Guide · 17 plays
Momentum: what it predicts, and when it works
What has risen most over the past months tends to keep outperforming for a while. Momentum plays measure the rate of change, or strength against the market, and hold only while it is positive.
Why it might work
Investors under-react to news at first and over-react later, and money keeps flowing into last year's winners. Both stretch good runs out.
When it fails
At sharp turning points. When a falling market reverses, momentum is still positioned for the old trend and misses the start of the rebound, or is caught holding last year's leaders as they reverse.
What the research says
- Jegadeesh and Titman (1993) found stocks that rose most over 3 to 12 months kept beating the losers over the following months.
- Moskowitz, Ooi and Pedersen (2012) found 'time-series momentum', an asset's own past 12-month return, predicted its next month across 58 futures markets.
- George and Hwang (2004) found nearness to the 52-week high explained much of momentum's profit.
- Daniel and Moskowitz (2016) documented 'momentum crashes': after a market bottom, last year's losers can rebound violently and momentum suffers its worst months.
- Cooper, Gutierrez and Hameed (2004) found momentum paid only after the market had risen over the previous three years, and lost money after it had fallen.
- Da, Gurun and Warachka (2014) found momentum built from many small gains lasted longer than momentum from a few big jumps: the 'frog in the pan'.
Every momentum play, ranked
Share of stocks where each play did better than holding, since 2005 or as long as the stock has traded, after costs. Click a column to sort.Sort with the menu above the list.
| Play | Beat holding, risk-adjusted | Cut the worst fall | Beat holding on return | Calls right | Switches / yr | Time in | In now |
|---|---|---|---|---|---|---|---|
| Coppock CurveEdwin S. C. Coppock | 42% | 80% | 37% | 37% | 0.7 | 75% | 297/377 |
| 13612W MomentumWouter J. Keller & Jan Willem Keuning | 34% | 85% | 27% | 34% | 3.7 | 66% | 178/377 |
| 12-Month MomentumMoskowitz, Ooi & Pedersen | 33% | 83% | 27% | 35% | 1.3 | 65% | 231/377 |
| 12-1 MomentumNarasimhan Jegadeesh & Sheridan Titman | 33% | 80% | 25% | 45% | 1.3 | 68% | 258/377 |
| Dual MomentumGary Antonacci | 27% | 87% | 21% | 37% | 1.5 | 48% | 178/377 |
| Market-State MomentumMichael J. Cooper, Roberto C. Gutierrez Jr. & Allaudeen Hameed | 25% | 80% | 23% | 42% | 1.2 | 62% | 252/377 |
| Frog in the PanZhi Da, Umit G. Gurun & Mitch Warachka | 23% | 84% | 21% | 44% | 1.4 | 57% | 217/377 |
| TSI Zero LineWilliam Blau | 23% | 82% | 18% | 29% | 8.4 | 59% | 148/377 |
| Levy Relative StrengthRobert A. Levy | 22% | 89% | 18% | 28% | 5.5 | 46% | 122/377 |
| 52-Week HighThomas J. George & Chuan-Yang Hwang | 19% | 89% | 16% | 35% | 1.0 | 53% | 137/377 |
| Stocks on the MoveAndreas F. Clenow | 17% | 92% | 13% | 20% | 6.8 | 48% | 121/377 |
| PMO Signal CrossCarl Swenlin | 17% | 80% | 14% | 33% | 15.6 | 49% | 189/377 |
| TRIX Signal CrossJack K. Hutson | 16% | 82% | 15% | 38% | 12.3 | 49% | 189/377 |
| MACD Signal CrossGerald Appel | 15% | 79% | 13% | 34% | 20.1 | 51% | 207/377 |
| Know Sure ThingMartin J. Pring | 14% | 81% | 14% | 39% | 14.1 | 49% | 205/377 |
| Elder ImpulseAlexander Elder | 13% | 67% | 13% | 29% | 35.1 | 56% | 197/377 |
| CCI +100Donald R. Lambert | 12% | 83% | 12% | 28% | 27.9 | 25% | 102/377 |
When it worked
The family did best against holding in the 2008 crash (+24% median gap) and worst in the 2020–21 rally (−25%). Median gap in return against holding (per year over stretches longer than 18 months; crypto excluded).
| 2008 crash | Recovery 2009–19 | COVID drop | 2020–21 rally | 2022 bear | Since Oct 2022 | |
|---|---|---|---|---|---|---|
| Momentum | +24% | −9% | +16% | −25% | +7% | −9% |
Where it worked
By kind of stock: how often the family's plays beat holding on risk-adjusted return, and the median Sharpe ratio gap.
| Group | Beat holding, risk-adjusted | Sharpe gap |
|---|---|---|
| Real estate | 33% | -0.08 |
| Industrials & rentals | 31% | -0.12 |
| Financials | 30% | -0.10 |
| Media & telecom | 29% | -0.11 |
| Energy & power | 28% | -0.10 |
| Indexes & ETFs | 26% | -0.07 |
| Software & devices | 25% | -0.16 |
| Industrials & materials | 20% | -0.13 |
| Sectors | 19% | -0.12 |
| Healthcare | 18% | -0.17 |
| Metals & mining | 16% | -0.18 |
| Consumer & retail | 15% | -0.18 |
| Semiconductors | 14% | -0.16 |
| Big tech | 13% | -0.17 |
How traders use it
- Momentum is about relative strength: a stock can show momentum against the market while both fall.
- Monthly momentum rules trade little; daily oscillator versions trade much more.
- Pairing momentum with a trend filter (only buy strength in an uptrend) is the classic way to soften momentum crashes.
Right now
The momentum plays hold 50% of the stock-and-play combinations Be The Puck tracks (3,228 of 6,409) as of the Oct 13, 2026 close.
See which stocks each family holds · The plays and their rules
This analysis does not constitute trading advice. Please meet with an advisor or independently review sources before making any decision.