Hypotheses
Skipped-Month Formation Momentum: Long-Short US Sector ETFs
Test whether sector winners over a multi-month formation period outperform sector losers over the next 21 trading sessions. Trade eight liquid US sector ETFs using synchronized daily bars, buying the two highest-ranked…
Hypothesis
Test whether sector winners over a multi-month formation period outperform sector losers over the next 21 trading sessions. Trade eight liquid US sector ETFs using synchronized daily bars, buying the two highest-ranked sectors and shorting the two lowest-ranked sectors. Exclude the most recent 21 sessions from formation returns to separate medium-term persistence from immediate reversal. This is an adaptation, not a replication of the original stock-decile study. Evaluate subsequent executable returns, never the formation-period averages shown in the source.
Analysis
replicating momentum strategy - Formation Periods
Backtest and paper results are hypothetical. Trading involves risk of loss.