Dividend.Direct

Price Momentum Capture Experiment

Testing whether stocks with positive price momentum experience smaller post-ex-date price declines during dividend capture. Comparing momentum filters against a control group.

2020-01-01 to 2025-12-3112 × 6-month periods$1000 positions60/60 portfolios complete

Hypothesis

Stocks with positive price momentum experience smaller post-ex-date price declines during dividend capture.

The theory is that existing buying pressure (evidenced by momentum indicators) partially offsets the dividend gap when a stock goes ex-dividend. We test this by comparing a control group (all eligible dividends) against filtered groups that only enter positions in stocks showing positive momentum.

Experiment Methodology

Trade Timing

  • Entry:10 days before ex-date
  • Exit:10 days after ex-date
  • Hold Time:~20 days (Fixed)

Position Rules

  • Size:$1,000 per trade
  • Max Concurrent:10 positions
  • Allocation:Cash (No Margin)

Data Filters

  • Min Price:> $0.10
  • Max Yield:< 20% (Single Payout)
  • Universe:US Stocks Only

Strategy Performance

Control

+6.85%
No momentum filter (Baseline)

Profit Attribution (Avg)

Capital Gains
$-1,194
Dividends
+$1,879
Net Profit$685

Per Period (Avg)

Avg Trades87.2
Avg Dividends+$1,879
Final Balance$10,685
Win Rate
+59.9%
Hold Time
21.1d
Reinvest
NO

MA Dual

+4.56%
Price > SMA50 & SMA200

Profit Attribution (Avg)

Capital Gains
$-940
Dividends
+$1,397
Net Profit$456

Per Period (Avg)

Avg Trades86.2
Avg Dividends+$1,397
Final Balance$10,456
Win Rate
+59.6%
Hold Time
21.1d
Reinvest
NO

Near High

+3.88%
Within 10% of 52wk High

Profit Attribution (Avg)

Capital Gains
$-1,010
Dividends
+$1,398
Net Profit$388

Per Period (Avg)

Avg Trades87.8
Avg Dividends+$1,398
Final Balance$10,388
Win Rate
+61.4%
Hold Time
21.1d
Reinvest
NO

price_momentum_macd

+7.15%

Profit Attribution (Avg)

Capital Gains
$-888
Dividends
+$1,603
Net Profit$715

Per Period (Avg)

Avg Trades85.9
Avg Dividends+$1,603
Final Balance$10,715
Win Rate
+56.7%
Hold Time
21.1d
Reinvest
NO

price_momentum_adx

+1.24%

Profit Attribution (Avg)

Capital Gains
$-1,039
Dividends
+$1,163
Net Profit$124

Per Period (Avg)

Avg Trades81.8
Avg Dividends+$1,163
Final Balance$10,124
Win Rate
+57.9%
Hold Time
21.2d
Reinvest
NO

Period-by-Period Returns (%)

PeriodDatesControlMA DualNear Highprice_momentum_macdprice_momentum_adx
P12020-01-01 - 2020-06-30
-10.5
4.0
-9.2
18.2
-10.0
P22020-07-01 - 2020-12-31
31.4
21.8
18.5
34.6
23.1
P32021-01-01 - 2021-06-30
22.9
22.1
15.1
19.7
18.7
P42021-07-01 - 2021-12-31
0.4
-2.6
-1.0
3.9
-6.8
P52022-01-01 - 2022-06-30
-12.3
-4.5
-3.7
-25.8
-15.7
P62022-07-01 - 2022-12-31
2.3
-8.2
-5.4
7.7
-8.4
P72023-01-01 - 2023-06-30
12.7
-3.0
-0.1
6.1
7.5
P82023-07-01 - 2023-12-31
10.0
10.6
4.9
7.0
11.5
P92024-01-01 - 2024-06-30
21.6
23.9
21.5
9.2
4.1
P102024-07-01 - 2024-12-31
4.8
2.2
7.3
-1.4
-1.1
P112025-01-01 - 2025-06-30
13.0
-12.1
2.1
10.9
-4.1
P122025-07-01 - 2025-12-31
-14.1
0.4
-3.4
-4.1
-3.8

Top Performing Trades (Sample)

TickerFilterEntryExitEntry PriceExit PriceDividendReturn
EFC-PAprice_momentum_macd2020-04-062020-04-27$8.65$19.40$48.52+129.15%
MTRprice_momentum_adx2022-05-172022-06-06$13.73$21.74$10.25+60.16%
PMTprice_momentum_macd2020-04-032020-04-24$7.00$10.25$35.50+50.00%
TSLLprice_momentum_adx2024-12-022024-12-23$22.83$31.85$11.72+40.83%
BITOControl2024-02-202024-03-11$24.66$33.17$29.06+37.46%
BITOMA Dual2024-02-202024-03-11$24.66$33.17$29.06+37.46%
BITOprice_momentum_macd2024-02-202024-03-11$24.66$33.17$29.06+37.46%
BITONear High2024-02-202024-03-11$24.66$33.17$29.06+37.46%
BETHNear High2024-02-202024-03-11$71.02$94.35$34.97+36.37%
BETHprice_momentum_macd2024-02-202024-03-11$71.02$94.35$34.97+36.37%

What's Wrong With This Experiment

Use With Caution

Results are directionally useful but missing 2 planned variants. Use with caution for real trading decisions.

Medium

Missing ADX/MACD Indicators

Variants B (Strong Uptrend) and C (Combined Momentum) could not be tested due to missing ADX and MACD data in the indicators table.

Impact: Only 3 of the planned 5 variants are included in results.

Medium

Declaration Date Coverage

Only 70.5% of dividends have declaration dates. Trades without declaration dates are excluded to prevent look-ahead bias.

Impact: Trade universe reduced by ~30%.

Info

Indicator Timing

Technical indicators are taken from the day BEFORE entry date. This assumes end-of-day decision making.

Info

Transaction Costs

No transaction costs applied in this version. Real trading would incur ~0.10-0.20% round-trip costs.

Note: These issues have been identified through post-hoc audit. Future experiments will address these problems through improved data validation, stricter look-ahead bias checks, and better methodology. This experiment (v1.0) will not be re-run but serves as a learning reference.

Total: 10,290 trades | $7,441 dividends captured