Backtesting: over the last month, the best performing momentum portfolio was in small caps, <$500M daily volume
We perform daily backtesting of our risk-adjusted momentum strategy across 35 portfolios, built based on combinations of look back parameters and daily trading volume.
I
irina
September 11, 2026
Our best performing portfolio over the last month earned 9.3% (164% annualised) against S&P 500 performance of -1.4%. Login or subscribe to see the details of the stocks traded and currently held.
