A monthly momentum strategy that buys the two best-performing assets from a broad universe based on a ~16-day lookback, allocating equally and rebalancing each month.

Plain-language view of the flow: - The strategy builds a large pool of potential investments (mostly big-name stocks like AAPL, NVDA, AMZN, META, GOOG, etc., plus a few commodity-related ETFs like UCO and URA). - Each month, it estimates how much money you would have made if you had bought each asset and held it for about the last 16 trading days (the lookback window). - It ranks all those assets by their cumulative return over that window and picks the top two. - All available cash is split equally between those two assets (roughly 50% each if there are two picks). - It holds those two assets for the next month, then repeats the process and may switch to new top-two performers. - The approach is momentum-driven: you buy assets that have recently done well and ditch those that haven’t, on a monthly cycle. Risks include sudden reversals in trends and concentration risk from only holding two names. Fees, taxes, and liquidity should be considered when implementing this strategy.

High upside: out-of-sample annualized return ~39% vs ~21% for the S&P, with Sharpe ~1.18 and Calmar ~1.01. Broad momentum universe, monthly rebalances; note larger downturns (~39%).