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Multi-Horizon Momentum Consensus
hold only where short-, medium-, and long-term trends all agree
Blending lookbacks so a name qualifies only when several horizons agree cuts single-window data-snooping and whipsaw; on international country ETFs (a sub-universe largely untouched in prior batches) this diversifies away from US-sector momentum crowding. The consensus/agreement score is a distinct signal construction from single-lookback 12-1 or 1/3/6 dual-momentum sequencing.
Universe
15 country ETFs (EWJ, EWG, EWU, EWQ, EWA, EWC, EWH, EWY, EWZ, EWW, INDA, EWT, EWS, EWL, EWP) plus SPY as breadth anchor.
How it works
score each ETF by the fraction of {21, 63, 126, 252}-day lookbacks in which it ranks in the top half of the universe, long the top-quartile consensus names equal-weight, monthly rebalance.
Expected performance
Research-derived Sharpe estimate: 0.4–0.8.
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/signalchain Cross-sectional momentum on 15 country ETFs scored by agreement across 1/3/6/12-month lookbacks, hold top quartile, monthly
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Research & sources
- arxiv.org — arxiv.org
- spglobal.com — spglobal.com
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