
Source: c1022/retail		crypto−51.0 pts/yr374 trades1.0001.000On-site receipt
Sector rotation: PoW payment coins vs smart-contract/DeFi coins receipt
Source: c1022/crypto		crypto−52.0 pts/yr374 rebalances1.0001.000On-site receipt
Short-term volume surge with positive return (continuation) receipt
Source: c1022/crypto		crypto−56.4 pts/yr115 rebalances1.0001.000On-site receipt
Funding-price divergence: rally that shorts keep fighting receipt
Source: c1022/crypto		crypto−58.2 pts/yr210 trades1.0001.000On-site receipt
Awesome Oscillator twin peaks (Bill Williams) receipt
Source: c1022/retail		crypto−58.8 pts/yr496 trades1.0001.000On-site receipt
Regular bullish RSI(14) divergence on daily confirmed pivots receipt
Source: c1031/retailta		crypto−61.1 pts/yr127 trades1.0001.000On-site receipt
On-Balance Volume (OBV) divergence receipt
Source: YouTube 'OBV divergence secret' and r/algotrading OBV threads		crypto−67.2 pts/yr7,286 trades1.0001.000On-site receipt
ICT weekly open: Monday-Tuesday dip below the weekly open then reclaim, long into Thursday close, in an uptrend (hourly crypto) receipt
Source: c1023/pop		crypto−77.6 pts/yr1,199 trades1.0001.000On-site receipt
Open-interest shock day: follow the day's direction for 3 days receipt
Source: c1031/cryptoderiv		crypto−79.3 pts/yr649 trades1.0001.000On-site receipt
Tick-rule order-flow imbalance with a weekly trend filter receipt
Source: Easley, Lopez de Prado & O'Hara 2012 RFS (flow toxicity, VPIN, tick-rule volume classification); Chordia & Subrahmanyam 2004 JFE (order imbalance predicts returns)		crypto−80.0 pts/yr6,215 trades1.0001.000On-site receipt
Alts that lag a big BTC up-day catch up receipt
Source: Sifat, Mohamad & Shariff 2019 RIBAF (lead-lag between Bitcoin and altcoins); Hou 2007 RFS (gradual diffusion lead-lag)		crypto−87.4 pts/yr335 rebalances1.0001.000On-site receipt
OI-confirmed hourly impulse continuation receipt
Source: c1022/crypto		crypto−89.0 pts/yr1,488 trades1.0001.000On-site receipt
YouTube MACD + 200 EMA: hourly MACD cross up below the zero line above the 200 EMA, 1.5R target, swing-low stop (crypto) receipt
Source: c1023/pop		crypto−89.1 pts/yr2,541 trades1.0001.000On-site receipt
Donchian cross-sectional momentum (top/bottom 2, 30d reb) receipt
Source: Donchian-style trend-following adapted cross-sectionally		crypto−90.2 pts/yr83 rebalances1.0001.000On-site receipt
Asia-session move continues into the London session receipt
Source: c1031/intraday		crypto−91.6 pts/yr1,352 trades1.0001.000On-site receipt
Monday-morning move sets the week's direction receipt
Source: c1031/intraday		crypto−94.3 pts/yr617 trades1.0001.000On-site receipt
Extreme 24h move continuation (|z| >= 2.5, hold 24h) receipt
Source: c1031/intraday		crypto−97.1 pts/yr1,286 trades1.0001.000On-site receipt
Trade in the direction of a perp funding sign flip receipt
Source: He, Manela, Ross & von Wachter 2022; Kaiko research on funding regime shifts		crypto−98.2 pts/yr1,750 trades1.0001.000On-site receipt
Full test: Funding Rate and Open Interest
Hourly crypto 24h momentum only while VIX3M is trending down receipt
Source: c1022/macro		crypto−102.6 pts/yr14,241 trades1.0001.000On-site receipt
Hourly Stochastic RSI (14,14,3,3) cross up from below 20 above the 200 EMA receipt
Source: c1031/retailta		crypto−103.3 pts/yr5,382 trades1.0001.000On-site receipt
Prior-day close-location continuation into the next morning receipt
Source: c1031/intraday		crypto−109.5 pts/yr6,878 trades1.0001.000On-site receipt
Opening-4-hour volume surge continuation receipt
Source: c1031/intraday		crypto−118.2 pts/yr4,768 trades1.0001.000On-site receipt
US equity-open hour momentum in crypto receipt
Source: c1022/crypto		crypto−128.8 pts/yr7,038 trades1.0001.000On-site receipt
Doji at extreme + volume spike reversal receipt
Source: TikTok 'doji candle secret' and volume-spike reversal reels		crypto−133.2 pts/yr18 trades1.0001.000On-site receipt
Full test: Candlestick Patterns
Intraday momentum in crypto: first-hour return predicts the last hour of the UTC day (Gao-Han-Li-Zhou) receipt
Source: c1022/acad		crypto−137.7 pts/yr19,735 trades1.0001.000On-site receipt
Same-hour 14-day volatility band breakout on hourly crypto, flat at 23:00 UTC receipt
Source: c1031/acad4		crypto−163.4 pts/yr32,636 trades1.0001.000On-site receipt
  • Alt/BTC ratio above its 50-day SMA (alts that beat Bitcoin)

    crypto · +130.8 pts/yr · 1,444 rebalances · corrected q 0.692

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    0.015
    Corrected q
    0.692
  • Alt/BTC ratio above its 50-day SMA, restricted to the 9 alts with the lowest 90-day BTC beta (A x B)

    crypto · +87.9 pts/yr · 1,402 rebalances · corrected q 0.902

    Source, p-value and result file
    Source
    c1023/r2
    p-value
    0.057
    Corrected q
    0.902
  • Crypto momentum consensus: top half on every horizon of 14/21/28 days

    crypto · +56.9 pts/yr · 390 rebalances · corrected q 0.634

    Source, p-value and result file
    Source
    c1022/redteam
    p-value
    0.008
    Corrected q
    0.634
  • Two-week momentum only in greed, BTC in fear

    crypto · +39.5 pts/yr · 393 rebalances · corrected q 0.870

    Full test: Fear & Greed Timing

    Source, p-value and result file
    Source
    Antoniou, Doukas & Subrahmanyam 2013 JFQA (sentiment and momentum); alternative.me F&G
    p-value
    0.050
    Corrected q
    0.870
  • Crypto 3-week momentum with a 50% hold buffer

    crypto · +31.6 pts/yr · 395 rebalances · corrected q 0.940

    Source, p-value and result file
    Source
    u/VettaQ, r/CryptoMarkets 1wp3tyi (the cost objection / zero-fee rerun); Novy-Marx & Velikov 2016 RFS (buffer rules cut anomaly trading costs); Liu, Tsyvinski & Wu 2022 JF. Follow-up of r25-crypto-mom3w (p = 0.139); a new test
    p-value
    0.061
    Corrected q
    0.940
  • Momentum acceleration (recent momentum minus scaled longer momentum)

