Price & Market BehaviorCore researchlive in production

Time-Series Momentum

Updated dailyData needs: lowlong shortlong onlyshort only

In plain terms

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.

How it works

Sign of trailing 12-month return × inverse-volatility scaling (Moskowitz-Ooi-Pedersen 2012). The canonical hedge-fund trend signal — distinct from "multi-horizon trend voting" because it explicitly vol-scales exposure. Sweep lookbacks (63/126/252d) × vol targets (0.15/0.20/0.30) × direction (long_only, long_short, short_only).

Live results

177 times picked on its own · 323 times inside a blend (155 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 323 such blended picks (155 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: 0.7-1.0 (1985-2009); ~0.3 single-stock OOS
Tested over: 1985-2009

0.7-1.0 Sharpe across asset classes 1985-2009; ~0.3 single-stock OOS

Example tickers where this is likely to fire

SPY QQQ GLD

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

Related families

Cross Sectional MomentumPrice & Market Behavior

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.

Volatility-Timed TrendPrice & Market Behavior

A moving-average crossover rule, but turned on only when the stock's recent volatility is in a regime where MA rules have historically worked.

Explore Time-Series Momentum on alphactor.ai

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

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