How It Works
- Measure the 90-bar trailing return each bar, then smooth that momentum series itself with a 20-bar weighted moving average — momentum's own recent norm.
- Buy when momentum crosses above its average: the trend is not just up, it is strengthening — accelerating past its own recent pace.
- Sell when momentum crosses back below its average — the trend is decelerating. This fires before momentum ever turns negative, so exits come earlier than in the other momentum strategies, at the cost of more frequent trades.
Worked example. The 90-bar return has been hovering around +8% (its 20-bar average). A strong week lifts it from +7.5% to +10.2%, crossing above the average — buy, the uptrend is accelerating. Later, momentum still reads +6% but slips under its now-higher average — the rally is losing pace, so the position closes while the trend is still technically up.
The Math Behind The Indicators
Everything runs on closing prices of the traded timeframe: P is a close, Pt today's close, and N counts bars — one bar is one candle of that timeframe, so 20 bars on a 1h chart is 20 hours.
- Trailing Return (Momentum)
- The percentage change of price versus N bars ago — the simplest possible measure of trend. Positive means price is higher than it was back then, negative means lower.
- MN = (PtPt−N − 1) × 100
- Example: If price is 120 today and was 100 ninety bars ago, momentum is (120 / 100 − 1) × 100 = +20% — the market has trended up over the window.
- Weighted Moving Average (WMA)
- A moving average where newer prices count more: the latest close gets weight N, the one before N − 1, down to weight 1 for the oldest. That makes it react to a turn in price sooner than a plain average.
- WMAN = N · Pt + (N−1) · Pt−1 + … + 1 · Pt−N+1N + (N−1) + … + 1
- Example: With N = 3 and closes 100, 102, 104 (oldest to newest): (1·100 + 2·102 + 3·104) / (1 + 2 + 3) = 616 / 6 ≈ 102.67 — pulled closer to the latest price than the plain average of 102.
Example Chart
Example Chart
The Metrics
| Metric | Calculation | What it shows |
|---|---|---|
| Price Change % | change = Plast − P0P0 × 100 The traded market's own close against its first close over the same window, as a percentage. | What the market did while the rule was running — the benchmark every other row here is read against. A rule that made 40% in a market that made 120% lost to doing nothing. |
| Trades | N = count(closed positions) How many positions the rule opened and closed over the window. | The sample behind every other figure, and what the fees are charged on. Two rules with the same return are not the same rule if one took nine trades and the other took nine hundred. |
| Win Rate % | W%n = winsnn × 100 Of the first n trades, how many closed above the cash they opened with after fees. Plotted trade by trade, so the line is the rate so far rather than a final figure. | How often the rule is right, which is not how much it makes. A rule can win a third of its trades and still lead, if the third it wins pays for the two it loses. |
| Cumulative P&L % | PnL%n = n∑i=1(fi − 1) × 100 Each trade's percentage result added up, net of fees. A sum rather than a compounding, so a 10% gain and a 10% loss cancel. | What the rule returned per trade, with position size taken out of it. It answers whether the edge is in the trades themselves, where the equity curve answers what the account did with them. |
| Equity | En = E0 n∏i=1fi The account compounded through every trade — the whole balance goes into the next position. Drawn net of fees as a solid line and gross of them as a dotted one. | The account itself, which is the only figure a reader actually ends up with. The gap between the two lines is what the fees took, and it widens with every trade rather than staying a fixed share. |
| Cumulative Fees | Fn = n∑i=1(Ci φ + Xi φ) Fee charged on the way into each position and again on the way out, at rate phi, on the capital actually committed — so the bill grows with the account as well as with the trade count. | The cost of trading, in the account's own units. It is the one line here that only ever rises, and the one a rule cannot trade its way out of. |
| Rolling Sharpe | Sharpet = mean(rdaily)sd(rdaily) × √365 Mean daily return over its deviation, annualized on a 365-day year because crypto has no weekend. Taken on the account marked to market every bar — open positions included, not just closed ones — and read off at each trade's exit. | Return per unit of the swing it took to get it. It is the heaviest weight in the composite score, because an account that doubled calmly and one that doubled violently are not the same result. |