Price & Market BehaviorCore researchlive in production

Cross Sectional Momentum

Updated dailyData needs: low

In plain terms

Compare the stock to its sector peers on 12-month return (excluding last month). If it's in the top third of peers, go long.

How it works

Cross-sectional momentum (Jegadeesh-Titman 1993): rank stocks vs peers on trailing 12m return excluding the most-recent month, long the top tercile. The single-ticker analog compares the stock to its sector ETF — without explicit peer-by-peer ranks we use the stock-minus-sector residual return as a proxy. Sweep formation periods (126/252d) and skip windows (0 vs 21d) for the Jegadeesh-Titman convention.

Live results

40 times picked on its own · 119 times inside a blend (85 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 119 such blended picks (85 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Daily bars
Daily OHLCV bars used by all price-based generators.

Expected edge

Reported Sharpe: ~0.3 since 2010
Tested over: 1965-1989 (Jegadeesh-Titman)

Sharpe declined to ~0.3 since 2010 — survives but crowded

Example tickers where this is likely to fire

NVDA META AAPL

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

Time-Series MomentumPrice & Market Behavior

If a stock has gone up over the last year, bet it keeps going up; if down, bet it keeps going down. Scales the bet smaller when the stock is jumpy.

Idiosyncratic MomentumPrice & Market Behavior

Strip out market and sector moves, then bet on the residual trend — what the stock did beyond what its peers did.

Frog In Pan MomentumPrice & Market Behavior

A series of small same-signed daily moves (continuous info) creates stronger momentum drift than the same total return delivered as a few big jumps.

Explore Cross Sectional Momentum on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

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