MomentumHIGHEST RETURN

Intermediate Trend Leaders

Stocks whose 15-week average is strongest relative to their 36-week trend.

Point-in-time S&P 500 · Top 10 equal weight · Monthly rebalance · Jul 2023 – Jul 2026

Requested start: 2023-07-14 · First tradable strategy date: 2023-07-17

Growth of $100

Strategy$459

S&P 500 (SPY proxy)$173

Audited endpoint comparison from the production screening artifact. The daily path is intentionally not reconstructed from summary data.

Source: screening-20260716-f3000f0 · code f3000f0

Performance Summary (Jul 2023 – Jul 2026)

+359%

Period Cumulative Return

+286 pts

vs. SPY benchmark proxy

1.60

Sharpe Ratio

-29%

Max Drawdown

66.8%

Annualized Return

31%

Average Rebalance Turnover

1.10%

Cumulative Modeled Cost Rate

+73.3%

SPY Proxy Period Return

Selection disclosure: this strategy was selected after screening 75 factors over this same period. Its published result is in-sample and should not be treated as an out-of-sample forecast.

How it's built

Ranks S&P 500 stocks by the ratio of their 75-trading-day average price to their 180-day average price, then holds the top 10. A higher ratio means the intermediate trend is running ahead of the longer baseline.

Signals used

mom_15w_36w_ratio

Why it works

Medium-term trends can persist when investors and institutions adjust gradually to new information. The signal is simple and readable, but it can reverse quickly when market leadership changes; the audited backtest reached a 28.7% maximum drawdown.

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Re-running applies these settings to current platform data and code, so it may not exactly reproduce this archived artifact.

Past performance is not indicative of future results. Backtests are hypothetical. Results use point-in-time S&P 500 membership, a $5 million liquidity floor, and 5 basis points of modeled slippage per side. Commissions and taxes are set to $0. Bid-ask spread beyond the modeled slippage, market impact from large orders, and investor-specific taxes are not modeled. This is not investment advice. See our full disclaimer for details.