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Investment Strategies / Mechanical Investing❤
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Author: mapg ✭  😊 😞
Number: of 4356 
Subject: Re: look back period
Date: 08/26/2025 12:25 PM
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No. of Recommendations: 3
Conclusion: Your composite momentum formula is very well-designed. The flaw in your process is the mandatory 3-month filter. By removing it, you fix the structural weakness of your strategy while strengthening its focus on high-quality, sustainable momentum. This change is highly likely to improve your risk-adjusted returns over time.

I guess the crux of it, is that you don't want stocks that are rocketing up, but ones that are increasing slowly and steadily.

Why not use a weighted average? Any advantage?
sum(12m*4,6m*3,3m*2,1m*1)/10

GD_
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