Relative Strength Ranking

THE ARITHMETIC FIRST, because it is easy to get backwards. Each asset's 30-day return is computed, and relative strength is that return less a benchmark's over the same window - against BOTH benchmarks of the asset's own class (Bitcoin and Ethereum for crypto, SPY and QQQ for stocks and funds), so each asset carries two excess returns. Assets are ranked within their class. Only the primary figure (against Bitcoin, or against SPY) drives the classification; the second is reported alongside it. Note what this does NOT do: subtracting the same benchmark return from every asset of a class shifts them all equally, so it cannot change their ORDER. The ranking comes from sorting the assets cross-sectionally; the benchmark determines the reported excess return and where the classification cut-offs fall. Note also how the window is counted: on daily bars the return runs over 30 CALENDAR days, from the last close on or before the date 30 days back to the latest close, so a stock's window holds about 21 trading sessions and a coin's 30 days of trading; on weekly bars the two closes are usually five weeks apart.

THE THEORY. Relative-strength ranking is old practice, predating its academic formalisation. The canonical study is Jegadeesh and Titman (1993), who found that US equities sorted on past relative return continued to outperform over intermediate horizons. Bound it carefully: they used formation and holding periods of three to twelve months, tested both without a gap and with a one-week gap, and the familiar '12-2' convention of skipping the most recent month belongs to later implementations, not to that paper. Their evidence concerns diversified winner and loser PORTFOLIOS, formed repeatedly and averaged through time - it is not a claim about any single asset or any single cross-section, and it does not validate a 30-day implementation on any market.

THREE THINGS TO CARRY AWAY.

Relative strength is relative. An asset can rank first while falling, because the ranking says nothing about the direction of the market it sits in. Reading a top rank as a positive return is the commonest error.

The BENCHMARK IS A CHOICE. Ranking crypto on the Bitcoin figure embeds an assumption that Bitcoin represents the crypto market, and ranking stocks and funds on the SPY figure that the S&P 500 represents theirs - and the second excess return exists precisely because each assumption is imperfect. For an asset driven by a different ecosystem, that is a comparison against something it does not resemble, and this analysis has no per-asset benchmark: every asset of a class is measured against the same two.

Momentum is known to REVERSE sharply at turning points, and a 30-day window is short enough that rankings rotate quickly.