Since 2022 Sort Finance

Time Series 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. Measure the trailing 90-bar return — how far price has moved over roughly the past quarter of bars.
  2. Stay long while that return is positive: the market is in an uptrend by the simplest possible definition.
  3. Exit when it turns negative, and stay out until it recovers.
Score
Total Score Mean Of Real And Resampled 50 / 100
Real Data 49 / 100
Resampled Data 51 / 100
Overall Rank Top 41% 21 of 52
Rank In Momentum Top 20% 2 of 10
Score By Metric
Beats Hold Real 40 · Resampled 57 49 / 100
Risk Adjusted Real 51 · Resampled 48 50 / 100
Profitability Real 65 · Resampled 59 62 / 100
Win Rate Real 28 · Resampled 26 27 / 100
Fee Efficiency Real 52 · Resampled 52 52 / 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.