    crypto · +30.3 pts/yr · 391 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    0.115
    Corrected q
    1.000
  • Vol-neutralized cross-sectional momentum (crypto)

    crypto · +29.2 pts/yr · 2,377 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Asness, Moskowitz, Pedersen (2013) JF 'Value and Momentum Everywhere'
    p-value
    0.237
    Corrected q
    1.000
  • Crypto 3-week momentum, rank weights across the whole cross-section (no top-K cut)

    crypto · +24.0 pts/yr · 395 rebalances · corrected q 0.618

    Source, p-value and result file
    Source
    c1022/redteam
    p-value
    0.008
    Corrected q
    0.618
  • Volume-weighted moving average (VWMA) cross

    crypto · +23.2 pts/yr · 2,248 trades · corrected q 1.000

    Full test: Moving Average Crossover

    Source, p-value and result file
    Source
    TradingView VWMA strategy scripts, YouTube 'volume-weighted MA' tutorials
    p-value
    0.244
    Corrected q
    1.000
  • Crypto 3-week cross-sectional momentum, weekly

    crypto · +20.6 pts/yr · 395 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Liu, Tsyvinski & Wu 2022 JF (common risk factors in cryptocurrency)
    p-value
    0.139
    Corrected q
    1.000
  • 12-1 cross-sectional momentum, top 4 of 40 large caps, monthly (wide US stocks)

    US stocks · +18.8 pts/yr · 90 rebalances · corrected q 0.870

    Source, p-value and result file
    Source
    Jegadeesh & Titman 1993
    p-value
    0.047
    Corrected q
    0.870
  • Dispersion-conditioned momentum: pick winners only when coins disagree

    crypto · +17.5 pts/yr · 395 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    0.274
    Corrected q
    1.000
  • Crypto momentum with the most recent week skipped (28-7)

    crypto · +11.0 pts/yr · 395 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/redteam
    p-value
    0.280
    Corrected q
    1.000
  • Crypto residual momentum: BTC-beta-adjusted 4-week return (skip 3 days) scaled by residual vol, weekly

    crypto · +10.5 pts/yr · 334 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    0.387
    Corrected q
    1.000
  • Crypto dual momentum (top 30% by 3 weeks, above SMA20 and positive), weekly

    crypto · +10.3 pts/yr · 350 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Liu, Tsyvinski & Wu 2022 JF; Liu & Tsyvinski 2021 RFS (risks and returns of cryptocurrency)
    p-value
    0.318
    Corrected q
    1.000
  • Crypto-style top-N cross-sectional momentum, long-only (wide US stocks)

    US stocks · +9.7 pts/yr · 437 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Jegadeesh-Titman style cross-sectional momentum applied to crypto; long-only rewrite of wide-equity-factors-crypto-cross-sectional-momentum-topn
    p-value
    0.231
    Corrected q
    1.000
  • Crypto nearness to the 365-day high

    crypto · +9.3 pts/yr · 395 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    George & Hwang 2004 JF (52-week-high momentum); Li & Yu 2012 JFE (anchoring on the 52-week high)
    p-value
    0.304
    Corrected q
    1.000
  • 12-1 cross-sectional momentum, top 4 of 40 large caps, monthly

    US stocks · +8.8 pts/yr · 90 rebalances · corrected q 1.000

    Full test: 12-1 Month Momentum

    Source, p-value and result file
    Source
    Jegadeesh & Titman 1993
    p-value
    0.137
    Corrected q
    1.000
  • Absolute strength momentum: long only when 12-1 return clears a fixed historical percentile (Gulen-Petkova)

    US stocks · +8.3 pts/yr · 78 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    0.132
    Corrected q
    1.000
  • Rising relative-strength rank: the 8 large caps in the top half on 126-day return whose rank improved most over the last 63 days, monthly

    US stocks · +6.0 pts/yr · 92 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/stockxs
    p-value
    0.081
    Corrected q
    1.000
  • 13-week up/down volume ratio leaders

    US stocks · +5.8 pts/yr · 430 rebalances · corrected q 0.956

    Source, p-value and result file
    Source
    Investor's Business Daily Up/Down Volume Ratio and Accumulation/Distribution rating (O'Neil)
    p-value
    0.069
    Corrected q
    0.956
  • 12-1 momentum among high-volatility stocks with the sleeve volatility-scaled to a 10% tracking target (wide US stocks), monthly

    US stocks · +5.1 pts/yr · 102 rebalances · corrected q 0.870

    Source, p-value and result file
    Source
    c1023/r2
    p-value
    0.052
    Corrected q
    0.870
  • Dual momentum QQQ or GLD, AGG as the safe asset

    ETFs · +4.7 pts/yr · 242 rebalances · corrected q 0.976

    Source, p-value and result file
    Source
    Antonacci 2014 'Dual Momentum Investing'; Moskowitz, Ooi & Pedersen 2012 JFE. Follow-up of r25-qqq-agg-dualmom (p = 0.044); a new test. Static-tilt risk declared: it holds a risk asset most months against a 1/3 AGG benchmark share, so the static twin decides
    p-value
    0.071
    Corrected q
    0.976
  • 12-7 Momentum

    US stocks · +4.3 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Novy-Marx 2012 (momentum in intermediate past)
    p-value
    0.106
    Corrected q
    1.000
  • Continuing overreaction (signed-volume-weighted past returns)

    US stocks · +3.4 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Byun, Lim & Yun 2016 JFQA ('Continuing overreaction and stock return predictability')
    p-value
    0.196
    Corrected q
    1.000
  • Momentum switched off when comomentum is high

    US stocks · +3.3 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Lou & Polk 2022 RFS ('Comomentum: inferring arbitrage activity from return correlations')
    p-value
    0.162
    Corrected q
    1.000
  • Volatility-managed 12-1 momentum sleeve (wide US stocks)

    US stocks · +3.2 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Barroso & Santa-Clara 2015 JFE; Daniel & Moskowitz 2016 JFE (momentum crashes, risk-managed momentum)
    p-value
    0.157
    Corrected q
    1.000
  • Momentum among high-volatility stocks: 12-1 winners within the top half by volatility (Bandarchuk-Hilscher)

    US stocks · +3.2 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    0.210
    Corrected q
    1.000
  • 12-1 momentum among high-volatility, top-half dollar-volume names with the sleeve volatility-scaled to a 10% tracking target (wide US stocks), monthly

    US stocks · +3.1 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1024/r3
    p-value
    0.198
    Corrected q
    1.000
  • 12-1 momentum scaled in over three months (wide US stocks)

