Momentum#2tier 1live in production

`cross sectional momentum`

cadence: Dailydata: low

Mechanism

For a single ticker, the cross-sectional analog is: rank the stock vs a peer/sector basket on trailing 12m return ex-1m, go long when in the top tercile of its peer group. Implemented per-ticker by comparing to the sector ETF's universe — without explicit peer-by-peer ranks we use the stock vs sector ETF residual return as a

Signal rule

6-month return rank; long top decile, short bottom decile, monthly rebalance

Data dependencies

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

Expected edge

Sharpe declined to ~0.3 since 2010 — survives but crowded

Illustrative pattern only

NOT a backtest

Illustrative pattern only — see /app for live backtests and the actual current equity curve.

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

tsmomMomentum

Sign of trailing 12-month return × inverse-volatility scaling. The canonical hedge-fund trend signal — different from "multi-horizon trend voting" because it explicitly *vol-scales*

idiosyncratic momentumMomentum

Strip out market+factor beta from stock returns via OLS on Fama-French factors, then rank by trailing residual return. Position long when residual is

frog in pan momentumMomentum

Da, Gurun & Warachka (2014) *Review of Financial Studies*, "Frog in the Pan: Continuous Information and Momentum."