Momentum Strategy Backtesting
Test momentum strategies by selecting top-performing stocks from any historical date and measuring their forward returns against random selections.
About Momentum Backtesting
How It Works
- Select stocks with highest momentum scores on a specific date
- Hold the portfolio for a specified number of days
- Calculate returns based on actual historical prices
- Compare against random stock selection from same universe
- Uses most recent available prices up to signal date
Key Metrics
- Average Return: Mean return of all stocks in portfolio
- Hit Rate: Percentage of stocks with positive returns
- Outperformance: How much better than random selection
- Best/Worst: Highest and lowest individual stock returns
Note: This backtesting tool uses actual historical data but past performance does not guarantee future results. Consider transaction costs, market impact, and other real-world factors when implementing strategies.