    US stocks · +2.8 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    u/IndependentCause9435, r/ASX_Bets 1wo5lrs (split an entry into smaller pieces); Jegadeesh & Titman 1993 JF (overlapping holding periods phase positions in); Novy-Marx & Velikov 2016 RFS
    p-value
    0.199
    Corrected q
    1.000
  • IBD-style relative strength rating: the 8 large caps with the highest 0.4/0.2/0.2/0.2 weighted four-quarter return, monthly

    US stocks · +2.8 pts/yr · 89 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/stockxs
    p-value
    0.320
    Corrected q
    1.000
  • Consistent Momentum

    US stocks · +2.7 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Grinblatt & Moskowitz 2004 (consistent winners)
    p-value
    0.205
    Corrected q
    1.000
  • Momentum Pullback

    US stocks · +2.5 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Jegadeesh & Titman 1993 plus Jegadeesh 1990 short-term reversal
    p-value
    0.203
    Corrected q
    1.000
  • Top-decile 12-1 momentum held only while the EW universe is above its 200-day SMA, equal weight otherwise (wide US stocks)

    US stocks · +2.3 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/r2
    p-value
    0.313
    Corrected q
    1.000
  • Commodity ETF 12-1 momentum, top 2 of 5

    ETFs · +1.9 pts/yr · 242 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Miffre & Rallis 2007 JBF (momentum strategies in commodity futures); Erb & Harvey 2006 FAJ
    p-value
    0.232
    Corrected q
    1.000
  • Stock momentum in trending markets, reversal in choppy ones (wide US stocks)

    US stocks · +1.7 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    u/GemeriCorp, r/Trading 1wop3th (regime drift); u/ImNotSelling (adapt to conditions); Kaufman 2013; Jegadeesh & Titman 1993; Jegadeesh 1990
    p-value
    0.332
    Corrected q
    1.000
  • Momentum without event days: 12-1 return after removing each stock's 8 highest-volume days, top 8, monthly

    US stocks · +1.6 pts/yr · 89 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/stockxs
    p-value
    0.373
    Corrected q
    1.000
  • Cross-asset 12-1 momentum, top 5 of 20 ETFs

    ETFs · +1.4 pts/yr · 242 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    u/QuanTradin, r/Trading 1wop3th; Asness, Moskowitz & Pedersen 2013 JF 'Value and momentum everywhere'. The universe is the 25-ETF list minus the futures-based USO, UNG, DBC, UUP and the cash-like SHY, fixed now
    p-value
    0.093
    Corrected q
    1.000
  • Low-volume momentum winners (wide US stocks)

    US stocks · +1.4 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Lee & Swaminathan 2000 JF 'Price momentum and trading volume' (low-volume winners beat high-volume winners)
    p-value
    0.292
    Corrected q
    1.000
  • Sector momentum, top 3 of 11 sectors, 266-name map (wide US stocks)

    US stocks · +1.3 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Moskowitz & Grinblatt 1999 JF (do industries explain momentum?)
    p-value
    0.328
    Corrected q
    1.000
  • Within-Sector 12-1 Momentum

    US stocks · +1.2 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Asness, Porter & Stevens 2000 (industry-neutral momentum)
    p-value
    0.310
    Corrected q
    1.000
  • Alpha momentum: long the quintile with the highest 12-1 month CAPM alpha against the equal-weight market (Huehn-Scholz)

    US stocks · +1.1 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1024/acad3
    p-value
    0.373
    Corrected q
    1.000
  • Top 5 of 20 ETFs by 12-1 momentum with a 20% volatility-managed overlay (remainder in AGG/IEF)

    ETFs · +1.1 pts/yr · 242 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/r2
    p-value
    0.157
    Corrected q
    1.000
  • Accelerating dual momentum (1+3+6 month) across QQQ, DIA, GLD with TLT fallback

    ETFs · +1.1 pts/yr · 242 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/macro
    p-value
    0.266
    Corrected q
    1.000
  • QQQ or DIA by 6-month relative strength

    ETFs · +1.0 pts/yr · 242 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    u/AlgoTradingQuant, r/Trading 1wop3th (of thousands of rules tested on SPY/QQQ only a dozen or two beat buy-and-hold); Barberis & Shleifer 2003 JFE (style investing and style momentum)
    p-value
    0.159
    Corrected q
    1.000
  • Jegadeesh-Titman 6/6 overlapping momentum (six monthly cohorts, 1-week skip)

    US stocks · +1.0 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    0.358
    Corrected q
    1.000
  • Relative win rate: the 8 large caps that beat the equal-weight basket in the most 5-day blocks of the past 26 weeks, monthly

    US stocks · +0.9 pts/yr · 95 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/stockxs
    p-value
    0.422
    Corrected q
    1.000
  • Sector ETF nearness to the 52-week high, top 3

    ETFs · +0.7 pts/yr · 102 rebalances · corrected q 1.000

    Full test: 52-Week High

    Source, p-value and result file
    Source
    George & Hwang 2004 JF (52-week-high momentum, with an industry version)
    p-value
    0.388
    Corrected q
    1.000
  • 25% QQQ plus 75% in the best 6-month bond ETF

    ETFs · +0.6 pts/yr · 242 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Moskowitz, Ooi & Pedersen 2012 JFE; Asness, Moskowitz & Pedersen 2013 JF. Near-miss follow-up of r25-duration-mom-6040 (p = 0.002), which held 60% QQQ against a 25% benchmark share; 25% here matches the benchmark, so only the duration choice is tested. A new test
    p-value
    0.183
    Corrected q
    1.000
  • Leader persistence: the 8 large caps that have been in the top quarter on 12-1 momentum at the most of the last 6 month-ends, monthly

    US stocks · +0.6 pts/yr · 84 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/stockxs
    p-value
    0.463
    Corrected q
    1.000
  • 12-7 momentum restricted to the top-half dollar-volume names (wide US stocks), monthly

    US stocks · +0.6 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/r2
    p-value
    0.433
    Corrected q
    1.000
  • 12-1 momentum top 20% with the sleeve volatility matched to the EW universe, residual in cash, exposure check (e) as a hard gate (wide US stocks), monthly

    US stocks · +0.5 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1024/r3
    p-value
    0.426
    Corrected q
    1.000
  • Frog in Pan

    US stocks · +0.5 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Da, Gurun & Warachka 2014
    p-value
    0.430
    Corrected q
    1.000
  • Single-stock time-series momentum, long-only (wide US stocks)

    US stocks · +0.5 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Lim, Wang & Yao 2018 JBF (time-series momentum in nearly 100 years of stock returns); Moskowitz, Ooi & Pedersen 2012 JFE
    p-value
    0.392
    Corrected q
    1.000
  • Cross-asset 12-1 momentum, top 5 of 20, with a vol-regime cash override

    ETFs · +0.4 pts/yr · 242 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/macro
    p-value
    0.394
    Corrected q
    1.000
  • Keller BAA-lite: 13612W canary with offensive/defensive sleeves

