A momentum strategy that looks at the rate at which the most recent returns of a stock has moved in relation to a prior period. Greater the most recent move, higher its rank.

Positions have a 5% trailing stop-loss that is checked once a day and rebalanced.

This model was created on 2018-May-03 and was last updated on 2021-Sep-24
Minimum investment: $25000
Created by: FreeFloat
Cumulative Returns
lookback (days) strategy SPY MTUM
{{item.LB === 2147483647 ? 'inception' : item.LB}}
risk-free rate: 2.5%; MAR: 0%; benchmark: SPY
symbol weightage
From Trough To Depth Length To Trough Recovery
{{dd.FROM_DT ? moment(dd.FROM_DT).format('YYYY-MMM-DD') : '-'}} {{dd.TROUGH_DT ? moment(dd.TROUGH_DT).format('YYYY-MMM-DD') : '-'}} {{dd.TO_DT ? moment(dd.TO_DT).format('YYYY-MMM-DD') : '-'}} {{numeral(dd.DEPTH).format('#,0.00%')}} {{dd.LENGTH}} {{dd.TROUGH}} {{dd.RECOVERY}}
Strategy vs. SPY and MTUM