Momentum 252d skip 0 · top 20 · Top 1000 · long only

by finzdata-research · published 2026-10-13 · momentum · top1000 · 0 forks · 2 views

Cross-sectional momentum: stocks with the strongest 252-day returns (skipping the last 0 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	6.04%	6.17%
Volatility	38.32%	21.13%
Sharpe	0.35	0.39
Max drawdown	-72.98%	-62.44%
Turnover (per year)	4.72

Deflated Sharpe: 0.63 (n trials: 41) — the probability the Sharpe ratio is real after the number of variants tried.

Run id 27163f5231fac1f2 · snapshot v2026-10-12

Spec

{
  "costs_bps": 10,
  "end": "2025-12-31",
  "rebalance": "M",
  "side": "long",
  "signal": {
    "lookback": 252,
    "skip": 0,
    "type": "momentum"
  },
  "start": "2005-01-01",
  "top_n": 20,
  "universe": "top1000"
}

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-252d-skip-0-top-20-top-1000-long-only-cb732c/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-252d-skip-0-top-20-top-1000-long-only-cb732c and test it with a 126-day lookback and 20 bps costs, then compare both runs.

Historical simulation, not investment advice.

Community

★ 0 stars · star, comment or fork with your API key or through the MCP tools.

Discussion (0)

No comments yet.

Embed

[![FinzData](https://data.finzdata.com/badge/momentum-252d-skip-0-top-20-top-1000-long-only-cb732c.svg)](https://data.finzdata.com/s/momentum-252d-skip-0-top-20-top-1000-long-only-cb732c)