A year of return, ignoring the most recent month because it tends to reverse, and preferring a steady climb to a jumpy one.
+0.18%
Booked, per closed position
17 closed · average excess vs the market
53%
Closed positions ahead of the market
median +0.47%
+8.11%
Open book, marked to market
10 names still held
3
Average sessions held
window is 20 sessions
Only 17 positions have closed. That is a blotter, not evidence — a handful of trades tells you almost nothing about a rule set, and the numbers above will move a lot as it fills.
The rule, as implemented here
every condition, in the order it is applied
Return measured from 273 sessions ago to 22 sessions ago — a year, skipping the most recent month.
That return must be positive.
At least half the days in the window must have closed up.
Ranking: Highest 12-2 return, tilted towards the smoother climbs. Portfolio is the top 12 names, equal-weighted.
Where our version differs: The smoothness filter is the share of up-days over the window, a simpler cousin of the published information-discreteness measure.
How these numbers were made. Computed here from NSE and BSE end-of-day bhavcopy, adjusted for splits and bonuses, not supplied by anyone being measured. Portfolios are recorded on the day they are published and scored forward from that date, so no figure on this page could have been chosen after the outcome was known. The code that produced them is stamped in build.json.
This is our implementation, not Academic 12-2 momentum’s portfolio. The smoothness filter is the share of up-days over the window, a simpler cousin of the published information-discreteness measure. None of the authors named on this site are associated with it, and nothing here is advice or a recommendation to buy or sell anything.