Small-Portfolio 12-1 Month Momentum on the Nine Original Select Sector SPDRs: Long Top-3 / Short Bottom-3, Equal-Weight 50/50 Gross, Monthly Rebalance (USEQ DAILY, long-short, 2 parameters)

Source: QuantConnect Strategy Library #162 'Momentum Effect in Stocks in Small Portfolios' (after Quantpedia), section 'Method'. The source ranks US stocks by trailing 12-month return and goes long the top 10 and short the bottom 10, equal weight, 50% gross per side, rebalanced yearly. We keep the mechanism (a small, equal-weight long-winners / short-losers portfolio ranked on 12-month return, 0.5 gross per side) and make three changes, each forced by this factory's evidence. (1) UNIVERSE: the source needs a point-in-time all-US-stocks universe with fundamentals and market cap, which we do not have. Lesson 151 kills hand-picked stock lists and lesson 173 says cross-sectional books over ~10 names time out. So we use the nine ORIGINAL Select Sector SPDR ETFs (XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY). That set is defined by one listing event (all nine launched together in December 1998) and not by later performance. It partitions the S&P 500, so every name in it is liveable and nothing was selected with hindsight. XLC and XLRE are excluded because they launched in 2018 and 2015 and would change the cross-section partway through. Sector momentum (Moskowitz & Grinblatt 1999) is the industry-level form of the same effect and carries most of the stock-level momentum premium. (2) N: with 9 names, top-3 / bottom-3 is the same one-third tails as the source's top/bottom decile of a small portfolio. (3) REBALANCE: the source rebalances yearly, which gives about 26 rebalances over our history and only about 5 in the 20% holdout, too few to measure. We rebalance MONTHLY with a 12-month formation window that skips the most recent month (12-1, the standard Jegadeesh-Titman construction, which avoids the 1-month reversal). Ranks are persistent, so only about 1-2 legs change each month. DATA: USEQ daily bars exist in the catalog for all nine ETFs from 1998-12 onward, which gives about 26 years after a 252-session warm-up. PER-TRADE ARITHMETIC: the average holding per leg is about 3-5 months. The historical top-minus-bottom-third sector spread is about 0.3-0.6% per month, and each leg's absolute move is about 1.5-3% per month. The expected mean per-leg trade return is about +0.8% of notional (winners held longer than losers, per leg) against a USEQ round-trip cost of about 0.04% (zero commission, about 1bp half-spread plus impact on these ETFs). That is about 20x the cost, so this is not a fee_edge candidate. The risk is momentum crashes, not fees. EXPECTED TRADE COUNT: about 300 rebalances with about 2 leg round trips each, so roughly 500-700 lifetime round trips and about 100+ in the holdout. FLAT STATE: the strategy is fully flat only during the 252-session warm-up, and after that it always holds 3 longs and 3 shorts. This is a deliberate exception to lesson 150. That lesson's cost argument (a double round trip on each sign flip) does not bind here: legs flip at most monthly, and the cost is about 0.04% on a zero-commission venue. Declared time in market is about 96% of history. No gate, filter or supplementary feed is used (lesson 130). A long-only 'top-3 only' variant, if wanted, must be pre-registered and scored separately. It is not part of this claim.