Post #1966 by rayvt on the Mechanical Investing board

Investment Strategies / Mechanical Investing ❤

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Pure momentum screen with a penalty for recent good performance and reward for recent poor performance

Ah.

These was a similar screen back in the late 90's called FlareOutGrowth, from a writer on MSN Money. IIRC, that was 12 month momentum + 6 month momentum MINUS 3 (or maybe 1) month momentum. Same rationale.
The theory is a high-moving stock(s) that simply had a recent stumble, presuming that the short term pullback will be reversed.

It worked until it didn't. Like, sadly, so many MI screens.

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