    ETFs · +0.3 pts/yr · 242 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/macro
    p-value
    0.419
    Corrected q
    1.000
  • Sector ETF 6-month momentum, top 3 of 11

    ETFs · +0.3 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Moskowitz & Grinblatt 1999 JF; same rule as the never-scored r24b-sector-etf-mom (rejected on a meta bug), re-registered with a valid meta
    p-value
    0.454
    Corrected q
    1.000
  • Sector dual momentum: top 3 sectors by 12-month return, each held only if it beats SHY (Antonacci)

    ETFs · +0.2 pts/yr · 230 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    0.417
    Corrected q
    1.000
  • Momentum's January reversal: hold 12-1 winners Feb-Dec, 12-1 losers in January (Jegadeesh-Titman)

    US stocks · +0.1 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    0.479
    Corrected q
    1.000
  • Bond dual momentum: best of HYG/LQD/TLT by 12-month return, held only if it beats SHY (Antonacci)

    ETFs · −0.1 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • Sector momentum, rank averaged over 3/6/12 months, top 3, own-trend gate to IEF

    ETFs · −0.5 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/redteam
    p-value
    1.000
    Corrected q
    1.000
  • Bond ETF 12-1 momentum, top 2 of 5

    ETFs · −0.6 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Asness, Moskowitz & Pedersen 2013 JF (value and momentum everywhere); Jostova, Nikolova, Philipov & Stahel 2013 RFS
    p-value
    1.000
    Corrected q
    1.000
  • Risk-adjusted 12-1 momentum, inverse-vol weights (wide US stocks)

    US stocks · −0.6 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Barroso & Santa-Clara 2015 JFE; Daniel & Moskowitz 2016 JFE (volatility-scaled momentum)
    p-value
    1.000
    Corrected q
    1.000
  • 12-1 momentum top 15% with a 10% basket drawdown circuit breaker (cash for the next month)

    US stocks · −0.7 pts/yr · 97 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/redteam
    p-value
    1.000
    Corrected q
    1.000
  • Dispersion-conditioned momentum versus reversal (wide US stocks)

    US stocks · −0.8 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Stivers & Sun 2010 JFQA (return dispersion negatively predicts the momentum premium)
    p-value
    1.000
    Corrected q
    1.000
  • 12-1 momentum, equal weight while the VIX curve is inverted (wide US stocks)

    US stocks · −1.0 pts/yr · 2,136 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Daniel & Moskowitz 2016 JFE 'Momentum crashes' (crashes come in panic states with high volatility); Barroso & Santa-Clara 2015 JFE; Simon & Campasano 2014
    p-value
    1.000
    Corrected q
    1.000
  • Sector ETF 1-month momentum, top 3 of 11

    ETFs · −1.0 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Moskowitz & Grinblatt 1999 JF 'Do industries explain momentum?' (industry momentum is strongest at the 1-month horizon, opposite to stock-level 1-month reversal)
    p-value
    1.000
    Corrected q
    1.000
  • Rank-weighted 3-week momentum with a BTC volume-share veto (cash when BTC's 7-day share is above its 60-day mean), weekly

    crypto · −1.2 pts/yr · 193 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/r2
    p-value
    1.000
    Corrected q
    1.000
  • Overnight-return 12-1 momentum (wide US stocks)

    US stocks · −1.2 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Lou, Polk & Skouras 2019 JFE (a tug of war: overnight versus intraday expected returns)
    p-value
    1.000
    Corrected q
    1.000
  • Weekly-return momentum with a one-week skip: twelve overlapping one-week cohorts (Gutierrez-Kelley)

    US stocks · −1.4 pts/yr · 426 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • Buy last week's winners: top 5 of 40 large caps by 1-week return, rebalanced weekly

    US stocks · −1.7 pts/yr · 437 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • Composite momentum: average rank of 12-1, 6-1 and distance to 52-week high, top 15%

    US stocks · −1.8 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/redteam
    p-value
    1.000
    Corrected q
    1.000
  • Sector momentum while VIX3M trends down, defensives otherwise

    ETFs · −1.9 pts/yr · 98 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/macro
    p-value
    1.000
    Corrected q
    1.000
  • Capital gains overhang: unrealised-gain proxy from a volume-weighted reference price (Grinblatt-Han)

    US stocks · −2.1 pts/yr · 89 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • Calmar ranking: the 8 large caps with the best one-year return per unit of maximum drawdown, monthly

    US stocks · −2.1 pts/yr · 89 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/stockxs
    p-value
    1.000
    Corrected q
    1.000
  • Sector momentum with an a-priori macro-driver veto

    ETFs · −2.1 pts/yr · 91 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/macro
    p-value
    1.000
    Corrected q
    1.000
  • Dispersion-gated sector momentum: momentum only in low-dispersion months, equal-weight otherwise (Stivers-Sun)

    ETFs · −2.3 pts/yr · 89 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/etfxs
    p-value
    1.000
    Corrected q
    1.000
  • Short-Term Momentum High Turnover

    US stocks · −2.4 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Medhat & Schmeling 2022
    p-value
    1.000
    Corrected q
    1.000
  • Value-and-momentum combo across asset-class ETFs (Asness-Moskowitz-Pedersen 'everywhere')

    ETFs · −2.5 pts/yr · 206 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • 12-1 momentum with a 10% per-holding stop-loss and cash-to-SHY, monthly entry, daily checks (Han-Zhou-Zhu) on 25 ETFs

    ETFs · −2.7 pts/yr · 1,872 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/etfxs
    p-value
    1.000
    Corrected q
    1.000
  • Crypto momentum consensus (14/21/28) with the most recent week removed from every horizon, weekly

    crypto · −2.8 pts/yr · 386 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/r2
    p-value
    1.000
    Corrected q
    1.000
  • Sector residual momentum: rank sectors by the Sharpe of their market-residual return over months 12-2 (Blitz-Huij-Martens)

    ETFs · −2.9 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • Commodity dual momentum: top 2 of GLD/SLV/USO/DBC/UNG by 12-month return, else SHY (Antonacci)

    ETFs · −3.0 pts/yr · 184 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • Clenow dual-momentum ETF rotation

    ETFs · −3.1 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Antonacci/Clenow-style dual momentum rotation
    p-value
    1.000
    Corrected q
    1.000
  • Sector momentum rotation only while credit is in an uptrend (HYG/LQD ratio)

    ETFs · −3.3 pts/yr · 101 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/macro
    p-value
    1.000
    Corrected q
    1.000
  • Factor momentum across five stock sleeves (wide US stocks)

    US stocks · −3.4 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    u/ImNotSelling, r/Trading 1wop3th (people who make it adapt strategies to conditions and drop what stops working); Ehsani & Linnainmaa 2022 JF 'Factor momentum and the momentum factor'; Gupta & Kelly 2019 JPM
    p-value
    1.000
    Corrected q
    1.000
  • Frog-in-the-pan continuous momentum on ETFs: among the top 10 by 12-1, hold the 5 with the smoothest path

