Subject: Re: look back period
A random example of that effect comparing broad and different portfolios.

Agree this is a case where "it depends".

I measure the "AVGDEV()" of each screening time period of ROC.
It doesn't answer which time period is better but does indicate how different screens and lookback differ.

example where AVGDEV is very small

6- QEW: Equal-Wght'd ETF's  Momentum     Equity     LT-12m  IT-6m   IT-3m  ST-1m
Tuesday, August 26, 2025     Symbol     Style Box   ROC252  ROC126  ROC63  ROC21
FT:Dow 30 Equal Weight      EDOW      Large Value     7.0%   11.3%   6.9%   2.7%
Invesco S&P 100 Eq Wght     EQWL      Large Value     7.9%   12.4%   5.9%   2.5%
Direxion:NASDAQ-100 EWI     QQQE      Large Growth    8.1%   17.7%   4.5%  -1.5%
iShares:MSCI USA EW         EUSA      Mid Blend       3.0%   11.8%   6.2%   1.2%
Invesco Rus 1000 EW         EQAL      Mid Blend       0.6%   10.5%   6.6%   2.3%
Invesco S&P500 EWght        RSP       Mid Blend       1.4%   11.0%   6.0%   1.8%
                                      
                                      
                                          AveDev =   3.0%    1.7%   0.5%   1.1%

GD_