Hi. I tried to do some tweak into it.
Considering that small caps are volatile I compressed the lookback period to 1 month and 3 months. To simplify I didn’t consider standard deviation out of equation and made it pure momentum base not moderated for volatility.
I sensed that strategy is very volatile stocks which were racing the last 3 months were not maintaining the momentum and some other random stocks were coming into the momentum. .
Given this I thought it is the moderation of standard deviation. Maybe screening out the more volatile stocks. But that also did not seem to be very much true.
So since you’re taking a long-term view of 6 months and 12 months momentum, it seems the strategy works better when there are stocks which are on long-term momentum. I think shortening the lookback screens in stocks with short term momentum and that dies out sooner than it arises .
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