I think there's no money to be made in basic momentum (12-month returns minus 1-month returns) or short-term reversal (15-day RSI) factors. Try it for yourself -- you'll see the returns won't be terribly strong or consistent. However I believe it is possible to find strategies that incidentally expose you to these factors or specific situations where momentum or short-term reversal work.

I'm skeptical about the two links you posted. As you pointed out, the mean reversion one fails spectacularly out-of-sample. Clenow's strategy may give you an edge over a really long time horizon. But I'm a little skeptical -- such low-frequency strategies are easy enough to overfit to profitable noise.

Thanks, yeah the mean reversion one fails terribly out of sample, but he exposed some nice ideas. Sorry for my ignorance, the common factors are calculated with the (15-day RSI) and (12-month returns minus 1-month returns) ? that would be the COMMON factors? like you could create a momentum factor other than the common one?

I was thinking of developing a strategy based on getting some factors from a linear regression (maybe slope and error) and combine them with some mean reversion factor like top gainers/losers. That factors wouldn't be considered common ones? I can create a momentum strategy that differs from the momentum common factor?

Also, what do you (or anyone reading) think about the idea (linear regression plus top gainers/losers)? I assume is has already been tried out, so maybe I could save some time and work with something else. It has sense? Or is it too basic?

Thanks for replying

Yeah, mean reversion and momentum definitely happen on other time frames as well. But the "common" factors that Quantopian wants us to avoid are these ones I mentioned above, since those are the ones documented in the academic literature.

I think you should try your idea. Just make sure to keep at least a couple years hold-out period. That way you avoid overfitting.

Somebody correct me if I'm implementing this wrong, but here's a very vanilla Short-Term Reversal strategy, using 15-day RSI to predict the stock's next 15-day move.

Here's a really simple implementation of momentum. I welcome any corrections. As you can see, these factors don't look too great.