    ETFs · −3.4 pts/yr · 89 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/etfxs
    p-value
    1.000
    Corrected q
    1.000
  • BTC-only when VIX is above its yearly median, top alts otherwise

    crypto · −3.5 pts/yr · 395 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/macro
    p-value
    1.000
    Corrected q
    1.000
  • Sector momentum acceleration

    ETFs · −3.6 pts/yr · 96 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Gettleman & Marks 2006 SSRN ('Acceleration strategies'); Chen & Yu 2014
    p-value
    1.000
    Corrected q
    1.000
  • Sector momentum in trending markets, reversal in choppy ones

    ETFs · −3.6 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    u/GemeriCorp, r/Trading 1wop3th (regime drift); Kaufman 2013 (efficiency ratio); Moskowitz & Grinblatt 1999; Jegadeesh 1990
    p-value
    1.000
    Corrected q
    1.000
  • Crypto intermediate momentum echo: long the top 6 by the week-5-to-week-12 return, weekly (Novy-Marx transfer)

    crypto · −3.6 pts/yr · 365 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/acad2
    p-value
    1.000
    Corrected q
    1.000
  • Vol-neutralized cross-sectional momentum (crypto) (wide US stocks)

    US stocks · −3.8 pts/yr · 2,045 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Asness, Moskowitz, Pedersen (2013) JF 'Value and Momentum Everywhere'
    p-value
    1.000
    Corrected q
    1.000
  • Tranched weekly momentum: average of the last four weekly top-5 12-1 portfolios (rebalance-timing-luck fix)

    ETFs · −3.9 pts/yr · 391 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/etfxs
    p-value
    1.000
    Corrected q
    1.000
  • Real-yield factor momentum: hold the 5 of 25 ETFs with the highest (rising yields) or lowest (falling yields) 52-week beta to weekly real-yield changes

    ETFs · −4.0 pts/yr · 1,001 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/macro
    p-value
    1.000
    Corrected q
    1.000
  • Unanimous multi-horizon momentum: 5 of 25 ETFs with the best worst-rank across 1, 3, 6 and 12 month returns

    ETFs · −4.0 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/etfxs
    p-value
    1.000
    Corrected q
    1.000
  • 12-1 momentum with a 10% per-name stop-loss

    US stocks · −4.1 pts/yr · 1,867 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Han, Zhou & Zhu 2016 JFE ('Taming momentum crashes: a simple stop-loss strategy')
    p-value
    1.000
    Corrected q
    1.000
  • Dominance extreme mean-reversion: rotate into alts after BTC has outrun them

    crypto · −4.2 pts/yr · 395 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Intermediate momentum: top 6 of 25 ETFs by the return from 12 to 7 months ago (skips the latest 7 months), monthly

    ETFs · −4.2 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/etfxs
    p-value
    1.000
    Corrected q
    1.000
  • Value-and-momentum combo in stocks (12-1 momentum + 24-month reversal skipping 12)

    US stocks · −4.3 pts/yr · 66 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • Crypto dollar-volume-share momentum (30 vs 180 sessions), weekly

    crypto · −4.3 pts/yr · 395 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Liu, Tsyvinski & Wu 2022 JF (volume factors); Barber & Odean 2008 RFS (attention)
    p-value
    1.000
    Corrected q
    1.000
  • Recency of the 52-week high: near the high AND the high was set recently (Bhootra-Hur)

    US stocks · −4.3 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • Sector and metal ETFs catch up to their underlying drivers

    ETFs · −4.4 pts/yr · 304 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Hong, Torous & Valkanov 2007 JFE; Driesprong, Jacobsen & Maat 2008 JFE
    p-value
    1.000
    Corrected q
    1.000
  • Sharpe-ranked ETF rotation: top 6 of 25 by 126-day return/volatility, inverse-volatility weights, positive scores only

    ETFs · −4.4 pts/yr · 95 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/etfxs
    p-value
    1.000
    Corrected q
    1.000
  • Correction-state resilience: equal-weight all 40 until the average name is 7% off its 63-day high, then hold only the 8 shallowest drawdowns

    US stocks · −4.5 pts/yr · 98 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/stockxs
    p-value
    1.000
    Corrected q
    1.000
  • Asset-class-neutral momentum: best 2 equity ETFs, best bond, best commodity by 12-1, inverse-volatility weighted

    ETFs · −4.6 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/etfxs
    p-value
    1.000
    Corrected q
    1.000
  • Acceleration: long stocks whose last-6-month return most exceeds the prior 6 months (Ardila-Alvarez-Forro-Sornette)

    US stocks · −4.7 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • 12-1 momentum excluding the top tercile by idiosyncratic risk (wide US stocks)

    US stocks · −4.7 pts/yr · 86 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Ben-David et al. via SSRN top-20 #12
    p-value
    1.000
    Corrected q
    1.000
  • Fresh momentum: recent winners whose prior six months were losers (Chen-Kadan-Kose)

    US stocks · −4.9 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • Index-level overnight-return momentum: long QQQ/DIA while the trailing 20-day overnight return is positive

    ETFs · −5.0 pts/yr · 359 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • Calmar-ranked ETFs: top 6 of 25 by 252-day return divided by 252-day maximum drawdown, monthly

    ETFs · −5.0 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/etfxs
    p-value
    1.000
    Corrected q
    1.000
  • Momentum plus low-volatility rank combination: 6 of 25 ETFs with the best sum of 12-1 rank and 252d low-volatility rank

    ETFs · −5.1 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/etfxs
    p-value
    1.000
    Corrected q
    1.000
  • Exclusion screen: hold the other 32 of 40 large caps after dropping the 8 weakest 12-1 momentum names, monthly

    US stocks · −5.2 pts/yr · 89 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/stockxs
    p-value
    1.000
    Corrected q
    1.000
  • Market-state momentum: 12-1 momentum only after a positive 24-month market (Cooper-Gutierrez-Hameed)

    US stocks · −5.3 pts/yr · 76 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • Sector momentum top 3 (6 months) gated by sector breadth hysteresis, else IEF

    ETFs · −5.4 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/redteam
    p-value
    1.000
    Corrected q
    1.000
  • Correlation-capped diversified momentum: walk down the 12-1 ranking, skip any ETF with 126-day correlation > 0.7 to a holding

    ETFs · −5.7 pts/yr · 89 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/etfxs
    p-value
    1.000
    Corrected q
    1.000
  • Low-volume momentum winners (Lee-Swaminathan): among the top 7 of 13 equity ETFs by 12-1, hold the 4 with the lowest recent volume

    ETFs · −5.8 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/etfxs
    p-value
    1.000
    Corrected q
    1.000
  • Williams %R(14) momentum: long on the cross above -20 while the close is above the 50-day SMA

