Performance

Every strategy here is built on 12-1 momentum, one of the most extensively researched return factors in finance. First documented by Narasimhan Jegadeesh and Sheridan Titman in 1993 and replicated across decades of data and markets worldwide, it ranks stocks by their return over the past twelve months, excluding the most recent month.

The price history used here begins in September 2016, and each strategy needs a year of prices before its first pick, so results start on November 1, 2017. Figures run to the close of Oct 16, 2026. Results after Sep 28, 2026, when the strategies started running live, are live results; earlier results are a backtest, the same rules applied to past prices. Each strategy’s own page lists its holdings and every trade. Key terms explained.

What would your money have done?

Pick an amount and when you would have started. Returns do not depend on the amount; every number below is worked out from the day you choose.

$10,000 put in at the close of Nov 1, 2017, worth at the close of Oct 16, 2026:

Growth of $10,000

The dashed grey line is SPY, a fund that tracks the S&P 500, the usual yardstick for US stocks.

Fall from the highest value so far

How far each strategy dropped below its own previous high, from the start you picked. This is what holding on through the bad stretches feels like.

Returns over set periods

What someone who started at the beginning of each period would have made, whatever the amount. Bold: ahead of SPY over that period.

Return and risk, since 2017

CAGR: compound annual growth rate, the steady yearly return that ends at the same value. Volatility: how much the value swings, as a yearly figure (the standard deviation of daily returns). Worst fall: the largest drop from a high. Longest below a high: the longest stretch before the value got back above an earlier high (or, if it has not yet, until today). Sharpe: return per unit of volatility. Sortino: like Sharpe, but counting only the falls. Calmar: CAGR divided by the worst fall. Higher is better for the three ratios.

Compared with SPY, and activity

Beta: how much the strategy tends to move when SPY moves 1% (above 1: more). Alpha a year: the return beyond what that link to SPY explains. Correlation: how closely the daily moves follow SPY’s, from −1 to 1. Up months: the share of calendar months that ended higher. Ratios and alpha use a zero risk-free rate. Trades: every buy, sale and resize since 2017.

Year by year

Bold: ahead of SPY that year. The first and the current year are partial.

The Bull Rhythm Weekly · every Friday after the close

Follow the strategies as they run live

Eight strategies with fixed rules, every decision made at the day’s close. Each Friday, see where the record stands: what each one made, what it bought and sold, and why.

• This week’s result and the running total since going live, next to the S&P 500
• Every buy and every sale, with the reason in plain words
• What each one holds now, with charts
• The good weeks and the bad ones, reported the same way

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