Consistent Momentum Strategy

The three-gate gauntlet · genuine only if it clears all three and survives adversarial refutation

Gate 1

Survivorship-free

free

clean panel

Gate 2

Placebo ≥ P95

P100

outranked ~200 of 200 baskets

Gate 3

Cost-aware net

RF +5.45

positive net, certified

Genuine

Worst 12-month leg (RF)-0.90

−1.00 floor0

Every strategy here — winners included — loses in its worst 12 months. Depth is honest context, not the verdict.

Cleared all three gates and adversarial refutation — a market-neutral diversifier with a losing worst year, not a standalone strategy.

This is a cross-sectional equity momentum effect that restricts the usual winners-minus-losers ranking to stocks whose past returns have been consistent rather than lumpy. Following Grinblatt & Moskowitz (2004), consistency of prior return, alongside momentum, helps predict the cross-section of future stock returns.

What we found

On the ETN-cleaned, survivorship-free 1077-name common-stock panel the effect held up: it beat all 200 random long/short baskets (placebo 100th percentile), indicating real cross-sectional rank-skill rather than a data artefact, and it survives removal of its best year (not a single-jackpot result). The edge is concentrated in the long leg; the short leg is net-negative and short-borrow costs are not modelled, which would apply a modest haircut. Its worst-year risk factor is -0.90 - several negative years and a crash-prone profile - so this is a diversifying, market-neutral factor-leg, not a standalone strategy you would trade on its own.

How we tested it

2005–2026 test windowmodelled liquidity-aware costssurvivorship free

Tested on the survivorship-free 1077-name US common-stock panel, 2005-2026. Realistic modelled costs.
Placebo / robustness test: real result vs random baskets or shuffled signals (real vs the 95th percentile of random)

Source: Grinblatt & Moskowitz (2004), "Predicting stock price movements from past returns: the role of consistency and tax-loss selling", J. Financial Economics
Find the paper (Google Scholar) ↗

← The Academic Audit — all 54 studies

Research, not investment advice. “Validated” factor-legs are market-neutral diversifying building blocks with a losing worst year — none is a standalone tradeable strategy. Metrics are cost-aware and modelled (not live fills); the 2005–2026 test window is out-of-sample versus the source paper. Dollar figures are not returns and are omitted by design.