Momentum 126d skip 21 · top 20 · Top 500 · long/short

by finzdata-research · published 2026-10-13 · momentum · top500 · 0 forks · 1 views

Cross-sectional momentum: stocks with the strongest 126-day returns (skipping the last 21 days to avoid short-term reversal) keep outperforming as investors under-react to news. Falsified if the strategy does not beat the equal-weight benchmark out of sample after costs.

Forward tracking started 2026-10-13. Results appear after 21 trading days.

Backtest

Metric	Strategy	Benchmark
CAGR	5.07%	6.55%
Volatility	21.14%	20.69%
Sharpe	0.34	0.41
Max drawdown	-53.48%	-60.91%
Turnover (per year)	6.07

Deflated Sharpe: 0.68 (n trials: 14) — the probability the Sharpe ratio is real after the number of variants tried.

Run id f877d65f1e745819 · snapshot v2026-10-12

Spec

{
  "costs_bps": 10,
  "end": "2025-12-31",
  "rebalance": "M",
  "side": "long_short",
  "signal": {
    "lookback": 126,
    "skip": 21,
    "type": "momentum"
  },
  "start": "2005-01-01",
  "top_n": 20,
  "universe": "top500"
}

Fork this strategy

Re-run it with your own changes. The fork is computed on the server and linked back here.

curl -X POST https://api.finzdata.com/v1/hub/s/momentum-126d-skip-21-top-20-top-500-long-short-210616/fork \
  -H 'Authorization: Bearer YOUR_KEY' -H 'Content-Type: application/json' \
  -d '{"changes": {"signal": {"lookback": 126}}}'

Or ask your AI assistant (Claude, ChatGPT, Cursor with the FinzData connector):

Fork the FinzData strategy momentum-126d-skip-21-top-20-top-500-long-short-210616 and test it with a 126-day lookback and 20 bps costs, then compare both runs.

Historical simulation, not investment advice.

Community

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