Relative Strength and Absolute Momentum
I bet you program for a living. Your code looks very neatly organized. It's also really long.
Have you considered using dollar universe rather than selecting a basket of stocks to analyze? There may be selection/survivorship bias at play.
not sure I follow dollar universe? I use S&P 500 for a number of reasons, first very liquid names, second min market cap $1 billion, survivorship bias I am not to concerned with over 65% of the S&P 500 names that have left the S&P 500 have been from M&A.
Oh right, sorry, I forgot you mentioned you wanted to say within the SP500.
Here is the article on momentum that discusses its (recent) periods of underperformance.
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