Does 12-1 month momentum work on US large caps?

We want to ride medium term momentum while avoiding short term reversals, using the classic "12 minus 1" momentum score from academic momentum research. For each day, compute the 12 month return as the percentage change from the close 252 trading days ago to today's close. Compute the 1 month return as the percentage change from the close 21 trading days ago to today's close. The 12 minus 1 momentum score is the 12 month return minus the 1 month return. Enter long the next open the first time in 30 trading days that the 12 minus 1 momentum score is positive and is also above its own 21 day simple moving average. On entry, place a protective stop 2 ATR below the entry price using the 14 period ATR. Size the position so a stop-out loses exactly 1 percent of account equity. Round down to a whole number of shares. Once a month, on the first trading day of each new calendar month, check the score again. Exit at the next open if the 12 minus 1 momentum score has turned negative or has fallen below its own 21 day moving average. If the position has been held for 250 trading days without exiting, exit at the next open as well. Long only. One open position per ticker at a time. No leverage and no pyramiding.