I suggest you ...

Include 1m negative auto correlation into the momentum rank

Is there a reason that the 1m negative auto-correlation is excluded from the momentum rank?

21 votes
Sign in
Check!
(thinking…)
Reset
or sign in with
  • sso
  • facebook
  • google
    Password icon
    Signed in as (Sign out)

    We’ll send you updates on this idea

    dangersimpson shared this idea  ·   ·  Flag idea as inappropriate…  ·  Admin →
    under review  ·  AdminStockopedia Team (Admin, Stockopedia) responded  · 

    This is a very delayed response. We did consider adding in the 1 month reversal into the Momentum Rank. We did though find that this prioritised high relative strength stocks that had suffered a big recent decline.

    I think it would be preferable to use the academic definition of price momentum which excludes the most recent month’s performance. We’re planning on this for 2016.

    0 comments

    Sign in
    Check!
    (thinking…)
    Reset
    or sign in with
    • sso
    • facebook
    • google
      Password icon
      Signed in as (Sign out)
      Submitting...

      Feedback and Knowledge Base