Lookback period

The lookback period is the trailing window of past data a strategy uses to compute a signal, such as a 6-month momentum rank.

Most rules-based signals are computed over a trailing window: a 12-month return for momentum, a 50-day average for a trend filter, a 20-day high for a breakout. That window is the lookback period, and it is a genuine design decision — too short and the signal is mostly noise and costs, too long and it reacts to nothing.

For momentum, research and practice converge on 3-to-12-month lookbacks, often skipping the most recent month to dodge short-term reversal. Whatever the choice, it should be fixed in advance, not tuned until the backtest looks good.

Definitions are educational and consistent with Thuztra’s backtest methodology. Backtests are research, not investment advice; past performance does not predict future results.