Study 01 · stocks · 2025–2026
Stock Momentum: Rebalancing Frequency
and Period Sensitivity
Loading the saved stock-pilot results. Returns will appear only after the summary and portfolio paths have been checked against each other.
Primary frequency differenceLoading…M12 minus S12 · net total return
Monthly and semiannual selection use the same signal and portfolio rules. A positive difference favors monthly selection within this experiment.
01 / Cost and period comparisons
Frequency Comparison
Across Trading Costs
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Annual Frequency Effects
The same monthly-minus-semiannual comparison, at the selected cost.
2025 formation yearLoading…
2026 through October 2Loading…
Normalized Portfolio Performance
Each path is rebased to 100 at the selected window's first close.
- M12 · monthly
- S12 · semiannual
- MMIX · monthly blend
- SMIX · semiannual blend
- SPMO · context
- SPY · context
Waiting for validated saved paths.
Vendor price adjustments and spin-off entitlement completeness are not independently verified. Specific source repairs are disclosed with the saved audit.
Return, Risk and Trading Activity
Read the drawdown and the amount of trading alongside it.
| Portfolio | Total return | Max drawdown | Traded NAV | Mean cash |
|---|---|---|---|---|
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Traded NAV is the sum of each execution's buys plus sells divided by its pretrade NAV; it is not divided by two or annualized. Returns are net of the selected cost, unannualized, and pre-tax. Cash earns zero interest.
Scope of interpretation
The measured window, cost assumption, fixed cohort, and price model all matter. No result from this pilot establishes an advantage for the original 75-stock design.
02 / Data and methods
Data Sources
and Model Limitations
Fixed Baseline Cohort
The baseline ranks issuers by Sharadar DAILY capitalization at December 31, 2024, and retains 100 issuers with one covered security class each. The cohort stays fixed. Later additions to the wider index do not expand it.
This tests a restricted starting universe, not the full evolving S&P 500.
Four Strategy Arms and 20 Target Holdings
Each arm selects positive-momentum candidates with the same portfolio rules. S12 and M12 use 12–1 momentum. SMIX and MMIX use the 50/30/20 blend. Selection is monthly or at March/September month-end; orders use the next session.
Cost scenarios: 0, 5, 10 and 25 bps per side. The blended pair is a within-study robustness check.
Source Dates and Availability Limits
Licensed Sharadar DAILY, SP500, TICKERS and ACTIONS records support this run; Yahoo supplies free price proxies. Vendor dates do not prove original publication-time availability, and adjusted prices do not reproduce a raw-share corporate-action ledger.
No dividend cash is added a second time to the adjusted accounting units. Raw vendor observations are not published here.
Portfolio Continuity Across Year-End
Portfolios form after the December 31, 2024 signal and run through 2025. The 2026 view starts with their existing holdings at December 31, 2025 close, and ends October 2, 2026. Changing the displayed window does not reset the simulated strategy.
This history was already observable. It remains retrospective exploration, not a new out-of-sample test.
Reported Verification and Remaining Limitations
Computational Verification
- Waiting for the saved check record.
Data Audit Record
- Status
- Waiting for saved audit metadata.
Limitations of This Run
- The restricted cohort and proxy accounting differ from the original formal study.
A separate implementation replayed all 24 paths, 10,560 daily account states and 21,600 signal records. Maximum relative NAV error was 2.21 × 10⁻¹⁵. Read the independent receipt. These checks do not certify complete historical coverage, point-in-time integrity, or achievable live returns.
03 / Results and reproducibility
Results and
Reproducibility Materials
This page reads saved summaries and daily portfolio paths. It performs no market-data downloads or live strategy execution.