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Strategy · QM

Quality Momentum

Top-quintile 12-1 momentum overlaid on a quality screen — ROE TTM, profit margin, market cap. Monthly rebalance.

Backtest · out-of-sample
+64.80%
36 monthly windows · vs +18.41% benchmark
Live · paper · 7 sess -9.94% · Indexed 90.1, max DD -10.04%
Signal B&H +4.94% · hypothetical, since 2026-05-21

Backtest

Out-of-sample · walk-forward

How the strategy would have performed before going live, simulated on historical data with monthly rebalances.

2024-05-21 → 2026-06-16
36 monthly rebalances · top 10 · holding 21 d
Strategy
+64.80%
Benchmark
+18.41%
Alpha
+46.39%
Backtest max DD
-38.64%
rules-only · live halts at -20%
Quality-Momentum (top 10)
Universe equal-weight benchmark
n = 36 rebalances

Past performance is not indicative of future results. This backtest is rules-only: the AI research card is a live-only overlay applied to new picks, not part of the simulation. Trades use adjusted-close prices with monthly rebalancing and exclude commissions, slippage, and taxes. Live results may differ materially.

Live performance

Daily mark-to-market on the live IBKR paper account, indexed to 100.

2026-05-26 → 2026-06-04
90.1 / 100
-9.94%
05-26
100.1
+0.11%
05-27
96.6
-3.44%
05-28
95.5
-4.47%
05-29
92.8
-7.16%
06-01
90.7
-9.29%
06-02
91.9
-8.09%
06-03
91.0
-9.00%
06-04
90.1
-9.94%

Current picks

as of 2026-06-05
Ranked picks as of 2026-06-05: rank, ticker, exchange, market cap, and a link to each pick's conviction breakdown.
#TickerMarket capDrill-down
01
DOCN
NYSE
$18.10Bconviction →
02
ENLT
NASDAQ
$14.57Bconviction →
03
TER
NASDAQ
$61.46Bconviction →
04
VISN
NASDAQ
$2.77Bconviction →
05
STRL
NASDAQ
$26.87Bconviction →
06
FORM
NASDAQ
$9.75Bconviction →
07
POWL
NASDAQ
$10.92Bconviction →
08
SPHR
NYSE
$5.08Bconviction →
09
COHR
NYSE
$71.00Bconviction →
10
SKYT
NASDAQ
$1.96Bconviction →

Recent rebalances

Last 5sessions before today's pick. Click any ticker for the full conviction breakdown.

2026-06-04

Ranked picks as of 2026-06-04: rank, ticker, exchange, market cap, and a link to each pick's conviction breakdown.
#TickerMarket capDrill-down
01
ENLT
NASDAQ
$14.57Bconviction →
02
FJIKY
NYSE
$51.26Bconviction →
03
SCZM
NASDAQ
$729Mconviction →
04
SPHR
NYSE
$5.08Bconviction →
05
FORM
NASDAQ
$9.75Bconviction →
06
STRL
NASDAQ
$26.87Bconviction →
07
TER
NASDAQ
$61.46Bconviction →
08
DOCN
NYSE
$18.10Bconviction →
09
PARR
NYSE
$2.87Bconviction →
10
SIMO
NASDAQ
$9.09Bconviction →

2026-06-03

Ranked picks as of 2026-06-03: rank, ticker, exchange, market cap, and a link to each pick's conviction breakdown.
#TickerMarket capDrill-down
01
TSEM
NASDAQ
$30.05Bconviction →
02
ENLT
NASDAQ
$14.57Bconviction →
03
VISN
NASDAQ
$2.77Bconviction →
04
COHR
NYSE
$71.00Bconviction →
05
CLS
NYSE
$54.31Bconviction →
06
TER
NASDAQ
$61.46Bconviction →
07
FORM
NASDAQ
$9.75Bconviction →
08
FIX
NYSE
$66.26Bconviction →
09
SIMO
NASDAQ
$9.09Bconviction →
10
AUGO
NASDAQ
$6.04Bconviction →

2026-06-02

Ranked picks as of 2026-06-02: rank, ticker, exchange, market cap, and a link to each pick's conviction breakdown.
#TickerMarket capDrill-down
01
TSEM
NASDAQ
$30.05Bconviction →
02
ENLT
NASDAQ
$12.85Bconviction →
03
NGL
NYSE
$2.24Bconviction →
04
COHR
NYSE
$71.00Bconviction →
05
TER
NASDAQ
$56.11Bconviction →
06
FORM
NASDAQ
$10.06Bconviction →
07
PARR
NYSE
$2.95Bconviction →
08
CLS
NYSE
$42.24Bconviction →
09
AUGO
NASDAQ
$6.08Bconviction →
10
POWL
NASDAQ
$10.17Bconviction →

2026-06-01

Ranked picks as of 2026-06-01: rank, ticker, exchange, market cap, and a link to each pick's conviction breakdown.
#TickerMarket capDrill-down
01
TSEM
NASDAQ
$33.73Bconviction →
02
SPHR
NYSE
$4.63Bconviction →
03
NGL
NYSE
$2.24Bconviction →
04
COHR
NYSE
$73.87Bconviction →
05
TER
NASDAQ
$56.11Bconviction →
06
FORM
NASDAQ
$10.06Bconviction →
07
SIMO
NASDAQ
$9.36Bconviction →
08
CLS
NYSE
$42.24Bconviction →
09
AUGO
NASDAQ
$6.08Bconviction →
10
FIX
NYSE
$64.33Bconviction →

2026-05-29

Ranked picks as of 2026-05-29: rank, ticker, exchange, market cap, and a link to each pick's conviction breakdown.
#TickerMarket capDrill-down
01
ENLT
NASDAQ
$12.85Bconviction →
02
NGL
NYSE
$2.24Bconviction →
03
VICR
NASDAQ
$12.22Bconviction →
04
SIMO
NASDAQ
$9.36Bconviction →
05
FORM
NASDAQ
$10.06Bconviction →

How Quality Momentum picks names.

Buys companies that are both growing fast AND profitable. Momentum on its own catches glamour stocks that crash; profitability screens out hype. The pair has decades of academic support (Asness, Frazzini, Pedersen 2019; Novy-Marx 2013).

  1. 01

    Universe filter

    US listings on NYSE / NASDAQ / AMEX, market cap > $500M, actively traded (not halted, not disabled).

  2. 02

    12-1 momentum

    Return from 12 months ago to 1 month ago. Skipping the most recent month avoids the short-term reversal effect documented by Jegadeesh & Titman.

  3. 03

    Quality screen

    Of the top momentum candidates, keep only those with positive ROE TTM and positive profit margin. Filters out lottery-style rallies in unprofitable names.

  4. 04

    Composite ranking

    Survivors ranked by combined momentum + quality score. Top 5 selected and persisted to the strategy result table.

  5. 05

    AI research card

    Each pick is reviewed by an LLM (Gemini Flash) against current fundamentals + recent news. Verdict (BUY / HOLD / AVOID) plus two material risks documented before the order is placed.

Rebalance cadence
Monthly on first business day. Currently testing daily (2026-05-11 → 2026-05-31) to surface order-path bugs before live capital.
Universe
US large-cap equity (~150 names after quality filter)