Since 2022 Sort Finance

High Watermark Momentum

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. Track the 252-bar high — the highest close of roughly the past year of bars, the market's high-water mark.
  2. Buy when the close comes within 5% of that high (at or above 95% of it): markets pressing against their yearly high tend to keep going, partly because investors hesitate to buy near a high and the move unfolds slowly.
  3. Sell only when the close falls more than 15% below the high-water mark — the wide gap between the 5% entry and the 15% exit leaves room for normal pullbacks without shaking the position out.
Score
Total Score Mean Of Real And Resampled 40 / 100
Real Data 41 / 100
Resampled Data 39 / 100
Overall Rank Top 58% 30 of 52
Rank In Momentum Top 60% 6 of 10
Score By Metric
Beats Hold Real 16 · Resampled 26 21 / 100
Risk Adjusted Real 42 · Resampled 34 38 / 100
Profitability Real 39 · Resampled 32 36 / 100
Win Rate Real 48 · Resampled 47 48 / 100
Fee Efficiency Real 97 · Resampled 97 97 / 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.