    ETFs · −5.8 pts/yr · 1,864 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/retailta
    p-value
    1.000
    Corrected q
    1.000
  • Three-factor residual momentum across 22 ETFs (factors QQQ, IEF, DBC), months 12-2 residual, monthly

    ETFs · −5.9 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/etfxs
    p-value
    1.000
    Corrected q
    1.000
  • Momentum crash gate: 12-1 momentum scaled down in bear + high-vol states (Daniel-Moskowitz)

    US stocks · −6.0 pts/yr · 77 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • 12-1 momentum top 15% only when market breadth (% above 200-day) is at least 50%

    US stocks · −6.3 pts/yr · 81 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/redteam
    p-value
    1.000
    Corrected q
    1.000
  • Elder-Ray: bear power rising from below with a rising EMA

    ETFs · −6.5 pts/yr · 3,482 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Cross-asset time-series momentum (bonds signal stocks, stocks signal bonds)

    ETFs · −6.5 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Pitkajarvi, Suominen & Vaittinen 2020 JFE ('Cross-asset signals and time series momentum')
    p-value
    1.000
    Corrected q
    1.000
  • True Strength Index (25,13) signal cross while TSI is above zero

    ETFs · −6.6 pts/yr · 1,167 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/retailta
    p-value
    1.000
    Corrected q
    1.000
  • Volume-return dynamics: continuation where trading is informed

    US stocks · −6.8 pts/yr · 350 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Llorente, Michaely, Saar & Wang 2002 RFS ('Dynamic volume-return relation of individual stocks')
    p-value
    1.000
    Corrected q
    1.000
  • VIX-curve dispatch on sectors: momentum while the curve is in contango, short-term reversal when it is inverted, weekly

    ETFs · −6.8 pts/yr · 430 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/macro
    p-value
    1.000
    Corrected q
    1.000
  • Dollar-factor momentum in stocks: hold the 8 of 40 large caps with the highest (dollar rising) or lowest (dollar falling) 52-week beta to weekly dollar changes

    US stocks · −6.9 pts/yr · 386 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/macro
    p-value
    1.000
    Corrected q
    1.000
  • Overnight-return momentum across 13 equity ETFs: top 4 by 12-1 sum of overnight (close-to-open) log returns

    ETFs · −6.9 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/etfxs
    p-value
    1.000
    Corrected q
    1.000
  • Volatility-contraction momentum: among sectors with positive 126-day return, hold the 4 with the lowest 21d/126d volatility ratio

    ETFs · −7.0 pts/yr · 404 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/etfxs
    p-value
    1.000
    Corrected q
    1.000
  • Nearness to the 52-week high predicts the index: hold QQQ/DIA only when within 5% of the 252-day closing high (Li-Yu)

    ETFs · −7.2 pts/yr · 150 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/acad4
    p-value
    1.000
    Corrected q
    1.000
  • Hidden bullish RSI(14) divergence in an uptrend: higher price low with a lower RSI low

    ETFs · −7.4 pts/yr · 231 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/retailta
    p-value
    1.000
    Corrected q
    1.000
  • Crypto frog-in-the-pan: among 12-week winners, long the 5 with the most continuous (least discrete) information arrival (Da-Gurun-Warachka transfer)

    crypto · −7.5 pts/yr · 251 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/acad2
    p-value
    1.000
    Corrected q
    1.000
  • Elastic Asset Allocation (golden defensive)

    ETFs · −7.6 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Keller & Butler 2014 SSRN ('Elastic Asset Allocation (EAA)')
    p-value
    1.000
    Corrected q
    1.000
  • Skip-week quarterly momentum, weekly rebalance: top 4 of 13 equity ETFs by the 13-week return ending one week ago

    ETFs · −7.6 pts/yr · 429 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/etfxs
    p-value
    1.000
    Corrected q
    1.000
  • Relative Rotation Graph: sectors in the leading quadrant

    ETFs · −7.8 pts/yr · 322 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    de Kempenaer, JdK RS-Ratio and RS-Momentum (Relative Rotation Graphs, Bloomberg/StockCharts)
    p-value
    1.000
    Corrected q
    1.000
  • Dollar-neutral sector momentum: long the top 3, short the bottom 3 of 11 sectors by 12-1, monthly (Moskowitz-Grinblatt)

    ETFs · −8.6 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/etfxs
    p-value
    1.000
    Corrected q
    1.000
  • Crypto momentum crash gate: 3-week cross-sectional momentum scaled down after a bear year with high vol (Daniel-Moskowitz in crypto)

    crypto · −9.9 pts/yr · 289 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • True strength momentum

    US stocks · −10.0 pts/yr · 249 trades · corrected q 1.000

    Source, p-value and result file
    Source
    none published (Tickfloor research-desk test)
    p-value
    1.000
    Corrected q
    1.000
  • Triple-smoothed rate of change

    US stocks · −10.0 pts/yr · 188 trades · corrected q 1.000

    Source, p-value and result file
    Source
    none published (Tickfloor research-desk test)
    p-value
    1.000
    Corrected q
    1.000
  • Beta-hedged sector momentum: long the top 3 sectors by 12-1, short QQQ for their beta, monthly (relative strength only)

    ETFs · −10.2 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/etfxs
    p-value
    1.000
    Corrected q
    1.000
  • Daily Coppock curve

    US stocks · −10.5 pts/yr · 361 trades · corrected q 1.000

    Source, p-value and result file
    Source
    none published (Tickfloor research-desk test)
    p-value
    1.000
    Corrected q
    1.000
  • Pring Know Sure Thing (KST) trend

    crypto · −10.6 pts/yr · 705 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Pring 1992 'Martin Pring on Market Momentum' (KST oscillator)
    p-value
    1.000
    Corrected q
    1.000
  • Raschke 3/10 oscillator first cross

    US stocks · −10.7 pts/yr · 5,172 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Crypto one-week cross-sectional momentum, weekly (Liu-Tsyvinski-Wu r1,0)

    crypto · −11.8 pts/yr · 377 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • Ichimoku Kijun-sen bounce in an uptrend

    US stocks · −13.9 pts/yr · 1,786 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Clenow 100-day momentum + volatility parity rebalance (wide US stocks)

    US stocks · −14.1 pts/yr · 404 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Andreas Clenow, 'Stocks on the Move' (2015)
    p-value
    1.000
    Corrected q
    1.000
  • Episodic pivot breakout (gap + consolidation + breakout) (wide US stocks)

    US stocks · −14.2 pts/yr · 40 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Kristjan Qullamaggie 'episodic pivot' setup (public trading blog/threads)
    p-value
    1.000
    Corrected q
    1.000
  • RSI(14) above 70 as a momentum buy on US stocks: enter on the cross above 70, exit below 50

