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The RS-IBD formula has relative weights of 2,1,1,1 for 13, 26, 39, 52 weeks respectively. In your formula the weight of 13 weeks is also double the weight of 26 weeks. The general weight is more to the short term, as we would expect when optimizing for short term returns.

That's interesting. I wonder whether the extreme volatility of the past year might have dampened the relative influence of the 52 week screen during that period. I also wonder whether the 4-week screen is less influential under such circumstances because it's too short, and therefore wild, to meaningfully reflect trends.


IMHO, the low influence of RS52 is consistent with the short holding period you tested. Had you tested monthly, quarterly, or longer holding, RS52 would become more prominent.

Elan
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