Price Momentum Methodology
How every measure is calculated, read and sourced
How the score behind the Price Momentum screener is calculated, and every measure shown beside it: what it calculates, how to read it, and where it comes from.
The score compares each stock with SPX, the S&P 500 index as measured by SPY, the fund that tracks it (its price adjusted for splits and dividends), and with nothing else.
Reading it. Score 80: over the last week to year, this stock is beating SPX by more than it did on 80% of its own past days. 100: by more than ever before, in every period. 50: typical for this stock. 0: trailing SPX by more than ever before.
No other stock enters a stock's score, and stocks are not ranked against each other: two stocks with a score of 80 have each done well against their own history, not by the same amount. A stock needs at least 504 earlier values in every period (about two years of prices) before it is scored; until then it is shown without a score ("Too little history"). A stock whose latest price is older than the day's newest price is not scored that day ("Price not updated").
Not the 12-1 momentum of the research literature. The score describes how a stock is doing now against SPX, so it includes the last week and the last month. Studies of momentum as a trading rule usually skip the most recent month (the "12-1" measure, Jegadeesh and Titman, 1993), because over a week or a month past winners have tended to reverse. That measure is shown as its own column; it does not feed the score.
Shown beside the score, each in its own unit, and not part of it. 12 measures, 6 of them at each of 6 lookback windows (2y, 1y, 6m, 3m, 1m, 10d), give 42 readings per security; 6 further research measures are listed last. Several overlap strongly (excess return and trailing return, for example), so they are not independent evidence.
The plain total return over the window, using split- and dividend-adjusted closes. The simplest statement of momentum there is: what you would have made holding it.
How to read it: Positive = the security rose over the window. Negative = it fell.
Moskowitz, Ooi & Pedersen, 'Time Series Momentum', Journal of Financial Economics 104(2):228-250 (2012).
Trailing return divided by the annualized volatility realized over the same window. Puts a placid utility and a volatile biotech on one scale, so a 20% move is not credited equally to both.
How to read it: Higher = more return earned per unit of risk taken to get it.
Asness, Moskowitz & Pedersen, 'Value and Momentum Everywhere', Journal of Finance 68(3):929-985 (2013), Section III.
The 50-day simple moving average minus the 200-day, expressed as a fraction of the 200-day. The classic 'golden cross' (positive) and 'death cross' (negative), reported as a continuous distance rather than a yes/no event so near-misses are visible.
How to read it: Positive = short-term average above long-term. Negative = below.
Brock, Lakonishok & LeBaron, 'Simple Technical Trading Rules and the Stochastic Properties of Stock Returns', Journal of Finance 47(5):1731-1764 (1992).
How far today's close sits above or below its own 200-day moving average, as a fraction. A single-line trend filter widely used to separate uptrends from downtrends.
How to read it: Positive = trading above its long-term average. Negative = below.
Faber, 'A Quantitative Approach to Tactical Asset Allocation', Journal of Wealth Management 9(4):69-79 (2007).
Where the latest close sits inside the range of CLOSING prices over the window (the highest close to the lowest close; intraday highs and lows are not used), rescaled to -1 at the lowest close and +1 at the highest. +1 means the security closed at a new window high; -1 at a new window low.
How to read it: +1 = closing at the top of its range. -1 = at the bottom.
Donchian channel breakout; see also George & Hwang, 'The 52-Week High and Momentum Investing', Journal of Finance 59(5):2145-2176 (2004).
The MACD histogram (12/26 EMA difference, minus its own 9-day signal line), divided by price so it is comparable across securities at different price levels. Measures whether the trend is accelerating or decaying.
How to read it: Positive = upward momentum strengthening. Negative = weakening.
Appel, 'Technical Analysis: Power Tools for Active Investors' (2005).
Wilder's 14-day Relative Strength Index, recentered from its native 0-100 onto -1 to +1 so it signs the same way as every other measure here. Bounded, so it saturates instead of running away.
How to read it: +1 = maximally overbought. -1 = maximally oversold. 0 = neutral (RSI 50).
Wilder, 'New Concepts in Technical Trading Systems' (1978).
Return over the past 12 months EXCLUDING the most recent month. The month is skipped deliberately: at the 1-month horizon returns reverse rather than continue, so including it fights the signal. This is the canonical academic momentum variable.
How to read it: Positive = a 12-month winner. Negative = a 12-month loser.
Jegadeesh & Titman, 'Returns to Buying Winners and Selling Losers', Journal of Finance 48(1):65-91 (1993).
