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

Attach file (image (.gif, or .jpg), screen (.und) or report (.rpd))
DrewM
at 09/29/17 1:31 PM : RE: Momentum anomaly

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

TWQS1
at 12/02/17 8:01 AM : RE: Momentum anomaly

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

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

milehigh7
at 09/16/17 8:02 PM : RE: Momentum anomaly

Janebob99
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. 


Attach file (image (.gif, or .jpg), screen (.und) or report (.rpd))

For questions or more information or to Order Today, call 1-800-767-3771, ext. 9392 or 1-312-630-9890, ext. 9392
You can also e-mail our Sales Support at: kevinm@zacks.com
Copyright 2012
Zacks Investment Research
111 N. Canal St., Suite 1101, Chicago, IL 60606
(800) 767-3771 ext. 9392