US Megacap Momentum
freeThe classic 12-1 momentum tilt with a trend confirmation, on the 40 most liquid US names.
Each month it ranks the 40 largest US names by their past 12 months' return (skipping the most recent month, which tends to reverse), keeps the 8 strongest, and requires each to trade above its long-term trend. Momentum is the most replicated anomaly in finance (winners keep winning for months), but it gives back ground in sharp reversals, so the trend filter cuts names that break down.
Live record, paper-traded nightly since 2026-07-26
AMD · MRK · CSCO · LLY · JNJ · XOM · KO · AAPL
The record accrues live from 2026-07-26 and is never backfilled.
Standing backtest · 2006-10-30 → 2026-09-16
| Year | Strategy | Benchmark |
|---|---|---|
| 2006 | +0.0% | +3.3% |
| 2007 | +0.7% | +5.1% |
| 2008 | -37.0% | -36.8% |
| 2009 | +55.0% | +26.4% |
| 2010 | +34.6% | +15.1% |
| 2011 | -4.7% | +1.9% |
| 2012 | +14.1% | +16.0% |
| 2013 | +59.0% | +32.3% |
| 2014 | +27.1% | +13.5% |
| 2015 | +28.4% | +1.2% |
| 2016 | +33.4% | +12.0% |
| 2017 | +25.0% |
Track records shown are paper-traded model performance, not client returns, and never a promise of future results. Nothing here is personalized investment advice.