    US stocks · −14.3 pts/yr · 749 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • Pocket pivot volume signature

    US stocks · −14.8 pts/yr · 2,278 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Morales & Kacher 2010 'Trade Like an O'Neil Disciple' (pocket pivots)
    p-value
    1.000
    Corrected q
    1.000
  • Breakout and retest: buy the first pullback to a broken 50-day high within 15 bars, stop 3% under the level

    US stocks · −14.9 pts/yr · 1,296 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • Al Brooks H2 second-entry buy above the 20 EMA

    US stocks · −16.0 pts/yr · 1,629 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Weekly RSI > 50 trend, daily RSI 40 pullback (multi-timeframe RSI)

    US stocks · −16.0 pts/yr · 483 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • RSI bull-range support test (Cardwell/Brown range rules)

    US stocks · −16.1 pts/yr · 241 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • On-Balance Volume (OBV) divergence (wide US stocks)

    US stocks · −16.2 pts/yr · 16,773 trades · corrected q 1.000

    Source, p-value and result file
    Source
    YouTube 'OBV divergence secret' and r/algotrading OBV threads
    p-value
    1.000
    Corrected q
    1.000
  • Cross-sectional 20-day OVERNIGHT-return momentum (close-to-open component only)

    US stocks · −16.3 pts/yr · 439 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Lou, Polk & Skouras (2019), 'A tug of war: Overnight versus intraday expected returns', JFE 134(1)
    p-value
    1.000
    Corrected q
    1.000
  • O'Neil 50-day line: buy the first pullback that touches a rising 50-day SMA above the 200-day, sell 3% below it

    US stocks · −16.7 pts/yr · 344 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • Semiconductors lead downstream tech (supply-chain lead-lag)

    US stocks · −16.8 pts/yr · 109 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Menzly & Ozbas 2010 JF ('Market segmentation and cross-predictability of returns'); Cohen & Frazzini 2008 JF (economic links)
    p-value
    1.000
    Corrected q
    1.000
  • Crypto breadth thrust (Zweig-style)

    crypto · −16.8 pts/yr · 1,385 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Zweig 1986 'Winning on Wall Street' (breadth thrust)
    p-value
    1.000
    Corrected q
    1.000
  • TRIX(15) signal-line cross: long when TRIX crosses above its 9-period EMA

    crypto · −17.1 pts/yr · 863 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/retailta
    p-value
    1.000
    Corrected q
    1.000
  • Landry three-bar pullback in a rising 50-day SMA

    US stocks · −17.1 pts/yr · 1,048 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Relative-strength line at a new high before price

    US stocks · −17.3 pts/yr · 78 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    O'Neil / IBD 'RS line leads price' rule; Bulkowski 2005
    p-value
    1.000
    Corrected q
    1.000
  • Stockbee 4% momentum burst: 4%+ up day on 1.5x volume, strong close, quiet prior 3 days, 5-day hold

    US stocks · −17.4 pts/yr · 307 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • MACD histogram bullish divergence: lower price low, higher histogram low, confirmed pivot

    US stocks · −17.5 pts/yr · 686 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/retailta
    p-value
    1.000
    Corrected q
    1.000
  • The Strat 2-1-2 bullish reversal

    US stocks · −17.9 pts/yr · 1,285 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Crypto cross-sectional momentum, top/bottom 2 of dollar-volume universe (wide US stocks)

    US stocks · −17.9 pts/yr · 437 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Jegadeesh-Titman style cross-sectional momentum applied to crypto
    p-value
    1.000
    Corrected q
    1.000
  • Clenow 100-day momentum + volatility parity rebalance

    US stocks · −17.9 pts/yr · 404 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Andreas Clenow, 'Stocks on the Move' (2015)
    p-value
    1.000
    Corrected q
    1.000
  • Episodic pivot breakout (gap + consolidation + breakout)

    US stocks · −17.9 pts/yr · 15 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Kristjan Qullamaggie 'episodic pivot' setup (public trading blog/threads)
    p-value
    1.000
    Corrected q
    1.000
  • Serial-correlation momentum gate

    US stocks · −19.7 pts/yr · 268 trades · corrected q 1.000

    Source, p-value and result file
    Source
    none published (Tickfloor research-desk test)
    p-value
    1.000
    Corrected q
    1.000
  • Crypto cross-sectional momentum, flat when VIX is above 25

    crypto · −20.0 pts/yr · 327 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/macro
    p-value
    1.000
    Corrected q
    1.000
  • Donchian cross-sectional momentum (top/bottom 2, 30d reb) (wide US stocks)

    US stocks · −20.2 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Donchian-style trend-following adapted cross-sectionally
    p-value
    1.000
    Corrected q
    1.000
  • Vol-neutralised 90-day momentum (top 20%) with a 50% hold buffer, daily

    crypto · −20.4 pts/yr · 2,377 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/r2
    p-value
    1.000
    Corrected q
    1.000
  • Cross-sectional 20-day TOTAL-return momentum (matched control for the overnight version)

    US stocks · −20.7 pts/yr · 439 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    none published (Tickfloor research-desk test)
    p-value
    1.000
    Corrected q
    1.000
  • Altcoin Season Index regime switch

    crypto · −22.5 pts/yr · 395 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    blockchaincenter.net Altcoin Season Index (75% of alts beating BTC over 90 days = alt season, 25% = BTC season)
    p-value
    1.000
    Corrected q
    1.000
  • Large-cap vs mid-cap crypto rotation by relative momentum

    crypto · −22.9 pts/yr · 395 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • BTC-only when the dollar is rising, top alts when it is falling

    crypto · −26.2 pts/yr · 395 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/macro
    p-value
    1.000
    Corrected q
    1.000
  • Carry-adjusted momentum: 28-day return net of cumulative funding paid

    crypto · −27.0 pts/yr · 1,290 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Does ranking crypto by gain-to-pain beat chasing the biggest winners?