Trailing return minus the return of SPX (the S&P 500, measured by the SPY fund) over the identical window, on the dates both traded. Separates 'this rose' from 'the index rose'. The same calculation as the score's relative returns.
How to read it: Positive = outperformed the index. Negative = lagged it.
Standard active-return decomposition; see Grinold & Kahn, 'Active Portfolio Management', 2nd ed. (2000), Ch. 2.
Whether the move arrived smoothly or in jumps. Computed as sign(return) x (share of down days - share of up days) over 12 months. A move delivered as a steady drip is absorbed slowly by investors and has historically continued further than the same move delivered in a few large jumps, which gets priced at once.
How to read it: Most negative = the move came as a steady run of small days in its direction (continuous information, which Da, Gurun & Warachka found continued further). Near zero or positive = the move came from a few large days (discrete information).
Da, Gurun & Warachka, 'Frog in the Pan: Continuous Information and Momentum', Review of Financial Studies 27(7):2171-2218 (2014).
The fraction of days in the window that closed up, recentered to -1..+1. A breadth-of-persistence reading: did the security grind higher on most days, or was the whole move a handful of sessions?
How to read it: Positive = more up days than down. Negative = more down days.
Persistence/consistency of return sign; related to the continuous-information result in Da, Gurun & Warachka (2014).
On-Balance Volume adds a day's volume when the close rises and subtracts it when the close falls. This reports how far that line moved over the window as a share of all the volume traded in it (net signed volume divided by total volume, from -1 to +1). Tests whether the price move carried participation or happened on thin trade.
How to read it: Positive = buying volume dominated. Negative = selling volume dominated.
Granville, 'New Key to Stock Market Profits' (1963).
6 measures from the momentum literature, added 2026-10-07 (backtest methodology §12.1). Each is computed from the stock's own prices (and SPX's, for residual momentum) and is a column on the screener. Two of them are reversal measures: in the literature a high value is followed by weaker returns.
The return over the last 21 trading days. Read as REVERSAL: in the literature last month's winners tend to give some of it back, so a high value points to lower returns ahead. Not in the score.
How to read it: Positive = last month's winner (reversal predicts weaker returns). Negative = last month's loser.
Jegadeesh, 'Evidence of Predictable Behavior of Security Returns', Journal of Finance (1990); Lehmann, 'Fads, Martingales, and Market Efficiency', Quarterly Journal of Economics (1990).
The return from 126 to 21 trading days ago: the last six months, skipping the most recent month. The shorter of the two classic Jegadeesh-Titman lookbacks, and Novy-Marx's 'recent' leg. Not in the score.
How to read it: Positive = a 6-month winner (excluding the last month). Negative = a 6-month loser.
Jegadeesh & Titman, 'Returns to Buying Winners and Selling Losers', Journal of Finance (1993).
The return from 252 to 126 trading days ago: the first half of the 12-month window. Novy-Marx found these months drive more of momentum than months 6 to 2, a finding still debated. Not in the score.
How to read it: Positive = rose in months 12 to 7. Negative = fell.
Novy-Marx, 'Is Momentum Really Momentum?', Journal of Financial Economics (2012).
The return from 1,260 to 252 trading days ago (five years back to one year back). Read as REVERSAL: long-run losers have tended to beat long-run winners. Missing for a company with under five years of prices. Not in the score.
How to read it: Positive = a long-run winner (reversal predicts weaker returns). Negative = a long-run loser.
De Bondt & Thaler, 'Does the Stock Market Overreact?', Journal of Finance (1985); Ken French's long-term reversal factor.
12-1 momentum divided by the annualised volatility of the last 126 days' daily returns: momentum per unit of recent risk. A company-level version of the volatility scaling the paper applies to the momentum strategy as a whole. Not in the score.
How to read it: Higher = more 12-1 momentum per unit of recent volatility.
Barroso & Santa-Clara, 'Momentum Has Its Moments', Journal of Financial Economics (2015).
Each day's return minus what the market explains (a regression of the company's daily returns on the market's over 756 to 21 trading days ago), summed over the 12-1 months and divided by its own volatility. One market factor, not the paper's three. Not in the score.
How to read it: Positive = beat what the market explained over the 12-1 months. Negative = lagged it.
Blitz, Huij & Martens, 'Residual Momentum', Journal of Empirical Finance (2011).
The score and the measures describe what prices have already done. They are not a forecast, and nothing here is investment advice.
Research and educational content only. Not investment advice, not an offer or solicitation, and not a recommendation to buy or sell any security. Momentum measures describe past prices; past results do not guarantee future results.