{
  "id": 986,
  "rank": 2923,
  "name": "Momentum and Style Rotation Effect",
  "aka": [
    "Momentum Strategy at Style Index ETF Level"
  ],
  "family": "A",
  "subtype": "A4",
  "one_liner": "Long the top performing ETF and short the bottom performing ETF based on 12-month momentum.",
  "market_regime": "any",
  "timeframes": [
    "D1"
  ],
  "symbols": [
    "IJJ",
    "IJK",
    "IJS",
    "IJT",
    "IVE",
    "IVW"
  ],
  "sessions": [
    "null"
  ],
  "indicators": [
    {
      "name": "MOMP",
      "params": {
        "lookback": 120
      },
      "applied_to": "close"
    }
  ],
  "entry_long": [
    "null"
  ],
  "entry_short": [
    "null"
  ],
  "exit_rules": [
    "Liquidate ETFs that are no longer selected, rebalance monthly"
  ],
  "filters": [
    "null"
  ],
  "stop_loss": "null",
  "take_profit": "null",
  "position_size": "0.5 for the top performer, -0.5 for the bottom performer",
  "evidence_type": "source_code",
  "completeness": 80.0,
  "signal_warnings": null,
  "claim_warnings": null,
  "opacity_warnings": null,
  "build_warnings": null,
  "canonical": "https://prismaticalgos.com/compendium/algo/986-momentum-and-style-rotation-effect",
  "snapshot": "2026-10-31 15:46 UTC",
  "source_url": "https://www.quantconnect.com/tutorials/strategy-library/momentum-and-style-rotation-effect",
  "limitations": "These are machine-extracted research records, not verified trading systems. Catalog rank measures specification detail and claimed evidence, not profitability. The catalog extraction pipeline did not independently backtest these records. Its separate selected testing ledger does not validate the wider corpus. Rules, labels and parameters can be incomplete or wrong; consult the original source and its reuse terms."
}