    crypto · −27.1 pts/yr · 365 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    retail trading content: Jack Schwager gain to pain ratio crypto portfolio ranking
    p-value
    1.000
    Corrected q
    1.000
  • Crypto cross-sectional momentum, top/bottom 2 of dollar-volume universe

    crypto · −29.3 pts/yr · 356 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Jegadeesh-Titman style cross-sectional momentum applied to crypto
    p-value
    1.000
    Corrected q
    1.000
  • Previous-day-high close-through continuation

    crypto · −35.6 pts/yr · 5,290 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Liquidity-improvement momentum: Amihud illiquidity falling

    crypto · −35.9 pts/yr · 370 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Idiosyncratic volume shock relative to the market

    crypto · −42.4 pts/yr · 97 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Crypto momentum gap: 3-week momentum top 6 only when the winner-loser spread is below its historical median, weekly (Huang transfer)

    crypto · −45.5 pts/yr · 171 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/acad2
    p-value
    1.000
    Corrected q
    1.000
  • Buy the alts that held up best on a BTC crash day

    crypto · −45.8 pts/yr · 850 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    O'Neil 1988 'How to Make Money in Stocks' (relative strength in market corrections); Ang, Chen & Xing 2006 (downside risk)
    p-value
    1.000
    Corrected q
    1.000
  • Online recursive least-squares adaptive momentum weight

    crypto · −46.7 pts/yr · 277 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Cont, R. (various) market microstructure and adaptive filtering literature
    p-value
    1.000
    Corrected q
    1.000
  • Up-volume to down-volume ratio (volume flow) over 20 days

    crypto · −48.2 pts/yr · 3,142 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Stochastic pop (Bernstein/Steckler): buy %K crossing above 80

    crypto · −51.0 pts/yr · 374 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Sector rotation: PoW payment coins vs smart-contract/DeFi coins

    crypto · −52.0 pts/yr · 374 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Short-term volume surge with positive return (continuation)

    crypto · −56.4 pts/yr · 115 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Funding-price divergence: rally that shorts keep fighting

    crypto · −58.2 pts/yr · 210 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Awesome Oscillator twin peaks (Bill Williams)

    crypto · −58.8 pts/yr · 496 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/retail
    p-value
    1.000
    Corrected q
    1.000
  • Regular bullish RSI(14) divergence on daily confirmed pivots

    crypto · −61.1 pts/yr · 127 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/retailta
    p-value
    1.000
    Corrected q
    1.000
  • On-Balance Volume (OBV) divergence

    crypto · −67.2 pts/yr · 7,286 trades · corrected q 1.000

    Source, p-value and result file
    Source
    YouTube 'OBV divergence secret' and r/algotrading OBV threads
    p-value
    1.000
    Corrected q
    1.000
  • ICT weekly open: Monday-Tuesday dip below the weekly open then reclaim, long into Thursday close, in an uptrend (hourly crypto)

    crypto · −77.6 pts/yr · 1,199 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • Open-interest shock day: follow the day's direction for 3 days

    crypto · −79.3 pts/yr · 649 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/cryptoderiv
    p-value
    1.000
    Corrected q
    1.000
  • Tick-rule order-flow imbalance with a weekly trend filter

    crypto · −80.0 pts/yr · 6,215 trades · corrected q 1.000

    Source, p-value and result file
    Source
    Easley, Lopez de Prado & O'Hara 2012 RFS (flow toxicity, VPIN, tick-rule volume classification); Chordia & Subrahmanyam 2004 JFE (order imbalance predicts returns)
    p-value
    1.000
    Corrected q
    1.000
  • Alts that lag a big BTC up-day catch up

    crypto · −87.4 pts/yr · 335 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Sifat, Mohamad & Shariff 2019 RIBAF (lead-lag between Bitcoin and altcoins); Hou 2007 RFS (gradual diffusion lead-lag)
    p-value
    1.000
    Corrected q
    1.000
  • OI-confirmed hourly impulse continuation

    crypto · −89.0 pts/yr · 1,488 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • YouTube MACD + 200 EMA: hourly MACD cross up below the zero line above the 200 EMA, 1.5R target, swing-low stop (crypto)

    crypto · −89.1 pts/yr · 2,541 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/pop
    p-value
    1.000
    Corrected q
    1.000
  • Donchian cross-sectional momentum (top/bottom 2, 30d reb)

    crypto · −90.2 pts/yr · 83 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Donchian-style trend-following adapted cross-sectionally
    p-value
    1.000
    Corrected q
    1.000
  • Asia-session move continues into the London session

    crypto · −91.6 pts/yr · 1,352 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    p-value
    1.000
    Corrected q
    1.000
  • Monday-morning move sets the week's direction

    crypto · −94.3 pts/yr · 617 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    p-value
    1.000
    Corrected q
    1.000
  • Extreme 24h move continuation (|z| >= 2.5, hold 24h)

    crypto · −97.1 pts/yr · 1,286 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    p-value
    1.000
    Corrected q
    1.000
  • Trade in the direction of a perp funding sign flip

    crypto · −98.2 pts/yr · 1,750 trades · corrected q 1.000

    Full test: Funding Rate and Open Interest

    Source, p-value and result file
    Source
    He, Manela, Ross & von Wachter 2022; Kaiko research on funding regime shifts
    p-value
    1.000
    Corrected q
    1.000
  • Hourly crypto 24h momentum only while VIX3M is trending down

    crypto · −102.6 pts/yr · 14,241 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/macro
    p-value
    1.000
    Corrected q
    1.000
  • Hourly Stochastic RSI (14,14,3,3) cross up from below 20 above the 200 EMA

    crypto · −103.3 pts/yr · 5,382 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/retailta
    p-value
    1.000
    Corrected q
    1.000
  • Prior-day close-location continuation into the next morning

    crypto · −109.5 pts/yr · 6,878 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    p-value
    1.000
    Corrected q
    1.000
  • Opening-4-hour volume surge continuation

    crypto · −118.2 pts/yr · 4,768 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/intraday
    p-value
    1.000
    Corrected q
    1.000
  • US equity-open hour momentum in crypto

    crypto · −128.8 pts/yr · 7,038 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/crypto
    p-value
    1.000
    Corrected q
    1.000
  • Doji at extreme + volume spike reversal

    crypto · −133.2 pts/yr · 18 trades · corrected q 1.000

    Full test: Candlestick Patterns

    Source, p-value and result file
    Source
    TikTok 'doji candle secret' and volume-spike reversal reels
    p-value
    1.000
    Corrected q
    1.000
  • Intraday momentum in crypto: first-hour return predicts the last hour of the UTC day (Gao-Han-Li-Zhou)

    crypto · −137.7 pts/yr · 19,735 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/acad
    p-value
    1.000
    Corrected q
    1.000
  • Same-hour 14-day volatility band breakout on hourly crypto, flat at 23:00 UTC

    crypto · −163.4 pts/yr · 32,636 trades · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/acad4
    p-value
    1.000
    Corrected q
    1.000
How to read these results

"Vs benchmark" is the strategy's annualized return minus an equal-weight benchmark, rebalanced daily, on the same assets and days. Strategies are charged trading costs; the benchmark pays none. Ahead is not a confirmed edge: the p-value is the unadjusted chance of a gap this large by luck, and the corrected q allows for how many strategies were tried, because testing hundreds of ideas throws up lucky winners. Every strategy saw only data up to the same cutoff date. The receipt is the frozen result file for that rule.

"Sample" is trades for rules that enter and exit a position, and rebalances for portfolio rules. A rebalance is a scheduled date on which a portfolio rule re-ranks and held at least one position. It is the sample size for portfolio rules. A holdings change is a rebalance where what the portfolio held, or its weights, differed from the previous one. Only these cost money to trade. The two are different counts and are never swapped. Definitions.

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