Hey @visuarchie don’t you use following steps now for your setup ?
a. Calculate the returns on point to point.
b. Calculate the Standard Deviation (SD) of the daily returns.
c. Calculate a factor called momentum ratio which is returns / SD.
d. After that calculate Z-score which is (Momentum ratio - Mean of Momentum ratio of universe)/Standard deviation of Universe.
Complete these steps for 1 year and 6 months look back period.
e. Do the weighting of the Z-score value. I have used equal weightage of 0.5 and 0.5 for 1 year and 6 months respectively. People could choose to give higher weightage to the 6 months Z-score and lower weightage to the 1 year Z-score.
f. I then rank the stocks based on the resultant number.
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