Strategy
Residual Momentum
Momentum with the market's contribution removed.
EXPERIMENTAL
Methodology
- Method
- Market-model residual return over months −12…−1, scaled by residual volatility.
- Data
- Daily adjusted bars
- Horizon
- ~1 month
- Strategy pod
- resmom
Risk caveat
Beta estimates are noisy over one year; the market-only model omits other factors.
Validation evidence
Under validation; experimental.
Simulated, survivorship-biased backtests on today's large caps. Hypothetical; not a forecast. Disclosures.