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The week's question
In December 2024, in the thread "Re: BRK: Why Not XOM?", BreckHutHigh asked the members: "What about the long road trips with kids?" 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 6131 
Subject: Surprisingly close momentum twist
Date: 07/12/26 3:58 PM
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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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