Momentum

What it is

Momentum is the tendency of recent winners to keep winning over some horizon.

Buy what has gone up; sell what has gone down. It is one of the oldest and most studied effects in markets.

Why the horizon is the whole argument

“Momentum” is not one strategy. It is a family, indexed by lookback:

Lookback	Behaviour
Days	Often reverses — short-term mean reversion
Months	The classic momentum window
Years	Tends to flip — long-run reversal

Change the lookback and you have a different strategy. So “momentum works” is never a complete statement — it is a statement at some horizon.

How to check

Ask for the lookback, and whether the result survives at neighbouring lookbacks. A momentum result that only works at one precise window is a fitted window, not an effect.

Compare with mean reversion, its mirror, and check for data snooping across the windows you tried.