Momentum#12tier 1live in production
idiosyncratic momentum
cadence: Dailydata: medium
Mechanism
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
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
ff_factorsWorker data table — see services/worker schema.
Expected edge
See referenced paper for original effect size; modern out-of-sample replication may be weaker.
Illustrative pattern only
NOT a backtestIllustrative pattern only — see /app for live backtests and the actual current equity curve.
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