Experimenting with idiosyncratic industry momentum.

We calculate the weighted average of the idiosyncratic risk of the assets within each industry to get "idiosyncratic industry risk."

We also calculate the weighted avg of the idiosyncratic return of the assets within each industry to get "idiosyncratic industry returns.

Then we backtest using a rolling t-252 to t-21 idiosyncratic industry momentum signal. One signal is scaled by idiosyncratic industry risk, and one is not.