Since 2022 Sort Finance

Time Series Momentum 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.

At A Glance

50/ 100
Total Score
23of 53
Overall Rank
3of 10
In Momentum
20,440
Trades Taken

Across 24 runs of real history, one for every market and bar size it trades, this strategy scored highest on BTCUSDT · 4h (79 / 100) and lowest on BNBUSDT · 30m (31 / 100).

Market

What A $100.00 Stake Became

Score
Total Score Mean Of Real And Resampled 50 / 100
Real Data 53 / 100
Resampled Data 46 / 100
Overall Rank Top 44% 23 of 53
Rank In Momentum Top 30% 3 of 10
By Metric
Beats Hold Real 51 · Resampled 55 53 / 100
Risk Adjusted Real 50 · Resampled 40 45 / 100
Profitability Real 70 · Resampled 46 58 / 100
Win Rate Real 30 · Resampled 29 29 / 100
Fee Efficiency Real 62 · Resampled 62 62 / 100

Score By Symbol and Timeframe

? This strategy's total score, out of 100, on every symbol at every timeframe — one cell per run, on real history. The ALL row is the same strategy with every symbol held at once, as one basket.

Score By Market

? Each of the five scores the total is made of, out of 100, on real history — one bar per market, averaged over every bar size it trades there. ALL is the same strategy with every market held at once, as one basket.

Score By Bar Size

? The same five scores, out of 100, on real history — one bar per bar size, averaged over every market. The colours are the ones the equity chart gives the four bar sizes.