Ran momentum anomaly screen adjusting for 5 stocks and backtesteng 2 years with a 1 week rebalance. Backtesteng impressive in excess of 150% return.

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at 09/29/17 1:31 PM : RE: Momentum anomaly

at 10/03/17 1:58 AM : RE: Momentum anomaly

at 12/02/17 8:01 AM : RE: Momentum anomaly

at 09/12/17 4:01 AM : RE: Momentum anomaly

at 09/27/17 4:15 AM : RE: Momentum anomaly

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at 04/04/17 8:01 PM : RE: Momentum anomaly

There are two issues that cause the backtesting not to reflect reality. 

1) There is slippage, the backtesting tool assumes trades are made at 4:00pm on Friday using closing prices. This is impossible as the information is not available until after the market have closed on Friday, and the first opportunity would be Monday, and it you use FolioFN for basket trades, 11:00 AM Monday.

2) The second issue is serious, and that is for thinly traded or smaller cap stocks the bid and ask spreads are very large cost you a lot of money, particularly if you are rebalancing weekly. Many of the oustanding seeming returns from the out of the box screens are impossible to acheive in real life because you are unable to buy and sell at the prices the backtester uses, the bid/ask spread is not factored in. 

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