My current test is to take monthly proportional price changes for stock XYZ and subtract out the proportional changes of the S&P500. Then compare the mean of a sample of XYZ-S&P (e.g. trailing 12 months) to the mean of the population (48 months preceding the sample). The test is too stringent, as I can not show significant difference even when cherry-picking stocks that are going gangbusters. The method described is derived from a book where the author uses a 6-month interval and data spanning decades.
I want my test to identify significant changes in stock price on a shorter time scale. Can you give me some guidance? Your insights are greatly appreciated.