Since 2022 Sort Finance

Momentum WMA Crossover

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 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.
  2. Buy when momentum crosses above its average: the trend is not just up, it is strengthening — accelerating past its own recent pace.
  3. 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.
Score
Total Score Mean Of Real And Resampled 24 / 100
Real Data 24 / 100
Resampled Data 25 / 100
Overall Rank Top 89% 46 of 52
Rank In Momentum Top 80% 8 of 10
Score By Metric
Beats Hold Real 10 · Resampled 21 15 / 100
Risk Adjusted Real 26 · Resampled 23 24 / 100
Profitability Real 25 · Resampled 20 23 / 100
Win Rate Real 37 · Resampled 39 38 / 100
Fee Efficiency Real 33 · Resampled 33 33 / 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.