The Test Bench › scanner
Does 6-Month Price Momentum (top 50) actually work?
DEAD
No edge left once tested on a fair footing.
The claim
Recent winners keep winning
— Momentum tradition
What we did
Tested against Equal-weight survivorship-free peer universe + SPY, net of cost, 2003–2026, OOS ≥ 2021.
The result
Result: -0.6 net-αSPY %/yr (beats index net of cost)
vPEERS −0.6 (IS +1.2 → OOS −2.1, regime-flipped)
Verdict
Worked in-sample, decayed out-of-sample. Naked price momentum has been arbitraged thin.
What the test did and did not do survivorship-free universe net of real costs tested out of sample point-in-time data checked for look-ahead Almost nobody publishing a backtest says which of these they did. We list the ones we failed as well as the ones we passed.
Tested 2026-06-23. The same treatment,
applied to every other system, is on the test bench .
Written with AI assistance from our own test database. The numbers are computed, not composed.
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Built by Nathan Joel — a retired founder who tests markets for the love of it, who decided to make the studies
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carry biases we work hard to remove but cannot eliminate entirely. Past performance guarantees nothing — and trading carries a real risk of loss; selling options in particular can lose far more than the premium collected . It's your money — we don’t touch it, and we won’t tell you what to do with it.
Generated 2026-11-06 from the Trading Truth database.
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