Since 2022 Sort Finance

Dual Momentum 90 252

How this strategy trades, what it scored, and the measurements the score was read from — every symbol and timeframe, on real and resampled history.

  1. Measure two trailing returns each bar: a quarterly one (90 bars back) and a yearly one (252 bars back) — a fast clock and a slow clock for the trend.
  2. Buy only when both are positive: the market is up versus last quarter and versus last year, so the short and long views agree the trend is real.
  3. Sell as soon as either turns negative — one clock disagreeing is enough to step aside. Requiring agreement enters later than a single-window momentum strategy but avoids trades where a short rally fights a longer downtrend, or an old uptrend is already rolling over.
Score
Total Score Mean Of Real And Resampled 49 / 100
Real Data 47 / 100
Resampled Data 51 / 100
Overall Rank Top 43% 22 of 52
Rank In Momentum Top 30% 3 of 10
Score By Metric
Beats Hold Real 40 · Resampled 55 47 / 100
Risk Adjusted Real 48 · Resampled 49 48 / 100
Profitability Real 56 · Resampled 58 57 / 100
Win Rate Real 28 · Resampled 28 28 / 100
Fee Efficiency Real 59 · Resampled 59 59 / 100

Scores

The six scores the total is made of, one dataset at a time: how each stood as the run went on, and where each of them ended.

Source Metrics

The numbers those scores are read from, one dataset at a time: every trade as it happened, and where the run ended.