This will be an interesting backtest - Instead of price if we combine another factor like profitability (say reduce initial universe to stocks that have ROE > ROE.median). How does that impact drawdowns.
Been retail investor myself just freeing tests of survivorship bias has been a time consuming exercise. Getting fundamental historical data and then ensuring test is free of look-ahead bias will be even more time consuming.
Momentum without the Crash
This will be an interesting backtest - Instead of price if we combine another factor like profitability (say reduce initial universe to stocks that have ROE > ROE.median). How does that impact drawdowns.
Been retail investor myself just freeing tests of survivorship bias has been a time consuming exercise. Getting fundamental historical data and then ensuring test is free of look-ahead bias will be even more time consuming.
Seems to be a variant on the short term SMA as compared to the 200 DMA.
In this case specifically using “peak price” and returns so a more refined trend tracking filter.