factor · Momentum
Momentum bets that a stock's recent trajectory persists. Our live signal is led by where the price sits inside its 52-week range — stocks near their highs tend to keep outperforming — blended with a short-term price move and a revenue-acceleration read. The mechanism is behavioural: anchoring to the 52-week high and under-reaction to good news.
Investors anchor to a stock's 52-week high. When a name pushes toward that high on good news, some holders sell to 'lock in gains' and new buyers hesitate at the round number — so the price under-reacts and keeps drifting up over the following weeks (George-Hwang 2004). We read that as position inside the 52-week range: near the top is bullish, near the bottom bearish. A short-term price component and a revenue-acceleration read are blended in as secondary, faster-moving inputs. We do not currently run a trailing-12-month (12-1) construction.
inputs · position of today's price inside the 52-week range
· short-term price return (fast, mean-reverting component)
· revenue acceleration: annualised QoQ growth minus YoY growth
ideas · 52-week-range position is the load-bearing signal
· the short-term return is down-weighted (one bad close must
not flip the verdict)
· revenue acceleration nudges the score toward an inflecting
business, then the result is standardised across the universe
output · cross-sectional standardised scoreThe exact range buckets, the blend weights between the 52-week position and the short-term component, and the revenue-acceleration weighting are calibrated and proprietary. Public: that the dominant signal is 52-week-range position (George-Hwang 2004), that a short-term price move and revenue acceleration are blended in as secondary inputs, and that the result is sign-aligned (high score → bullish). We do NOT currently run the 12-1 Jegadeesh-Titman construction — that remains a roadmap item.
Daily price refresh runs every 5 minutes during market hours; the 52-week high/low come from Yahoo Finance EOD data and the range position is computed at scoring time, with revenue growth from FMP fundamentals. The factor feeds the composite at scoring time. Cross-asset macro conditions (HYG/LQD ratio, DXY, VIX backwardation per the v2 add) influence whether momentum's amplifier is bumped or dampened that day.
Momentum is regime-conditional in the strongest sense — its amplifier is positive in risk-on regimes and dampened sharply in risk-off (Hamilton 1989 + Ang-Bekaert 2002), with the exact magnitudes recalibrated quarterly. Combined with Value, momentum forms the value-and-momentum duo Asness-Moskowitz-Pedersen 2013 documented across asset classes. When momentum + quality + value align bullish on the same ticker, the GROWTH REGIME ALIGNED confluence pattern fires. Bearish momentum + falling earnings + high accruals triggers the QUALITY CRACK pattern.
Momentum collapses violently around regime turns — 52-week-high momentum included. The classic failure is February-April 2009: names that had crashed and were rebounding off their lows flipped the signal at the worst moment. The 2022 crash showed similar vulnerability. We hedge structurally via two layers: (a) BOCPD regime detector dampens momentum's amplifier when risk-off probability rises; (b) the conformal prediction interval widens automatically near regime boundaries so position sizing self-adjusts. Neither prevents a momentum crash; both reduce the bet size before one.
Every ticker page shows the per-factor decomposition. The Momentum score is one of thirteen composing the 0–100 the composite score.