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The week's question
In March 2025, in the thread "Re: OT, out", Umm asked the members: "Do you think it is because America is made up of magical soil that makes businesses based in America magically profitable?" This week it is put to everyone again. The button below opens the small thread re-asking it - read what others have said so far, then give your own answer as an ordinary reply.
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Investment Strategies / Mechanical Investing
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Author: rayvt ✧☼🐝🐝  😊 😞
Number: of 6243 
Subject: Surprisingly close momentum twist
Date: 07/12/26 3:58 PM
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No. of Recommendations: 8
Surprisingly close momentum twist

This article on momentum crashes says that 84% of the momemtum return can be attibuted to the first component of the 1 year price history. Which they call HTP, which is the ratio of the high price to the initial price. The current price is not used at all.

"Decomposing Momentum: The Forgotten Component" SSRN: Research paper

Backtests (Nasdaq 100, 5 HTD 10):
* price/(hi + lo) gtr1.net: GTR1 Backtester - Nasdaq highest in 52wk range 5 HTD 12
* hi/initial price gtr1.net: GTR1 Backtester - Nasdaq highest yr ago vs. 52wk high

The first:
          Avg	Min	Max
CAGR:	28.6	25.1	31.3
MDD:	-71	-85	-60

The second:
          Avg	Min	Max
CAGR:	25.7	22.0	29.4
MDD:	-90	-93	-86
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This community has written 6,227 posts about Mechanical Investing. The article-length ones it recommended most:
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